Konfiguracja strategii I

Handel finansowy w R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

Trzy ważne daty

Quantstrat wymaga daty inicjalizacji, daty początkowej i końcowej.
YYYY-MM-DD, np. „2000-01-01"

initdate <- "1999-01-01"
from <- "2003-01-01"
to <- "2015-12-31"

Konfiguracja quantstrat

# Set system environment timezone:
Sys.setenv(TZ = "UTC")

# Set currency (we'll use USD for now):
currency("USD")

# Obtain financial data:
getSymbols("LQD", from = from, to = to, 
           src = "yahoo", adjust = TRUE)
# Treat as basic equity
stock("LQD", currency = "USD", multiplier = 1)

Przegląd

initDate = "1999-01-01"
from = "2003-01-01"
to = "2015-12-31"
Sys.setenv(TZ = "UTC")
currency("USD")
getSymbols("LQD", from = from, to = to, src = "yahoo", 
           adjust = TRUE)

Czas na ćwiczenia!

Handel finansowy w R