TidyQuant 动量策略

Posted 2020-11-27 amosding

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library(stringr)

szcode=read.table("clipboard",header=T)#上证代码
sccode=read.table("clipboard",header=T)#深证代码
zxcode=read.table("clipboard",header=T)#中小代码

code=paste0(szcode[,1],".ss")
Z=paste0("A",1:length(code))
price=list()
for(i in 1:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 57:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-1]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 499:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-1]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 500:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-2]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 500:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-2]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 807:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-3]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 957:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-2]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 1123:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-3]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 1162:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-2]]=monthlyReturn(Cl(na.approx(STOCK)))
}

library(stringr)

szcode=read.table("clipboard",header=T)#上证代码
sccode=read.table("clipboard",header=T)#深证代码
zxcode=read.table("clipboard",header=T)#中小代码

code=paste0(szcode[,1],".ss")
Z=paste0("A",1:length(code))
price=list()
for(i in 1:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 57:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-1]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 499:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-1]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 500:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-2]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 500:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-2]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 807:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-3]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 957:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-2]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 1123:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-3]]=monthlyReturn(Cl(na.approx(STOCK)))
}

for(i in 1370:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src=‘yahoo‘))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-8]]=monthlyReturn(Cl(na.approx(STOCK)))
}

p=price[[1]]
for(i in 2:length(price)){
  a=price[[i]]
  p=merge.xts(p,a,join="outer")
}

pp=tk_tbl(p)
ppp=tk_xts(pp,silent=T)
m=pp %>%
  tq_mutate(mutate_fun = rollapply,
            width      = 10,
            FUN        = sum,
            by.column  = TRUE,
            col_rename = paste0("history",1:1430))
mm=tk_xts(m,silent=T)
history=mm[,1431:2860]
return=mm[,1:1430]
x=merge.xts(history,return,type="outer")
h=na.approx(x[,1:1430])
r=na.approx(x[,1431:2860])
cr=vector()
for(i in 1:nrow(h)){
  a=0
  for(j in 1:ncol(h)){
    if(h[i,j]>quantile(h[i,],0.9,na.rm=T)){
      a=a+r[i+1,j]
    }
    cr[i]=a/ncol(h)
  }
}

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