spy-dfa.R

#!/usr/bin/env R
# --no-restore --no-save -f $0

library(quantmod)
library(fractal)

# getSymbols("SPY", from="1900-01-01", src="yahoo")
# write.zoo(SPY, file="data/yahoo/SPY.csv", sep=",")

setSymbolLookup(SPY=list(src="csv",format="%Y-%m-%d",dir="data"))

SPY <- getSymbols("SPY", auto.assign=FALSE, adjust=TRUE)

SPY_CLOSE = Cl(SPY)
fractalBlock = DFA(coredata(SPY_CLOSE))

#str(fractalBlock)
#summary(fractalBlock)
DFA.walk <- fractalBlock
print(DFA.walk)

#n <- length(SPY_CLOSE); log_returns_SPY_CLOSE <- log(SPY_CLOSE[-n]/SPY_CLOSE[-1])
log_returns_SPY_CLOSE = diff(log(SPY_CLOSE))


fractalBlock = DFA(coredata(log_returns_SPY_CLOSE), detrend="poly2")
DFA.walk <- fractalBlock
print(DFA.walk)

fractalBlock = DFA(coredata(log_returns_SPY_CLOSE), detrend="poly1")
DFA.walk <- fractalBlock
print(DFA.walk)

fractalBlock = DFA(log_returns_SPY_CLOSE, detrend="poly2")
DFA.walk <- fractalBlock
print(DFA.walk)

fractalBlock = DFA(log_returns_SPY_CLOSE, detrend="poly1")
DFA.walk <- fractalBlock
print(DFA.walk)

png(filename="DFA_%03d_med.png", width=480, height=480)
eda.plot(DFA.walk)
dev.off()