Tinjauan struktur indikator

Perdagangan Finansial dengan R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

Tinjauan: menggunakan add.indicator()

add.indicator(strategy = strategy.st, name = “SMA",
              arguments = list(x = quote(Cl(mktdata)), 
                               n = 200),
              label = "SMA200")

Menamai indikator

Beri indikator nama yang deskriptif
- Contoh: beri nama simple moving average 200 hari “SMA200”, bukan hanya “SMA”
Jaga nama indikator tetap sederhana

applyIndicators()

membuat dataset perantara berisi data pasar dan indikator

test <- applyIndicators(strategy = strategy.st, 
                          mktdata = OHLC(LQD))
head(test, n = 3)

           LQD.Open LQD.High  LQD.Low LQD.Close SMA.SMA200 
SMA.SMA50 DVO.DVO_2_126           
2003-01-02 58.37216 58.37216 57.32224  57.49366         NA    
 NA            NA
2003-01-03 57.63829 57.82042 57.45616  57.82042         NA 
 NA            NA
2003-01-06 57.71864 57.79363 57.39724  57.79363         NA        
 NA            NA

tail(test, n = 3)

           LQD.Open LQD.High  LQD.Low LQD.Close SMA.SMA200 SMA.SMA50 DVO.DVO_2_126
2015-12-23 113.9586 114.1979 113.8888   114.178   115.1378  115.0177     65.873016
2015-12-24 114.3400 114.5500 114.2000   114.550   115.1258  114.9885     92.857143
2015-12-28 114.3600 114.5600 114.2100   114.410   115.1147  114.9575     80.952381

Di quantstrat, label indikator berupa nama asli, titik, lalu label Anda

applyIndicators() lanjutan

tail(test, n = 3)

           LQD.Open LQD.High  LQD.Low LQD.Close SMA.SMA200 
SMA.SMA50 DVO.DVO_2_126
2015-12-23 113.9586 114.1979 113.8888   114.178   115.1378  
115.0177     65.873016
2015-12-24 114.3400 114.5500 114.2000   114.550   115.1258  
114.9885     92.857143
2015-12-28 114.3600 114.5600 114.2100   114.410   115.1147  
114.9575     80.952381

Di quantstrat, label indikator berupa nama asli, titik, lalu label Anda

Mekanika indikator lanjutan

HLC() mengembalikan high, low, dan close sebagai objek xts

head(HLC(LQD))

           LQD.High  LQD.Low LQD.Close
2002-07-30 52.35639 51.97142  52.03302
2002-07-31 52.48472 52.12541  52.35126
2002-08-01 52.92102 52.51038  52.86456
2002-08-02 53.02368 52.58738  52.97235
2002-08-05 53.20334 52.61818  52.84402
2002-08-06 52.69004 52.40772  52.66437

Mekanika indikator lanjutan

Gunakan object[date/date] dengan HLC() untuk subset objek xts

HLC(LQD["2012-01-01/2012-01-07"])

           LQD.High  LQD.Low LQD.Close
2012-01-03 97.05994 96.63424  96.77897
2012-01-04 97.01737 96.58316  96.85560
2012-01-05 96.85560 96.37881  96.43841
2012-01-06 96.90669 96.54058  96.81303

Ayo berlatih!

Perdagangan Finansial dengan R