• EWMA: Exponentially Weighted Moving Average
  
• λ = 0.94 --> JP모건에서 일별 람다는 이렇게 하라고 한다. 열심히 계산해 봤겠지 뭐.
  
  

#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), "현금=",percent(p3)))