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‎.Rbuildignore

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^.*\.Rproj$
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^\.Rproj\.user$

‎.gitignore

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.Rproj.user
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.Rhistory
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.RData

‎DESCRIPTION

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Package: rollcorr
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Type: OpenCPU Application
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Title: Rollcorr Demo application for OpenCPU
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Version: 1.0
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Date: 2013-07-07
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Author: Eran Raviv, Jeroen Ooms
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Maintainer: Jeroen <[email protected]>
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Description: OpenCPU
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License: Apache2
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Depends:
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quantmod
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Collate:
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'rollcorr.R'

‎NAMESPACE

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export(rollcorr)

‎R/rollcorr.R

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#' rollcorr
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#'
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#' Live Rolling Correlation Plot by Eran Raviv
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#' See http://eranraviv.com/blog/live-rolling-correlation-plot/
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#'
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#' @return null
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#' @author Eran Raviv
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#' @export
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rollcorr <- function(){
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symetf <- c('XLY','XLP','XLE','XLF','XLV','XLI','XLB','XLK','XLU','SPY')
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end <- format(Sys.Date(),"%Y-%m-%d")
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start <-format(Sys.Date() - 365,"%Y-%m-%d")
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dat0 <- getSymbols(symetf[1], src="google", from=start, to=end, auto.assign = F, warnings = FALSE,symbol.lookup = F)
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n <- NROW(dat0)
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l <- length(symetf)
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dat <- array(dim = c(n,NCOL(dat0),l)) ; ret = matrix(nrow = n, ncol = l)
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for (i in 1:l){
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dat0 <- getSymbols(symetf[i], src="google", from=start, to=end, auto.assign = F,warnings = FALSE,symbol.lookup = F)
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dat[1:n,,i] <- dat0
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ret[2:n,i] <- dat[2:n,4,i]/dat[1:(n-1),4,i] - 1
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}
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rolcor = NULL
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h = 10 # 10 bussiness days is two weeks
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for (i in 2:(n-h)){
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rolcor[i+h] <- mean(cor(ret[i:(i+h),])[lower.tri(cor(ret[i:(i+h),]))]) # just the rolling average correlation
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}
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par( mfrow = c(2,1), bg = "white", bty ="n", fg = gray(0.3) ,font.lab = 6, font.axis = 6, #xaxp = c(x1, x2, n = 2)
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font.main = 6, col.axis = gray(0.3) , col.lab = gray(0.3) , pch = 21, tck = -0.02, #tck is the length of the axis spikes
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xaxs = "r") # Graph parameters
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lwd1 <- 2.5
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plot(rolcor~index(dat0), ty = "l",lwd = lwd1, xlab = "Time",ylab = "Average Correlation", main = "Two Weeks Rolling Correlation")
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plot(dat[1:n,4,10]~index(dat0), ty = "l", lwd = lwd1, xlab = "Time", ylab = "SPY Price Level",main ="SPY Price Level")
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invisible();
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}

‎inst/icon.png

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‎inst/www/index.html

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<!DOCTYPE html>
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<html lang="en">
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<head>
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<title>Rollcorr OpenCPU app</title>
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<meta name="viewport" content="width=device-width, initial-scale=1.0">
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<meta http-equiv="Content-Type" content="text/html; charset=UTF-8" />
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<!-- ocpu library -->
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<script src="jquery-1.10.1.min.js"> </script>
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<script src="opencpu.js"> </script>
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<!-- optional stuff for the resizable widget -->
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<link href="jqueryui/css/ui-lightness/jquery-ui-1.10.3.custom.css" rel="stylesheet" media="screen">
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<script src="jqueryui/jquery-ui-1.10.3.custom.js"> </script>
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<script>
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//on page ready:
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$(function() {
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var req = $("#plotdiv").r_fun_plot("rollcorr").fail(function(){
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alert(req.responseText);
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});
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//optional, requires jquery-ui.
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$("#plotdiv").resizable()
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});
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</script>
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<style>
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#plotdiv {
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margin-left: 10px;
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margin-top: 10px;
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width: 900px;
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height: 600px;
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border: solid gray 1px;
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}
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</style>
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</head>
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<body>
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<h1>Rollcorr OpenCPU App</h1>
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<div id="plotdiv"></div>
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</body>
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</html>

‎inst/www/jquery-1.10.1.min.js

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