R 如何将技术指标应用于股票清单
我试图将MACD和RSI技术指标应用于一系列股票的调整价格。代码的最终目标是根据这两个指标为每只股票生成一个买入/卖出信号。但是,我在使用lappy函数应用指示器时遇到问题。我会感谢你的帮助。谢谢R 如何将技术指标应用于股票清单,r,lapply,quantstrat,technical-indicator,R,Lapply,Quantstrat,Technical Indicator,我试图将MACD和RSI技术指标应用于一系列股票的调整价格。代码的最终目标是根据这两个指标为每只股票生成一个买入/卖出信号。但是,我在使用lappy函数应用指示器时遇到问题。我会感谢你的帮助。谢谢 #Load Packages library(quantstrat) #Initialise Settings start.date <- "2016-01-01" end.date <- as.character(Sys.Date()) #Stock Tic
#Load Packages
library(quantstrat)
#Initialise Settings
start.date <- "2016-01-01"
end.date <- as.character(Sys.Date())
#Stock Tickers
tickers <- c("JPM", #JP Morgan
"FB", #Facebook
"SPY", #S&P 500
"AMZN", #Amazon
"WMT", #Wal-Mart
"LVMUY", #LVMH
"MCD", #Mac Donald's
"BMW", #BMW
"KO", #Coca-Cola
"G13.SI", #Genting Sg
"Z74.SI" #Singtel
)
#Retrieving Stock Data
options("getSymbols.yahoo.warning"=FALSE)
suppressMessages(getSymbols(Symbols = tickers, from = start.date, to = end.date, src = "yahoo", adjust = TRUE))
#Grouping Adjusted Prices
AdjPrices <- do.call(merge, lapply(tickers, function(x) Ad(get(x))))
#Apply MACD Indicator
MACD <- lapply(AdjPrices, MACD, list(AdjPrices, nFast =12, nSlow = 26, nSig = 9))
#加载包
图书馆(quantstrat)
#初始化设置
start.date尝试以下方法:
MACD <- lapply(AdjPrices, FUN = MACD, nFast =12, nSlow = 26, nSig = 9)
您好,很抱歉回复太晚,再次感谢您的帮助。你能给我解释一下你的代码是怎么工作的吗?为了回答你的问题,是的,我最终希望它看起来像这样。此外,我希望包括RSI指标,然后如果两个指标的标准都满足,则生成买入/卖出信号。关于此代码还有什么不清楚的地方,我将进行扩展?您首先在问题中使用了这些函数(如do.call等),因此不确定您不清楚的是什么。您能向我解释一下方括号{}在do.call函数中的作用吗?谢谢
z <- do.call(merge, lapply(AdjPrices, function(x, nFast, nSlow, nSig) {
y <- MACD(x, nFast, nSlow, nSig)
colnames(y) <- paste0(colnames(y),".", gsub(pattern = ".Adjusted", replacement = "", x = colnames(x)))
y
}, nFast = 12, nSlow = 26, nSig = 9))
> tail(z)
macd.JPM signal.JPM macd.FB signal.FB macd.SPY signal.SPY
2017-06-23 0.5439033 0.2746984 0.7333757 0.6242897 0.4931503 0.5617852
2017-06-26 0.5628315 0.3323250 0.7378923 0.6470103 0.4735852 0.5441452
2017-06-27 0.6455863 0.3949773 0.5754388 0.6326960 0.3884193 0.5130000
2017-06-28 0.8647098 0.4889238 0.5809413 0.6223450 0.3883060 0.4880612
2017-06-29 1.1460891 0.6203568 0.4633677 0.5905496 0.3134080 0.4531306
2017-06-30 1.3738249 0.7710504 0.3627919 0.5449980 0.2656285 0.4156302
use_MACD <- function(x, nFast, nSlow, nSig) {
y <- MACD(x, nFast, nSlow, nSig)
colnames(y) <- paste0(colnames(y),".", gsub(pattern = ".Adjusted", replacement = "", x = colnames(x)))
y
}
tickerLst <- lapply(AdjPrices, FUN = use_MACD, nFast = 12, nSlow = 26, nSig = 9)
# Now have a list of "macd" values for each ticker.
#Combine into one xts object:
z <- do.call(merge, tickerLst)