Cryptocurrency Market Data with {quantmod} and {TTR}

## load libraries
library(cryptoQuotes)

{cryptoQuotes} were built with {quantmod} and {TTR} in mind. To demonstrate how {cryptoQuotes} works with these packages, we will use the following data,

## Get daily 
## Bitcoin from 
## the spot market
BTC <- get_quote(
  ticker   = "BTCUSD",
  source   = "kraken",
  futures  = FALSE,
  interval = "1d",
  from     = "2024-01-01"
)

Cryptocurrency and quantmod

The BTC can be passed into the charting functions, or be used in the quantmod::tradeModel()-functions.

Building Cryptocurrency Trade Models

Below is an example on how to use the quantmod::tradeModel()-function with the BTC-object,

## 1) specify
## the model
lhs <- quantmod::Next(quantmod::OpCl(BTC))
rhs <- quantmod::Lag(quantmod::OpHi(BTC),0:3)

BTC_model <- quantmod::specifyModel(
  formula = lhs ~ rhs
)

## 2) build the
## model
built_model <-  quantmod::buildModel(
  x            = BTC_model,
  method       = 'lm',
  training.per = range(head(zoo::index(BTC), 10))
)

## 3) trade the model
quantmod::tradeModel(built_model, leverage = 2)
#> 
#>   Model:  lm1730986104.10517 
#> 
#>   C.A.G.R.:  39.35%  H.P.R.:  28.26% 
#> 
#>   Returns by period summary:
#> 
#>              weekly monthly quarterly yearly
#>     Max.     25.77%  48.73%    31.94% 51.46%
#>     3rd Qu.   8.02%  29.69%    22.19% 51.46%
#>     Mean      2.19%   9.12%    15.49% 51.46%
#>     Median   -1.77%   1.88%    12.43% 51.46%
#>     2rd Qu.  -5.24% -13.74%     7.27% 51.46%
#>     Min.    -21.19% -18.69%     2.10% 51.46%
#> 
#>   Period to date returns:
#> 
#>              weekly monthly quarterly yearly
#>              17.33%  12.43%    12.43% 51.46%

Charting Cryptocurrency with {quantmod}

## chart the
## BTC with candlesticks
## and Bollinger BAnds
quantmod::chartSeries(
  x    = BTC,
  type = "candlesticks",
  TA   = c(
    quantmod::addBBands()
  )
)

Cryptocurrency and {TTR}

Below is an example on how to use the BBands()-function from {TTR},

# 1) calculate
# Bollinger Bands
indicator <- TTR::BBands(
  quantmod::HLC(BTC)
)

# 2) add to the 
# cryptocurrency quote
BTC <- cbind(
  BTC, 
  indicator
)

Bitcoin with Bollinger Bands using TTR

index	open	high	low	close	volume	dn	mavg	up	pctB
2024-07-14	59222.8	61373.5	59222.8	60810	1537.756	55169.562	59456.318	63743.075	0.618
2024-07-15	60810	64900	60704.5	64764.2	2989.713	55003.009	59555.733	64108.457	0.928
2024-07-16	64764.3	65416.3	62466	65088.7	3185.162	54749.989	59705.927	64661.864	0.966
2024-07-17	65077.1	66100.3	63853.1	64120	1952.563	54500.19	59865.557	65230.923	0.95
2024-07-18	64120.1	65097.1	63225.5	63960.7	1495.398	54366.588	60030.907	65695.225	0.859
2024-07-19	63960.7	67429	63350	66708.9	2068.886	54084.048	60284.542	66485.036	0.947