# We will need the quantmod package for charting and pulling
# data and the TTR package to calculate indicators
# You can install packages via: install.packages("packageName")
# install.packages(c("quantmod","TTR"))
library(quantmod)
library(TTR)

#get historical GSPC data from file; 
#must be formatted in MM/DD/YY
x=read.table("C:\\nareit.txt",header=TRUE) #or wherever our data is
dates = as.Date(x$Date,"%m/%d/%y") #assumes dates are in MM/DD/YY format

#transform it into a time series
#data file must have a Date and Close column
y=xts(matrix(x$Close,dimnames=list(index(x),'Close')),dates)
#csv is already in monthly format
gspc=y

# Calculate the SMA 10 month
#gspc = to.monthly(GSPC, indexAt='endof')
#gspc = Cl(GSPC)

sma10 <- SMA(Cl(gspc),10)

#### Create the long (up) and short (dn) signals
sigup <- ifelse(Cl(gspc) > sma10, 1, 0)
sigdn <- ifelse(Cl(gspc) < sma10, -1, 0)
sigbh = ifelse(Cl(gspc)>0,1,0)

# Lag signals to align with days in market,
# not days signals were generated
#sigup <- Lag(sigup,1) # Use lag() to avoid Toby's error
#sigdn <- Lag(sigdn,1) # Use lag() to avoid Toby's error

sigup <- lag(sigup,1) # Note k=1 implies a move *forward*
sigdn <- lag(sigdn,1) # Note k=1 implies a move *forward*
sigbh = lag(sigbh,1)

# Replace missing signals with no position
# (generally just at beginning of series)
sigup[is.na(sigup)] <- 0
sigdn[is.na(sigdn)] <- 0
sigbh[is.na(sigbh)] <- 0

# Combine both signals into one vector
sig <- sigup + sigdn

# Calculate Close-to-Close returns
ret <- ROC(Cl(gspc))
ret[1] <- 0

# Calculate equity curves
eq_up <- cumprod(1+ret*sigup)
eq_dn <- cumprod(1+ret*sigdn*-1)
eq_all <- cumprod(1+ret*sig)
eq_bh = cumprod(1+ret*sigbh)

# Replicate Michael's nice chart
#plot.zoo( cbind(eq_up),ylab=c("Long"), col=c("green"),main="Simple SMA 200 Strategy on GSPC: 2000-01-02 through present" )

# Wait a few seconds before making next chart...
#Sys.sleep(5)

# Create a chart showing the S&P500
chartSeries(gspc, type="line")

#add 10 wk SMA
addTA(sma10,on=1,col=c("red"))

# Add the total equity line
addTA(eq_up, col=c("cyan"))
addTA(eq_bh,on=2)# We will need the quantmod package for charting and pulling