Generating stable equity line

# read post: http://www.reakkt.com/2012/10/how-to-generate-save-investment-strategy.html

k <- 500 # liczba strategii

n <- 500 # dlugosc okresu modelowania

x <- matrix(NA,n,k)

for (i in 1:k) x[,i] <- rnorm(n,mean=runif(1,0.01,0.05),sd=runif(1,1,6))/100

range(cov(x))

x <- sapply(1:k, function(i) cumsum(x[,i]))

y <- rowSums(x)

par(mfrow=c(2,1))

matplot(x,type="l",lty="solid",xlab="time",ylab="return")

plot(y,type="l",xlab="time",ylab="return")

par(mfrow=c(1,1))