Forex Portfolio test

######################
# INIT
setInternet2(TRUE)

con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
    source(con)
close(con)

library(quantmod)
library(R.utils)

#########################
# Lets load some symbols
symbols <- c(
"USDJPY","GBPUSD","USDCHF","EURCHF",
"AUDUSD","NZDCAD","NZDJPY",
"AUDNZD","EURNZD","GBPCAD",
"AUDJPY","CADJPY","EURGBP","CHFJPY",
"USDCAD","NZDUSD","GBPCHF","EURAUD",
"EURJPY","GBPJPY","EURCAD","AUDCAD",
"CADCHF","AUDCHF","NZDCHF","EURUSD"
)#,"GBPNZD","GBPAUD"

USDJPY = getSymbols.fxhistoricaldata('USDJPY', 'hour', auto.assign = F, download=T)
GBPUSD = getSymbols.fxhistoricaldata('GBPUSD', 'hour', auto.assign = F, download=T)
USDCHF = getSymbols.fxhistoricaldata('USDCHF', 'hour', auto.assign = F, download=T)
EURCHF = getSymbols.fxhistoricaldata('EURCHF', 'hour', auto.assign = F, download=T)
AUDUSD = getSymbols.fxhistoricaldata('AUDUSD', 'hour', auto.assign = F, download=T)
#GBPNZD = getSymbols.fxhistoricaldata('GBPNZD', 'hour', auto.assign = F, download=T)
NZDCAD = getSymbols.fxhistoricaldata('NZDCAD', 'hour', auto.assign = F, download=T)
NZDJPY = getSymbols.fxhistoricaldata('NZDJPY', 'hour', auto.assign = F, download=T)
AUDNZD = getSymbols.fxhistoricaldata('AUDNZD', 'hour', auto.assign = F, download=T)
EURNZD = getSymbols.fxhistoricaldata('EURNZD', 'hour', auto.assign = F, download=T)
#GBPAUD = getSymbols.fxhistoricaldata('GBPAUD', 'hour', auto.assign = F, download=T)
GBPCAD = getSymbols.fxhistoricaldata('GBPCAD', 'hour', auto.assign = F, download=T)
AUDJPY = getSymbols.fxhistoricaldata('AUDJPY', 'hour', auto.assign = F, download=T)
CADJPY = getSymbols.fxhistoricaldata('CADJPY', 'hour', auto.assign = F, download=T)
EURGBP = getSymbols.fxhistoricaldata('EURGBP', 'hour', auto.assign = F, download=T)
CHFJPY = getSymbols.fxhistoricaldata('CHFJPY', 'hour', auto.assign = F, download=T)
USDCAD = getSymbols.fxhistoricaldata('USDCAD', 'hour', auto.assign = F, download=T)
NZDUSD = getSymbols.fxhistoricaldata('NZDUSD', 'hour', auto.assign = F, download=T)
GBPCHF = getSymbols.fxhistoricaldata('GBPCHF', 'hour', auto.assign = F, download=T)
EURAUD = getSymbols.fxhistoricaldata('EURAUD', 'hour', auto.assign = F, download=T)
EURJPY = getSymbols.fxhistoricaldata('EURJPY', 'hour', auto.assign = F, download=T)
GBPJPY = getSymbols.fxhistoricaldata('GBPJPY', 'hour', auto.assign = F, download=T)
EURCAD = getSymbols.fxhistoricaldata('EURCAD', 'hour', auto.assign = F, download=T)
AUDCAD = getSymbols.fxhistoricaldata('AUDCAD', 'hour', auto.assign = F, download=T)
CADCHF = getSymbols.fxhistoricaldata('CADCHF', 'hour', auto.assign = F, download=T)
AUDCHF = getSymbols.fxhistoricaldata('AUDCHF', 'hour', auto.assign = F, download=T)
NZDCHF = getSymbols.fxhistoricaldata('NZDCHF', 'hour', auto.assign = F, download=T)
EURUSD = getSymbols.fxhistoricaldata('EURUSD', 'hour', auto.assign = F, download=T)

#to.daily(EURUSD)

#Lets make a grid
correlation <- matrix(rep(0,26*26),nrow=26,ncol=26)
df <- as.data.frame(correlation)
rm(correlation)
rownames(df)<- symbols
colnames(df) <- symbols

correlation <- df

##################################################################
# Lets do something interesting :D
pb  <- txtProgressBar(min = 0, max =26, style = 3)
for (x in 1:26) {
    for (y in 1:26) {
        if (!(x == y)) {
            pair1 <- last(to.daily(get(symbols[x])),"200 days")
            pair2 <- last(to.daily(get(symbols[y])),"200 days")
            colnames(pair1) <- c("OPEN","HIGH","LOW","CLOSE")
            colnames(pair2) <- c("OPEN","HIGH","LOW","CLOSE")

            correlation[x,y] <- round(cor(pair1$CLOSE,pair2$CLOSE),3)
        }

    }
      setTxtProgressBar(pb,x )

}