app_ema_quantmod.Rmd

---
title: "EWMA prices"
author_no_print: "Jerzy Pawlowski"
affiliation: NYU Tandon School of Engineering
date_no_print: '`r format(Sys.time(), "%m/%d/%Y")`'
email: jp3900@nyu.edu
output: html_document
runtime: shiny
---

```{r setup, include=FALSE}
knitr::opts_chunk$set(echo=TRUE)
library(HighFreq)  # load package HighFreq
# select OHLC data
ohlc <- rutils::etfenv$VTI["/2011"]
# calculate close prices
closep <- Cl(ohlc)
# define lookback window and decay parameter
look_back <- 51
plot_theme <- chart_theme()
plot_theme$col$line.col <- c("orange", "blue")

# source("/Users/jerzy/Develop/R/scripts/ewma_model.R")
```

```{r ewma_model, echo=FALSE}
inputPanel(
  sliderInput("lambda", label="lambda:",
              min=0.01, max=0.2, value=0.1, step=0.01)
)  # end inputPanel

renderPlot({
  
  lambda <- input$lambda
  
  # calculate EWMA prices
  weightv <- exp(-lambda*1:look_back)
  weightv <- weightv/sum(weightv)
  ewmap <- filter(closep, filter=weightv, sides=1)
  ewmap <- as.numeric(ewmap)
  ewmap[1:(look_back-1)] <- ewmap[look_back]
  ewmap <- xts(cbind(closep, ewmap), order.by=index(ohlc))
  colnames(ewmap) <- c("VTI", "VTI EWMA")
  
  # plot EWMA prices
  # x11(width=12, height=9)
  chobj <- chart_Series(ewmap, theme=plot_theme, name="EWMA prices")
  plot(chobj)
  legend("topleft", legend=colnames(ewmap), 
         inset=0.1, bg="white", lty=1, lwd=6, 
         col=plot_theme$col$line.col, bty="n")

})  # end renderPlot
```