# install.packages("lubridate")
library("lubridate")

# Read in  after downloading the .csv file from CryptoCompare 
price <- read.csv(file.choose())
price <- price[,-3:-8]

# Choose time period
start <- ymd("2016-01-01")
end <- ymd("2017-08-01")

# Select the period of prices 
price$time <- ymd(price$time) 
int <- interval(start, end)
price <- price[price$time %within% int,]

# Calculate the return and plot the hisogram 
numerator <- diff(price[,2], k=1)
denominator <- head(price[,2], -1)
Return <- numerator/denominator
hist(Return)

# Value at Risk
VaRhistorical <- function(returnVector, alpha=.95, digits=2) 
{
  result <- -quantile(returnVector, 1- alpha) 
  signif(result, digits=digits)
}
VaRresult <- VaRhistorical(Return)
cat("VaR at .95:", VaRresult)

# Expected Shortfall
EShistorical <- function(returnVector, alpha=.95, digits=2) 
{
  v <- quantile(returnVector, 1- alpha)
  result <- -mean(returnVector[returnVector <= v])
  signif(result, digits=digits)
}
ESresult <- EShistorical(Return)
cat(" ES at .95:", ESresult)