R - 将外部指标加载到Quantstrat中

1 回答

• 7

  您需要将文件读入xts对象 . 您可以使用 read.zoo 和 as.xts 执行此操作 .

  library(quantstrat)
  
  # read indicators data
  indicators <- read.zoo(header = TRUE, as.is = TRUE,
                         index.column = 1, format = "%m/%d/%y", text = "
          Date   Open   High    Low  Close    Volume Adj.Close TD.Sell.Count TD.Buy.Count
  1   12/21/15 201.41 201.88 200.09 201.67  99094300    197.43             0            0
  2   12/22/15 202.72 203.85 201.55 203.50 111026200    199.22             0            0
  3   12/23/15 204.69 206.07 204.58 206.02 110987200    201.69             0            0
  4   12/24/15 205.72 206.33 205.42 205.68  48539600    201.36             0            0
  5   12/28/15 204.86 205.26 203.94 205.21  65899900    200.90             1            0
  6   12/29/15 206.51 207.79 206.47 207.40  92640700    203.04             2            0
  7   12/30/15 207.11 207.21 205.76 205.93  63317700    201.60             0            1
  8   12/31/15 205.13 205.89 203.87 203.87 102929500    199.58             0            2
  9     1/4/16 200.49 201.03 198.59 201.02 222353500    196.79             0            3
  10    1/5/16 201.40 201.90 200.05 201.36 110845800    197.13             0            4
  11    1/6/16 198.34 200.06 197.60 198.82 152112600    194.64             0            5
  12    1/7/16 195.33 197.44 193.59 194.05 213436100    189.97             0            6
  13    1/8/16 195.19 195.85 191.58 191.92 209817200    187.89             0            7
  14   1/11/16 193.01 193.41 189.82 192.11 187941300    188.07             0            8
  15   1/12/16 193.82 194.55 191.14 193.66 172330500    189.59             0            9
  16   1/13/16 194.45 194.86 188.38 188.83 221168900    184.86             0           10
  17   1/14/16 189.55 193.26 187.66 191.93 240795600    187.90             1            0
  18   1/15/16 186.77 188.76 185.52 187.81 314240200    183.86             0            1
  19   1/19/16 189.96 190.11 186.20 188.06 195244400    184.11             0            2
  20   1/20/16 185.03 187.50 181.02 185.65 286547800    181.75             0            3
  21   1/21/16 186.21 188.87 184.64 186.69 195772900    182.77             0            4
  22   1/22/16 189.78 190.76 188.88 190.52 168319600    186.51             1            0
  23   1/25/16 189.92 190.15 187.41 187.64 130371700    183.70             0            1
  24   1/26/16 188.42 190.53 188.02 190.20 141036800    186.20             1            0
  25   1/27/16 189.58 191.56 187.06 188.13 185681700    184.18             2            0
  26   1/28/16 189.96 190.20 187.16 189.11 143798800    185.13             0            1
  27   1/29/16 190.02 193.88 189.88 193.72 210529300    189.65             1            0
  28    2/1/16 192.53 194.58 191.84 193.65 136061600    189.58             2            0
  29    2/2/16 191.96 191.97 189.54 190.16 182564900    186.16             3            0
  30    2/3/16 191.41 191.78 187.10 191.30 205054900    187.28             4            0
  31    2/4/16 190.71 192.75 189.96 191.60 139531800    187.57             0            1
  32    2/5/16 190.99 191.67 187.20 187.95 180788300    184.00             0            2
  33    2/8/16 185.77 186.12 182.80 185.42 191526700    181.52             0            3
  34    2/9/16 183.36 186.94 183.20 185.43 184513100    181.53             0            4
  35   2/10/16 186.41 188.34 185.12 185.27 148214100    181.38             0            5
  36   2/11/16 182.34 184.10 181.09 182.86 219058900    179.02             0            6
  37   2/12/16 184.96 186.65 183.96 186.63 127632400    182.71             1            0
  38   2/16/16 188.77 189.81 187.63 189.78 120250700    185.79             2            0
  39   2/17/16 191.16 193.32 191.01 192.88 136009500    188.83             3            0
  40   2/18/16 193.20 193.27 191.72 192.09 102343000    188.05             4            0
  41   2/19/16 191.17 192.18 190.45 192.00 114793000    187.96             5            0
  42   2/22/16 193.87 194.95 193.79 194.78 103640300    190.69             6            0
  43   2/23/16 194.00 194.32 192.18 192.32 111455300    188.28             0            1
  44   2/24/16 190.63 193.53 189.32 193.20 150812200    189.14             1            0
  45   2/25/16 193.73 195.55 192.83 195.54 110728300    191.43             2            0
  46   2/26/16 196.57 196.68 194.90 195.09 129833700    190.99             3            0
  47   2/29/16 195.11 196.23 193.33 193.56 125918100    189.49             4            0
  48    3/1/16 195.01 198.21 194.45 198.11 141799700    193.95             5            0
  49    3/2/16 197.74 199.06 197.25 199.00 102415000    194.82             6            0
  50    3/3/16 198.79 199.80 198.11 199.78  95172200    195.58             7            0
  51    3/4/16 200.01 201.35 199.03 200.43 129293600    196.22             8            0
  52    3/7/16 199.34 201.07 199.25 200.59 100219000    196.37             9            0
  ")
  indicators <- as.xts(indicators)
  

  那么最简单的事情就是将指标数据与市场价格数据合并 .

  # get data for same interval as indicators
  getSymbols("SPY", from = start(indicators), to = end(indicators), adjust = TRUE)
  
  # merge indicators with data
  SPY <- merge(SPY, indicators[, c("TD.Sell.Count", "TD.Buy.Count")])
  

  现在您可以设置您的策略 . 请注意，您不需要设置 initDate （如果设置不正确，实际上可能会为自己创建问题），如果要使用 osMaxPos ，则需要使用 addPosLimit 设置位置限制 . 我还将 threshold 从8减少到6以获得一个入口和一个出口信号 .

  # Set the timezone to UTC
  Sys.setenv(TZ = "UTC")
  
  # Set the currency to USD 
  currency("USD")
  stock("SPY", currency = "USD")
  
  # Define your trade size and initial equity
  tradesize <- 100000
  initeq <- 100000
  
  # Define the names of your strategy, portfolio and account
  strategy.st <- "firststrat"
  portfolio.st <- "firststrat"
  account.st <- "firststrat"
  
  # Remove the existing strategy if it exists
  rm.strat(strategy.st)
  
  # initialize the portfolio
  initPortf(portfolio.st, symbols = "SPY")
  
  # initialize the account
  initAcct(account.st, portfolios = portfolio.st, initEq = initeq)
  
  # initialize the orders
  initOrders(portfolio.st)
  
  # set position limits
  addPosLimit(portfolio.st, "SPY", start(SPY), 100)
  
  # store the strategy
  strategy(strategy.st, store = TRUE)
  
  add.signal(strategy.st, name = "sigThreshold",
             arguments = list(column = "TD.Buy.Count",
                              threshold = 6,
                              relationship = "gt",
                              cross = TRUE),
             label = "thresholdentry")
  
  add.signal(strategy.st, name = "sigThreshold",
             arguments = list(column = "TD.Sell.Count",
                              threshold = 6,
                              relationship = "gt",
                              cross = TRUE),
             label = "thresholdexit")
  
  add.rule(strategy.st, name = "ruleSignal",
           arguments = list(sigcol = "thresholdentry",
                            sigval = TRUE,
                            ordertype = "market",
                            orderside = "long",
                            orderqty = 100,
                            replace = FALSE,
                            prefer = "Open",
                            osFUN = osMaxPos,
                            tradeSize = tradesize,
                            maxSize = tradesize),
           type = "enter")
  
  add.rule(strategy.st, name = "ruleSignal",
           arguments = list(sigcol = "thresholdexit",
                            sigval = TRUE,
                            orderqty = "all",
                            ordertype = "market",
                            orderside = "long",
                            replace = FALSE,
                            prefer = "Open"),
           type = "exit")
  
  applyStrategy(strategy.st, portfolio.st)
  # [1] "2016-01-11 00:00:00 SPY 100 @ 193.009995"
  # [1] "2016-03-04 00:00:00 SPY -100 @ 200.009995"
  

  回复于 2024-05-02T03:39:05+08:00