require(quantmod)
require(PerformanceAnalytics)

self_dataframe <- function(return_vector, lookback, forward){

    return_vector <- return_vector[complete.cases(return_vector),]

    b_array <- c()
    f_array <- c()

    i <- 1
    while (i <= length(return_vector)) {

        if ((i - lookback) > 0 && (i + forward)<= length(return_vector)) {
            b_return = sum(return_vector[(i-lookback):(i-1),])
            f_return = sum(return_vector[i:(i+forward-1),])

            b_array <- c(b_array, b_return)
            f_array <- c(f_array, f_return)
        }
        i <- i + lookback
    }
    
    df = data.frame(back = b_array, forward = f_array)
    return(df)
}

from <- "1900-01-01"
to <- "2099-12-31"

smbl <- "^GSPC"
# smbl <- "^N225"


gspc <- Return.calculate(Ad(getSymbols(smbl,auto.assign=FALSE,from=from,to=to)))
names(gspc) <- "return"

# 過去リターンを計算する日数（営業日）
lookback_days <- 253
# 未来リターンを計算する日数（営業日）
return_days <- 253

df <- self_dataframe(gspc,lookback_days,return_days)

xlab = paste("return for past",lookback_days,"days")
ylab = paste("return for future",return_days,"days")

plot(df[,1],df[,2],xlab=xlab,ylab=ylab)
print(cor(df[,1],df[,2]))
print(cor.test(df[,1],df[,2],method="pearson"))