Data Proxy - extending time series with proxies

    #*****************************************************************
    # Load external data
    #******************************************************************   
    library(SIT)
    load.packages('quantmod')  

raw.data <- new.env()
    
    # TRJ_CRB file was downloaded from the 
    # http://www.corecommodityllc.com/CoreIndexes.aspx
    # select TR/CC-CRB Index-Total Return and click "See Chart"
    # on Chart page click "Download to Spreadsheet" link
    # copy TR_CC-CRB, downloaded file, to data folder
    temp = extract.table.from.webpage( join(readLines("data/TR_CC-CRB")), 'EODValue' )
    temp = join( apply(temp, 1, join, ','), '\n' )
    raw.data$CRB = make.stock.xts( read.xts(temp, format='%m/%d/%y' ) )
     
    # prfmdata.csv file was downloaded from the http://www.crbequityindexes.com/indexdata-form.php
    # for "TR/J CRB Global Commodity Equity Index", "Total Return", "All Dates"
    raw.data$CRB_2 = make.stock.xts( read.xts('data/prfmdata.csv', format='%m/%d/%Y' ) )

    #*****************************************************************
    # Load historical data
    #******************************************************************   
    load.packages('quantmod')  
        
    tickers = spl('GSG,DBC')
    data = new.env()
    
    data$CRB = raw.data$CRB
    data$CRB_2 = raw.data$CRB_2
    
    getSymbols(tickers, src = 'yahoo', from = '1970-01-01', env = data, auto.assign = T)   
        for(i in ls(data)) data[[i]] = adjustOHLC(data[[i]], use.Adjusted=T)

print(bt.start.dates(data))

    proxy.test(data)

    proxy.overlay.plot(data)

    proxy.prices(data)  

    tickers = spl('DBC, DBC.CRB=DBC+CRB')
    proxy.map(data, tickers)      

create.proxy = function(tickers, proxy.map.tickers, raw.data = new.env()) {
    #*****************************************************************
    # Load historical data
    #******************************************************************   
    load.packages('quantmod')  
    
    tickers = spl(tickers)
    data = new.env()
    
    getSymbols.extra(tickers, src = 'yahoo', from = '1970-01-01', env = data, raw.data = raw.data, auto.assign = T)    
        for(i in ls(data)) data[[i]] = adjustOHLC(data[[i]], use.Adjusted=T)
                         
    #*****************************************************************
    # Compare
    #******************************************************************
    print(bt.start.dates(data))
    
    proxy.test(data)    
    
    proxy.overlay.plot(data)   
    
    proxy.prices(data)

    tickers = spl(proxy.map.tickers)
    proxy.map(data, tickers)
}
    

	create.proxy('RWX,VNQ,VGSIX', 'RWX, RWX.VNQ=RWX+VNQ, RWX.VNQ.VGSIX=RWX+VNQ+VGSIX')

	create.proxy('IYR,VGSIX,RWO', 'RWO, RWO.IYR=RWO+IYR, RWO.IYR.VGSIX=RWO+IYR+VGSIX')

	#--------------------------------   
	# load 3-Month Treasury Bill from FRED (BIL)
	filename = 'data/TB3M.Rdata'
	if(!file.exists(filename)) {
		TB3M = quantmod::getSymbols('DTB3', src='FRED', auto.assign = FALSE)
		save(TB3M, file=filename)
	}
	load(file=filename)
	TB3M[] = ifna.prev(TB3M)
	#compute.raw.annual.factor(TB3M)
	raw.data$TB3M = make.stock.xts(processTBill(TB3M, timetomaturity = 1/4, 261))
	#--------------------------------   

	create.proxy('BIL,TB3M', 'BIL, BIL.TB3M=BIL+TB3M', raw.data)

	#--------------------------------   
	# load 3 years t-bill from FRED (BIL)
	filename = 'data/TB3Y.Rdata'
	if(!file.exists(filename)) {
		TB3Y = quantmod::getSymbols('DGS3', src='FRED', auto.assign = FALSE)
		save(TB3Y, file=filename)
	}
	load(file=filename)
	TB3Y[] = ifna.prev(TB3Y)
	#compute.raw.annual.factor(TB3Y)
	raw.data$TB3Y = make.stock.xts(processTBill(TB3Y, timetomaturity = 3, 261))
	#--------------------------------   

	create.proxy('SHY,TB3Y', 'SHY, SHY.TB3Y=SHY+TB3Y', raw.data)

	#--------------------------------   
	# load 10 years t-bill from FRED (BIL)
	filename = 'data/TB10Y.Rdata'
	if(!file.exists(filename)) {
		TB10Y = quantmod::getSymbols('DGS10', src='FRED', auto.assign = FALSE)
		save(TB10Y, file=filename)
	}
	load(file=filename)
	TB10Y[] = ifna.prev(TB10Y)
	#compute.raw.annual.factor(TB10Y)
	raw.data$TB10Y = make.stock.xts(processTBill(TB10Y, timetomaturity = 10, 261))
	#--------------------------------   

	create.proxy('IEF,VFITX,TB10Y', 'IEF, IEF.VFITX=IEF+VFITX, IEF.VFITX.TB10Y=IEF+VFITX+TB10Y', raw.data)

	#--------------------------------   
	# load 20 years t-bill from FRED (BIL)
	filename = 'data/TB20Y.Rdata'
	if(!file.exists(filename)) {
		TB20Y = quantmod::getSymbols('GS20', src='FRED', auto.assign = FALSE)
		save(TB20Y, file=filename)
	}
	load(file=filename)
  print(TB20Y[is.na(TB20Y)])

	TB20Y[] = ifna.prev(TB20Y)
  # alternative, linear approximate missing data
  #TB20Y[] = approx(1:nrow(TB20Y), as.vector(TB20Y), 1:nrow(TB20Y), method='linear')$y  
  
	#compute.raw.annual.factor(TB10Y)
	raw.data$TB20Y = make.stock.xts(processTBill(TB20Y, timetomaturity = 20, 12))
	#--------------------------------   

	create.proxy('TLT,VUSTX,TB20Y', 'TLT, TLT.VUSTX=TLT+VUSTX, TLT.VUSTX.TB20Y=TLT+VUSTX+TB20Y', raw.data)

	#--------------------------------
	filename = 'data/GOLD.Rdata'
	if(!file.exists(filename)) {
		GOLD = bundes.bank.data.gold()
		save(GOLD, file=filename)
	}
	load(file=filename)
	raw.data$GOLD = make.stock.xts(GOLD)
	#--------------------------------

	create.proxy('GLD,GOLD', 'GLD, GLD.GOLD=GLD+GOLD', raw.data)