Created
August 28, 2024 20:20
-
-
Save quantra-go-algo/f7b1e5b11b0cf4abda476334b53efab3 to your computer and use it in GitHub Desktop.
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # Group the data dates by year and month | |
| options(dplyr.summarise.inform = FALSE) | |
| dates <- var_data %>% | |
| mutate(month = format(date, "%m"), year = format(date, "%Y")) %>% | |
| group_by(year, month) %>% summarise(first_dates = first(date)) | |
| # Get the first date of Oct-2021 | |
| initial_date = subset(dates, (dates$year=='2019') & (dates$month=='01'))$first_dates | |
| # Import the Excel file in case it exists | |
| df_forecasts <- open_xlsx("df_results_tvp_var.xlsx") | |
| # If data is a Null value | |
| if (is.null(df_forecasts)) { | |
| # Subset the df2 dataframe to only our forecast data | |
| df_forecasts <- subset(var_data, var_data$date>=as.Date(initial_date)) | |
| # Create names for each ticker's VAR forecasts | |
| ticker_var_forecasts <- lapply(tickers, paste0, "_var_signal") | |
| # Create names for each ticker's TVP-VAR-SV forecasts | |
| ticker_tvp_var_forecasts <- lapply(tickers, paste0, "_tvp_var_signal") | |
| # Create a new temp_df dataframe for the tickers' forecasts | |
| temp_df <- data.frame(matrix(ncol = 2*length(tickers), nrow = length(df_forecasts$date))) | |
| colnames(temp_df) <- c(ticker_var_forecasts,ticker_tvp_var_forecasts) | |
| # Join both dataframes in the df_forecasts dataframe | |
| df_forecasts <- cbind(df_forecasts,temp_df) | |
| df_forecasts$trade_done <- 0 | |
| # Set the initial index number for the forecast data | |
| initial_iloc_to_forecast <- which(df_forecasts$date==as.Date(initial_date)) | |
| # If data was obtained from the Excel file | |
| } else { | |
| # Create names for each ticker's VAR forecasts | |
| ticker_var_forecasts <- lapply(tickers, paste0, "_var_signal") | |
| # Create names for each ticker's TVP-VAR-SV forecasts | |
| ticker_tvp_var_forecasts <- lapply(tickers, paste0, "_tvp_var_signal") | |
| # Set the initial index number for the forecast data | |
| initial_iloc_to_forecast <- which(df_forecasts$date == head(subset(df_forecasts, trade_done == 0) ,1)$date) | |
| } | |
| # Set the span to 6 years of data | |
| span <- 1500 |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment