library(FinancialInstrument)
library(TTR)
library(PerformanceAnalytics)
symbols.close<-read.table("s.txt",header=T, row.names=c("time"))
monthly.returns <- ROC(symbols.close, n = 1, type = "discrete", na.pad = TRUE)
RankRB <- function(x){
r <- as.xts(t(apply(-x, 1, rank, na.last = "keep")))
  return(r)
}

MonthlyAd <- function(x){
sym <- sub("\\..*$", "", names(x)[1])
  Ad(to.monthly(x, indexAt = 'lastof', drop.time = TRUE, name = sym))
}

CAGR <- function(x, m){
x <- na.omit(x)
 cagr <- apply(x, 2, function(x, m) prod(1 + x)^(1 / (length(x) / m)) - 1, m = m)
  return(cagr)
}

SimpleMomentumTest <- function(xts.ret, xts.rank, n = 1, ret.fill.na = 3){
lag.rank <- lag(xts.rank, k = 1, na.pad = TRUE)
  n2 <- nrow(lag.rank[is.na(lag.rank[,1]) == TRUE])
  z <- max(n2, ret.fill.na)
lag.rank <- as.matrix(lag.rank)
  lag.rank[lag.rank > n] <- NA
lag.rank[lag.rank <= n] <- 1
mat.ret <- as.matrix(xts.ret) * lag.rank
vec.ret <- rowMeans(mat.ret, na.rm = TRUE)
  vec.ret[1:z] <- NA
vec.ret <- xts(x = vec.ret, order.by = index(xts.ret))
  f <- list(mat = mat.ret, ret = vec.ret, rank = lag.rank)
  return(f)
}

roc.three <- ROC(x = symbols.close , n = 3, type = "discrete")
rank.three <- RankRB(roc.three)

roc.six <- ROC(x = symbols.close , n = 6, type = "discrete")
rank.six <- RankRB(roc.six)

roc.nine <- ROC(x = symbols.close , n = 9, type = "discrete")
rank.nine <- RankRB(roc.nine)

roc.twelve <- ROC(x = symbols.close , n = 12, type = "discrete")
rank.twelve <- RankRB(roc.twelve)

num.assets <- 4

case1 <- SimpleMomentumTest(xts.ret = monthly.returns, xts.rank = rank.three,
                            n = num.assets, ret.fill.na = 15)