指标结构回顾
R 中的金融交易
Ilya Kipnis
Professional Quantitative Analyst and R programmer
回顾：使用 add.indicator()
add.indicator(strategy = strategy.st, name = "SMA",
arguments = list(x = quote(Cl(mktdata)),
n = 200),
label = "SMA200")
命名指标
为指标取有描述性的名称
- 例：将200日简单移动平均命名为"SMA200"，而非仅"SMA"
保持指标名称简洁
applyIndicators()
- 创建包含市场数据和指标的中间数据集
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
- 在 quantstrat 中，指标标签由原名称、一个点和你的标签组成
applyIndicators() 续
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
- 在 quantstrat 中，指标标签由原名称、一个点和你的标签组成
更多指标机制
HLC()以 xts 对象返回最高价、最低价和收盘价
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
更多指标机制
- 使用 object[date/date] 与
HLC()对 xts 对象取子集
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
¡Vamos a practicar!
R 中的金融交易
