Testing Hurst with Multiple Indexes

DO NOT TRADE THIS SYSTEM.  YOU VERY EASILY COULD LOSE LARGE AMOUNTS OF MONEY.

I am not necessarily recommending the system that I presented in Exploring the Market with Hurst, but I thought it would provide a nice platform to illustrate some backtesting with multiple indexes.  Do not pass on the incredible opportunity presented by almost unlimited indexes from Yahoo! Finance and the Fed.

From TimelyPortfolio

From TimelyPortfolio

From TimelyPortfolio

From TimelyPortfolio

From TimelyPortfolio

From TimelyPortfolio

R code (click to download):

require(quantmod)
require(PerformanceAnalytics)
require(FGN)   #sort of random mix for additional testing
indexes<-c("STI","KS11","GDAXI","DJUSAU","DJUSFI","RUT","DJUBS")
#iterate through index symbols
for (i in 1:length(indexes))  {
	#get symbol
	getSymbols(paste("^",indexes[i],sep=""),
		from="1900-01-01",to=format(Sys.Date(),"%Y-%m-%d"))
	#set monthly index to first day of the month
	assign(indexes[i],to.monthly(get(indexes[i]))[,4])
	#has to be a cleaner way than this to set the index
	assign(indexes[i],as.xts(coredata(get(indexes[i])),
		order.by=as.Date(index(get(indexes[i])))))
	#get monthly changes
	ret<-ROC(get(indexes[i]),n=1,type="discrete")
	index(ret) <- as.Date(index(ret))
	hurstKmonthly <- apply.rolling(ret, FUN="HurstK", width = 12)
	colnames(hurstKmonthly) <- "HurstK.monthly"
	index(hurstKmonthly) <- as.Date(index(hurstKmonthly))
	serialcorr <- runCor(cbind(coredata(ret)),cbind(index(ret)),n=12)
	serialcorr <- as.xts(serialcorr,order.by=index(ret))
	autoreg <- runCor(ret,lag(ret,k=1),n=12)
	colnames(serialcorr) <- "SerialCorrelation.monthly"
	colnames(autoreg) <- "AutoRegression.monthly"
	signalUpTrend <- runMean(hurstKmonthly+serialcorr+autoreg,n=6) +
		(get(indexes[i])/runMean(get(indexes[i]),n=12)-1)*10
	signalUpTrend <- lag(signalUpTrend,k=1)
	retSys <- merge(ifelse(signalUpTrend > 1, 1, 0) * ret,ret)
	colnames(retSys) <- c(paste(indexes[i]," HurstUp System",sep=""),indexes[i])
	jpeg(filename=paste(indexes[i],".jpg",sep=""),quality=100,width=6.25, height = 5, 
		units="in",res=96) 
 	charts.PerformanceSummary(retSys,ylog=TRUE,cex.legend=1.25,
		colorset=c("cadetblue","darkolivegreen3"))
	dev.off()
}

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