【原创】R语言TMA三均线策略实现附代码数据
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1、source(in-sample_period.R)library(TTR)getOrders - function(store, newRowList, currentPos, params) allzero - rep(0,length(newRowList) # used for initializing vectors # # You do not need to edit this part of the code # that initializes and updates the store # if (is.null(store) store - initStore(newRo
2、wList) else store - updateStore(store, newRowList) # pos params$lookbacks$long) for (index in 1:length(params$series) current_close=last(store$clindex) close=store$clindex xtsclose=as.xts(close) GETtma=getTMA(xtsclose,params$lookbacks) pos=getPosSignFromTMA(GETtma)*getPosSize(current_close) # # You
3、do not need to edit this part of the code # that initializes and updates the store # marketOrders - -currentPos + pos return(list(store=store,marketOrders=marketOrders, limitOrders1=allzero,limitPrices1=allzero, limitOrders2=allzero,limitPrices2=allzero)# The following function should be edited to c
4、omplete steps 1 to 3# of comp22 assignment 2getTMA - function(close_prices, lookbacks) if (!(long %in% names(lookbacks) & short %in% names(lookbacks) & medium %in% names(lookbacks) ) stop(E01: At least one of short, medium, long is missing from names(lookbacks) # Replace TRUE to # check that the ele
5、ments of lookbacks are all integers if( !(class(lookbacks1)=integer & class(lookbacks2)=integer & class(lookbacks3)=integer) stop(E02: At least one of the lookbacks is not an integer according to is.integer() # Replace TRUE to # check that lookbacks$short lookbacks$medium lookbacks$long if (!(lookba
6、cks1lookbacks2 & lookbacks2lookbacks3) stop(E03: The lookbacks do not satisfy lookbacks$short lookbacks$medium lookbacks$long) # Replace TRUE to # check that close_prices is an xts if (!(class(close_prices)1=xts) stop(E04: close_prices is not an xts according to is.xts() # Replace TRUE to # check th
7、at close_prices has enough rows if (nrow(close_prices)max(lookbacks1,lookbacks2,lookbacks3) stop(E05: close_prices does not enough rows) # Replace TRUE to # check that close_prices contains a column called Close if (!(colnames(close_prices)=Close) stop(E06: close_prices does not contain a column Clo
8、se) sma=numeric(0) for(i in 1:3) smai -as.numeric(last(SMA(close_prices,n=lookbacksi) # TTR version # convert to vector from xts smalist - list(short=sma1,medium=sma2,long=sma3) # You need to replace the assignment to ret so that the # returned object: # - is a list # - has the right names (short, m
9、edium, long), and # - contains numeric and not xts objects # - and contains the correct moving average values, which should # have windows of the correct sizes which should all end in the # same period which should be the last row of close_prices return(smalist) getPosSignFromTMA - function(tma_list
10、) if(tma_list$shorttma_list$medium & tma_list$mediumtma_list$medium & tma_list$mediumtma_list$short)ret=-1 else ret=0 return(ret) getPosSize - function(current_close,constant=1000) return(floor(constant/current_close)getInSampleResult - function() TIme=getInSamplePeriod(x1xxx ) dataList -getData(dir
11、ectory=A2) dataList -lapply(dataList, function(x)xTIme1:TIme2) lookbacks -list(short=as.integer(5),medium=as.integer(10),long=as.integer(20) sMult - 0.2 # slippage multiplier newRowList=getRowList(dataList,1) numOfSeries=length(dataList) params -list(lookbacks=lookbacks,sdParam=1,series=1:numOfSerie
12、s)#,posSizes=rep(1,getPosSize(newRowList1$Close) results - backtest(dataList, getOrders, params, sMult) pfolioPnL - plotResults(dataList,results) pfolioPnL$fitAgg cat(PD ratio ,pfolioPnL$fitAgg) getInSampleOptResult - function() sMult - 0.2 # slippage multiplier TIme=getInSamplePeriod(x4wl1)# dataLi
13、st -getData(directory=A2) dataList -lapply(dataList, function(x)xTIme1:TIme2) sMult - 0.2 # slippage multiplier numOfSeries=length(dataList) medium - seq(from=105,to=120,by=5) short - seq(from=100,to=110,by=5) long - seq(from=110,to=130,by=5) time - matrix(0,28,3) row=1 for(z in 1:length(long) for(i
14、 in 1:length(short) for(j in 1:length(medium)if(shortimediumj & mediumj longz)timerow,=c(as.integer(shorti),as.integer(mediumj),as.integer(longz) row=row+1 colnames(time)=c(short,medium,long) resultsMatrix - matrix(nrow=nrow(time),ncol=4) colnames(resultsMatrix) - c(short,medium,long,PDratio) pfolio
15、PnLList - vector(mode=list,length=nrow(time) count - 1 for (i in 1:nrow(time) newRowList=getRowList(dataList,count) short=as.integer(timei,1);medium=as.integer(timei,2);long=as.integer(timei,3); lookbacks -list(short=short,medium=medium,long=long) params -list(lookbacks=lookbacks,sdParam=1,series=1:
16、numOfSeries,posSizes=rep(1,getPosSize(newRowList1$Close) results - backtest(dataList, getOrders, params, sMult) pfolioPnL - plotResults(dataList,results) resultsMatrixcount, - c(lookbacks1,lookbacks2,lookbacks3,pfolioPnL$fitAgg) pfolioPnLListcount- pfolioPnL cat(Just completed,count,out of,time,n) p
17、rint(resultsMatrixcount,) count - count + 1 print(resultsMatrixorder(resultsMatrix,PDratio),) return(max(resultsMatrix,4)# The functions below do NOT need to be edited for comp226 assignment 2initClStore - function(newRowList) clStore - lapply(newRowList, function(x) x$Close) return(clStore)updateCl
18、Store - function(clStore, newRowList) clStore - mapply(function(x,y) rbind(x,y$Close),clStore,newRowList,SIMPLIFY=FALSE) return(clStore)initStore - function(newRowList,series) return(list(iter=1,cl=initClStore(newRowList)updateStore - function(store, newRowList) store$iter - store$iter + 1 store$cl
19、- updateClStore(store$cl,newRowList) return(store)#testlibrary(TTR)#getTMAsource(framework/data.R)# Loading required package: xts# Loading required package: zoo# # Attaching package: zoo# The following objects are masked from package:base:# # as.Date, as.Date.numeric# Version 0.4-0 included new data
20、 defaults. See ?getSymbols.source(framework/backtester.R)source(framework/processResults.R)lookbacks -list(short=as.integer(5),medium=as.integer(10),long=as.integer(20)# Read in datadataList - getData(directory=A2)# Read 3 series from DATA/A2close_prices -dataList1$Close1:20getTMA(close_prices,lookb
21、acks)# $short# 1 16.948# # $medium# 1 17.086# # $long# 1 17.1525getPosSignFromTMA(getTMA(close_prices,lookbacks)# 1 1current_close - 100.5getPosSize(current_close)# 1 9getInSampleResult()# Read 3 series from DATA/A2# PD ratio -107565.9getInSampleOptResult()# Read 3 series from DATA/A2# Just complete
22、d 1 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 1
23、25 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 105.00 110.00 -71145.22# Just completed 2 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120
24、 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 105.00 115.00 -44965.95# Just completed 3 out of 100 100 100 105 100 100 100 105 105 110 100 1
25、00 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short m
26、edium long PDratio # 100.00 110.00 115.00 -51909.61# Just completed 4 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120
27、 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 105.00 110.00 115.00 -80736.32# Just completed 5 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 1
28、05 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 105.00 120.00 -41036.18# Jus
29、t completed 6 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125
30、 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 110.00 120.00 -55139.27# Just completed 7 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 1
31、10 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 115.00 120.00 -50172.36# Just completed 8 out of 100 100 100 105 100 100 100 105 105
32、 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130
33、 # short medium long PDratio # 105.0 110.0 120.0 -76396.1# Just completed 9 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 1
34、15 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 105.00 115.00 120.00 -74760.33# Just completed 10 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 10
35、5 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 110.00 115.00 120.00 -68067.
36、44# Just completed 11 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125
37、 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 105.00 125.00 -37520.49# Just completed 12 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115
38、115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 110.00 125.00 -42490.56# Just completed 13 out of 100 100 100 105 100 100 1
39、00 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 1
40、30 130 130 # short medium long PDratio # 100.00 115.00 125.00 -37721.27# Just completed 14 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 12
41、0 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 120.00 125.00 -58276.12# Just completed 15 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100
42、 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 105.00 110.00
43、 125.00 -67416.08# Just completed 16 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120
44、120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 105.00 115.00 125.00 -61405.05# Just completed 17 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 1
45、10 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 105.00 120.00 125.00 -53643.25# Just completed 18 out of 100 100 10
46、0 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 13
47、0 130 130 130 130 130 130 # short medium long PDratio # 110.00 115.00 125.00 -53917.27# Just completed 19 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120
48、 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 110.00 120.00 125.00 -61091.66# Just completed 20 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105
49、105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio
50、# 100.00 105.00 130.00 -32146.52# Just completed 21 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 1
51、20 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 110.00 130.00 -29651.36# Just completed 22 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 10
52、5 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 115.00 130.00 -18750.82# Just completed 23 ou
53、t of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125
54、 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 100.00 120.00 130.00 -41816.79# Just completed 24 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110
55、115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 105.00 110.00 130.00 -55087.09# Just completed 25 out of 100 100 100 105 100 100 100 105 105 110 100 100 1
56、00 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 115 120 110 115 120 115 120 105 110 115 120 110 115 120 115 120 110 115 115 115 120 120 120 120 120 120 125 125 125 125 125 125 125 125 125 130 130 130 130 130 130 130 130 130 # short medium long PDratio # 105.00 115.00 130.00 -45589.66# Just completed 26 out of 100 100 100 105 100 100 100 105 105 110 100 100 100 100 105 105 105 110 110 100 100 100 100 105 105 105 110 110 105 105 110 110 105 110 115 110 115 115 105 110 1
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