TydiQuant

 

 

library(tidyquant)
library(tidyverse)
library(timetk)

dd=tk_tbl(d)
regr_fun <- function(data) {
  coef(lm(data[,1] ~ data[,2], data = dd))
}
m=dd %>%
  tq_mutate(mutate_fun = rollapply,
            width      = 4,
            FUN        = regr_fun,
            by.column  = FALSE,
            col_rename = c("coef.0", "coef.1"))

　　

for(i in 1:length(weekprices)){
      a=weekprices[[i]]
      p=merge(p,a,all=F)
}
p=monthlyReturn(weekprices[[1]])
for(i in 2:length(weekprices)){
  a=monthlyReturn(weekprices[[i]])
  p=merge(p,a,all=F)
}
pp=tk_tbl(p)
ppp=tk_xts(pp,silent=T)
m=pp %>%
  tq_mutate(mutate_fun = rollapply,
            width      = 11,
            FUN        = sum,
            by.column  = TRUE,
            col_rename = paste0("history",1:497))
mm=tk_xts(m,silent=T)
history=mm[,498:994]
return=mm[,1:497]
x=merge.xts(history,return,type="inner")
h=na.approx(x[,1:497])
r=na.approx(x[,498:994])
cr=vector()
for(i in 1:nrow(h)){
  a=0
  for(j in 1:ncol(h)){
    if(h[i,j]>quantile(h[i,],0.9)){
      a=a+r[i+1,j]
    }
    cr[i]=a/ncol(h)
  }
}