用R语言言做量化投资

整理了一份关于R语言做量化投资的笔记，欢迎大家阅览，也欢迎感兴趣的一起来完善：github地址12

quantmod简介

1 quantmod是什么？

quantmod是R语言中的金融量化投资分析包，提供量化投资分析一体化解决方案，能够帮助用户完成提取数据、数据重整、金融建模、交易回测和模型可视化等诸多环节。

2 quantmod能做什么？

2.1 提取数据

> getSymbols("CHL");
[1] "CHL" > head(CHL);
           CHL.Open CHL.High CHL.Low CHL.Close CHL.Volume CHL.Adjusted 2007-01-03 45.45 46.84 45.45 46.14 3538300 35.40 2007-01-04 44.25 45.05 43.62 44.43 3210000 34.09 2007-01-05 44.99 44.99 43.12 43.24 2036300 33.17 2007-01-08 43.69 44.07 43.16 43.90 1230200 33.68 2007-01-09 42.98 42.98 41.56 41.85 2566100 32.11 2007-01-10 41.41 42.12 40.86 41.96 1987000 32.19 

2.2 数据重整

> getSymbols("GS") #Goldman OHLC from yahoo [1] "GS" > is.OHLC(GS) # does the data contain at least OHL and C? > has.Vo(GS) # how about volume? > Op(GS) # just the Open column please.  > seriesHi(GS) # where and what was the high point

2.3 金融数据可视化

> getSymbols("GS") #Goldman OHLC from yahoo [1] "GS" > chartSeries(GS) 
> candleChart(GS,subset='2007-12::2008')
> candleChart(GS,theme='white', type='candles')
> reChart(major.ticks='months',subset='first 16 weeks') 
> chartSeries(GS, theme="white",TA="addVo();addBBands();addCCI()")