mirror of
https://github.com/codez0mb1e/resistance.git
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224 lines
4.2 KiB
Plaintext
Executable File
224 lines
4.2 KiB
Plaintext
Executable File
---
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title: "Currencies Analysis"
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output: github_document
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---
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```{r setup, include=FALSE}
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knitr::opts_chunk$set(echo = T, warning = F)
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```
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***Analysis price of the my list of ~~the most promised cryptotokens~~ currencies.***
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## Prepare
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Install packages and set environment :earth_asia:
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`install.packages("azuremlsdk")`
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```{r set_envinroment, message=FALSE}
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suppressPackageStartupMessages({
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library(dplyr)
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library(tidyr)
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library(lubridate)
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library(stringr)
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library(gt)
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library(tidyverse)
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library(glue)
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library(ggplot2)
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library(azuremlsdk)
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})
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```
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```{r set_params}
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.azureml_dataset_name <- "Currencies"
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```
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Connect to Azure ML workspace:
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```{r azureml_connect}
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ws <- azuremlsdk::load_workspace_from_config()
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sprintf(
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"%s workspace located in %s region", ws$name, ws$location
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)
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```
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## Load dataset
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```{r get_azure_dataset}
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currencies_ds <- azuremlsdk::get_dataset_by_name(ws, name = .azureml_dataset_name)
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currencies_ds$name
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currencies_ds$description
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```
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Get USD/RUB top higher rates:
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```{r prepare_dataframe}
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quotes_df <- currencies_ds$to_pandas_dataframe()
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# ~ 20 years, 150 currencies and 1.5M rows
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quotes_df %>%
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filter(slug == "USD/RUB") %>%
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select(-slug) %>%
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top_n(10) %>%
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gt() %>%
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tab_header(
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title = "USD/RUB Rate",
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subtitle = glue("{min(quotes_df$date)} to {max(quotes_df$date)}")
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) %>%
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fmt_date(
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columns = date,
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date_style = 6
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) %>%
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fmt_number(
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columns = c(open, high, low, close)
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)
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```
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## Preprocessing data
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Calculate `Return` and `Log Return` for last 10 years:
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```{r preprocessing}
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quotes_df %<>%
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transmute(
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symbol = slug,
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price = close,
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date
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) %>%
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filter(
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str_detect(symbol, "USD/") &
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date > max(date) - lubridate::years(10)
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) %>%
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filter(!(symbol == "USD/RUB" & price < 1)) %>%
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arrange(date) %>%
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group_by(symbol) %>%
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mutate(
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return = c(NA_real_, diff(price))/lag(price),
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log_return = log(1 + return)
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) %>%
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na.omit
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```
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## Discover Data
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Calculate statistics and `volatility`:
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```{r discover}
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quotes_stats <- quotes_df %>%
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summarise(
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max_price = max(price),
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min_price = min(price),
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last_price = last(price),
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max_min_rate = max(price)/min(price),
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volatility = sd(log_return)
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)
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quotes_stats %>%
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mutate(
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`100x Volatility` = volatility*100
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) %>%
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arrange(volatility) %>%
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select(-volatility) %>%
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gt() %>%
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tab_header(
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title = "The Least and The Most Volatile Currencies",
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subtitle = glue("{min(quotes_df$date)} to {max(quotes_df$date)}")
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) %>%
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fmt_number(
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columns = c(max_price, min_price, max_min_rate, last_price, `100x Volatility`)
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)
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```
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My broker trades the following pairs:
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```{r}
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symbols <- c(
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'RUB',
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'EUR', 'GBP', 'CHF', 'CNY', 'HKD', 'JPY', 'SEK', 'SGD', 'AUD',
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'AED', 'KZT', 'BYN', 'TRY', 'MXN'
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)
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symbols <- str_c("USD", symbols, sep = "/")
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quotes_stats %>%
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filter(
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symbol %in% symbols
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) %>%
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mutate(
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`100x Volatility` = volatility*100
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) %>%
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arrange(volatility) %>%
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select(-volatility) %>%
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gt() %>%
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tab_header(
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title = "The Most Promised Currencies",
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subtitle = glue("{min(quotes_df$date)} to {max(quotes_df$date)}")
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) %>%
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fmt_number(
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columns = c(max_price, min_price, last_price, max_min_rate, `100x Volatility`)
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)
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```
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Plot exchange rate for out favorites:
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Define low risk symbols:
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```{r}
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usdrub_vol <- quotes_stats %>% filter(symbol == "USD/RUB") %>% pull(volatility)
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low_risk_symbols <- quotes_stats %>%
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filter(
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symbol %in% symbols &
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volatility <= usdrub_vol
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) %>%
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pull(symbol) %>%
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unique
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cat(
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sprintf(
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"['%s']",
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paste(low_risk_symbols, collapse = "', '")
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))
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```
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```{r}
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jumper_symbols <- quotes_stats %>% filter(max_min_rate > 2) %>% pull(symbol)
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quotes_df %>%
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filter(symbol %in% low_risk_symbols) %>%
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mutate(
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jumper = if_else(symbol %in% jumper_symbols, "High risk currencies", "Low risk currencies")
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) %>%
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group_by(symbol) %>%
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mutate(R = cumsum(return)) %>%
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ggplot +
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geom_line(aes(x = date, y = R, color = symbol)) +
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facet_grid(jumper ~ ., scales = "free") +
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labs(x = "", y = "Return of Investment", title = "Currencies Exchange Rates", subtitle = "Return of Investment for last 10 years") +
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theme_bw()
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```
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