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Finansiell handel i R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

Tre viktiga datum

Quantstrat behöver ett initDate, ett from-datum och ett to-datum.
YYYY-MM-DD, t.ex. "2000-01-01"

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

Konfigurera 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)

Översikt

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)

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Finansiell handel i R