Rescale

library(quantmod)

downloadDir="C:/Users/erik.johansson/Downloads"
setwd(downloadDir)
year=c(2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2013)

GT.ts=list()
n=1
for(i in year){
  for(j in 1:12){
    URL=URL_GT(keyword="FTSE 100", year=i, month=j, length=3)
    tempDir=downloadGT(URL, downloadDir)
    data=read.csv(tempDir, header=F, blank.lines.skip=F)
    start=which(data[,1]=="")[1]+3
    stop=which(data[,1]=="")[2]-1
    data=data[start:stop,]
    data[,1]=as.Date(data[,1], "%Y-%m-%d")
    data[,2]=as.numeric(as.character(data[,2]))
    rownames(data)=data[,1]
    data[3]=NA

#Calculate % change
    for(k in 2:nrow(data)){
      data[k, 3]=data[k,2]/data[k-1,2]
    }
    GT.ts[[n]]=data
    n=n+1
  }
}

output=as.xts(GT.ts[[1]][3])

for(i in 2:length(GT.ts)){
  data=as.xts(GT.ts[[i]][3])
  output=merge(output, data)
  output$new=NA

  for(j in 1:nrow(output)){
    if(is.finite(mean(output[j,],na.rm=T))) output[j,3]=mean(output[j,],na.rm=T)
  }
  output=output[,3]
  names(output)="d_svi"
}

#Start value
startvalue=100
series=vector()
series[1]=100
for(i in 2:nrow(output)){
series[i]=series[i-1]*output[i,]
}