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EWMA(t) = a * x(t) + (1-a) * EWMA(t-1) [edit]
EWMA Volatility #
$$ \sigma_t^2 = (1-\lambda)\cdot\gamma_t-1^2 + \lambda\cdot\sigma_t-1^2 $$
$$ where, $$
$$ \ \ \sigma : 譴ｸ谿 $$
$$ \ \ \lambda: 螳譴豺 $$
$$ \ \ \gamma : 給 $$
$$ \ \ t : $$
[edit]
蟲 #
#install.packages("RiskPortfolios")
library(tidyquant)
library(MTS)
library(scales)
library(qpcR)
library(TTR)
options("getSymbols.warning4.0"=FALSE)
options("getSymbols.yahoo.warning"=FALSE)
# Downloading Apple price using quantmod
ewma.func <- function(rets, lambda) {
sig.p <- 0
sig.s <- vapply(rets, function(r) sig.p <<- sig.p*lambda + (r^2)*(1 - lambda), 0)
return(sqrt(sig.s))
}
cash <- 0.4
from_dt <- as.character(today()-20)
to_dt <- today()
tickers = c("UPRO", "TMF")
getSymbols(tickers, from = from_dt, to = to_dt,warnings = FALSE, auto.assign = TRUE)
#tail(UPRO)
#tail(TMF)
UPRO_sd <- sd(ewma.func(as.numeric(UPRO$UPRO.Close), 0.94))
TMF_sd <- sd(ewma.func(as.numeric(TMF$TMF.Close), 0.94))
p1 <- TMF_sd/(UPRO_sd+TMF_sd)
p2 <- UPRO_sd/(UPRO_sd+TMF_sd)
p1 <- round(p1*(1-cash),2)
p2 <- round(p2*(1-cash),2)
p3 <- 1 - (p1 + p2)
print(paste("UPRO=",percent(p1),"TMF=",percent(p2), "蠍=",percent(p3)))
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