Quantsrat讓R語言像Python同樣進行策略回測和量化交易
使用Quantsrat包
Quantsrat用來創建策略、添加指標、生成信號、生成買賣規則等進行回測。效果相似優礦、萬礦、米筐那樣的Python量化平臺同樣。由於不能CRAN在線安裝，安裝過程當中還有一些坑。但願本文能夠幫你們更順利開始R的量化交易學習。html
安裝Quantsrat
試了一下，看來Quantsrat沒有加入CRAN。每次遇到這種狀況知道安裝不會太順利🤣ios
> install.packages("quantsrat")
Warning in install.packages :
package ‘quantsrat’ is not available (for R version 3.6.2)
先安裝devtools、FinancialInstrument、PerformanceAnalytics和zoo包
> install.packages("devtools")
trying URL 'https://mirrors.tongji.edu.cn/CRAN/bin/windows/contrib/3.6/devtools_2.2.1.zip'
Content type 'application/zip' length 342853 bytes (334 KB)
downloaded 334 KB
package ‘devtools’ successfully unpacked and MD5 sums checked
The downloaded binary packages are in
C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\downloaded_packages
> install.packages("FinancialInstrument")
trying URL 'https://mirrors.tongji.edu.cn/CRAN/bin/windows/contrib/3.6/FinancialInstrument_1.3.1.zip'
Content type 'application/zip' length 550826 bytes (537 KB)
downloaded 537 KB
package ‘FinancialInstrument’ successfully unpacked and MD5 sums checked
The downloaded binary packages are in
C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\downloaded_packages
> install.packages("PerformanceAnalytics")
trying URL 'https://mirrors.tongji.edu.cn/CRAN/bin/windows/contrib/3.6/PerformanceAnalytics_1.5.3.zip'
Content type 'application/zip' length 2866935 bytes (2.7 MB)
downloaded 2.7 MB
package ‘PerformanceAnalytics’ successfully unpacked and MD5 sums checked
The downloaded binary packages are in
C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\downloaded_packages
> install.packages("zoo")
There is a binary version available but the source version is later:
binary source needs_compilation
zoo 1.8-6 1.8-7 TRUE
Binaries will be installed
trying URL 'https://mirrors.tongji.edu.cn/CRAN/bin/windows/contrib/3.6/zoo_1.8-6.zip'
Content type 'application/zip' length 1103089 bytes (1.1 MB)
downloaded 1.1 MB
package ‘zoo’ successfully unpacked and MD5 sums checked
The downloaded binary packages are in
C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\downloaded_packages
>
再安裝Rtools
從http://cran.r-project.org/bin/windows/Rtools/下載推薦的版本。就是recommended的那個。綠色的那個。git
這網速，我都快嚇哭了。github
忘了，應該從同濟大學的鏡像下載。在https://mirrors.tongji.edu.cn/CRAN/bin/windows/Rtools/下載相同的文件。shell
這速度仍是很感人了吧。segmentfault
啓動安裝包。標準的Windows安裝包。使用推薦配置，加入到系統PATH變量，而後一路下一步就搞定了。windows
說實話，安裝的速度比下載的速度還慢。看來又該換電腦啦。誰家有閒置不用的好筆記本贈送麼？哈app
安裝blotter和quantstrat包
安裝blotter包的時候依舊是老問題。我在北京訪問github輕微困難。期待微軟儘快解決吧。dom
> devtools::install_github("braverock/blotter")
Error: Failed to install 'unknown package' from GitHub:
schannel: failed to receive handshake, SSL/TLS connection failed
>
多試幾回終於成功了。ide
裏面詢問是否升級zoo包的時候，直接回車，跳過便可。
> devtools::install_github("braverock/blotter")
Downloading GitHub repo braverock/blotter@master
These packages have more recent versions available.
Which would you like to update?
1: All
2: CRAN packages only
3: None
4: zoo (1.8-6 -> 1.8-7) [CRAN]
Enter one or more numbers, or an empty line to skip updates:
√ checking for file 'C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\remotesf9c12655770\braverock-blotter-3630fde/DESCRIPTION' ...
- preparing 'blotter': (862ms)
√ checking DESCRIPTION meta-information ...
- cleaning src
- checking for LF line-endings in source and make files and shell scripts (707ms)
- checking for empty or unneeded directories
- looking to see if a 'data/datalist' file should be added
- building 'blotter_0.14.7.tar.gz'
* installing *source* package 'blotter' ...
** using staged installation
** libs
*** arch - i386
C:/Rtools/mingw_32/bin/gcc -I"E:/R-36~1.2/include" -DNDEBUG -O3 -Wall -std=gnu99 -mtune=generic -c calcPosAvgCost.c -o calcPosAvgCost.o
C:/Rtools/mingw_32/bin/gcc -I"E:/R-36~1.2/include" -DNDEBUG -O3 -Wall -std=gnu99 -mtune=generic -c init.c -o init.o
C:/Rtools/mingw_32/bin/gcc -shared -s -static-libgcc -o blotter.dll tmp.def calcPosAvgCost.o init.o -LE:/R-36~1.2/bin/i386 -lR
installing to E:/R-3.6.2/library/00LOCK-blotter/00new/blotter/libs/i386
*** arch - x64
C:/Rtools/mingw_64/bin/gcc -I"E:/R-36~1.2/include" -DNDEBUG -O2 -Wall -std=gnu99 -mtune=generic -c calcPosAvgCost.c -o calcPosAvgCost.o
C:/Rtools/mingw_64/bin/gcc -I"E:/R-36~1.2/include" -DNDEBUG -O2 -Wall -std=gnu99 -mtune=generic -c init.c -o init.o
C:/Rtools/mingw_64/bin/gcc -shared -s -static-libgcc -o blotter.dll tmp.def calcPosAvgCost.o init.o -LE:/R-36~1.2/bin/x64 -lR
installing to E:/R-3.6.2/library/00LOCK-blotter/00new/blotter/libs/x64
** R
** data
** demo
** byte-compile and prepare package for lazy loading
** help
*** installing help indices
converting help for package 'blotter'
finding HTML links ... 好了
AcctReturns html
IBM html
PortfReturns html
addAcctTxn html
addDiv html
addPortfInstr html
addTxn html
amzn html
blotter-package html
calcPortfWgt html
calcPosAvgCost html
calcTxnAvgCost html
calcTxnValue html
chart.ME html
chart.Posn html
chart.Reconcile html
chart.Spread html
dailyTxnPL html
extractTxns html
getAccount html
getByPortf html
getBySymbol html
getEndEq html
getPortfAcct html
getPortfolio html
getPos html
getPosAvgCost html
getPosQty html
getTxns html
hist.mcsim html
hist.txnsim html
initAcct html
initPortf html
initPosPL html
initSummary html
initTxn html
is.account html
is.portfolio html
mcsim html
pennyPerShare html
perTradeStats html
plot.mcsim html
plot.txnsim html
put.account html
put.portfolio html
quantile.mcsim html
quantile.txnsim html
summary.mcsim html
summary.txnsim html
tradeQuantiles html
tradeStats html
txnsim html
txnsim.portfs html
txnsim.portnames html
txnsim.txns html
updateAcct html
updateEndEq html
updatePortf html
updatePosPL html
** building package indices
** testing if installed package can be loaded from temporary location
*** arch - i386
*** arch - x64
** testing if installed package can be loaded from final location
*** arch - i386
*** arch - x64
** testing if installed package keeps a record of temporary installation path
* DONE (blotter)
>
安裝quantstrat包。一樣回車直接跳過升級。
> devtools::install_github("braverock/quantstrat")
Downloading GitHub repo braverock/quantstrat@master
These packages have more recent versions available.
Which would you like to update?
1: All
2: CRAN packages only
3: None
4: zoo (1.8-6 -> 1.8-7) [CRAN]
Enter one or more numbers, or an empty line to skip updates:
√ checking for file 'C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\remotesf9c2cae58d7\braverock-quantstrat-9960e3e/DESCRIPTION' ...
- preparing 'quantstrat': (1.4s)
√ checking DESCRIPTION meta-information ...
- cleaning src
- checking for LF line-endings in source and make files and shell scripts (1.1s)
- checking for empty or unneeded directories
- looking to see if a 'data/datalist' file should be added
NB: this package now depends on R (>= 3.5.0)
WARNING: Added dependency on R >= 3.5.0 because serialized objects in serialize/load version 3 cannot be read in older versions of R. File(s) containing such objects: 'quantstrat/data/luxor.wfa.ples.RData' WARNING: Added dependency on R >= 3.5.0 because serialized objects in serialize/load version 3 cannot be read in older versions of R. File(s) containing such objects: 'quantstrat/luxor.wfa.ples.RData'
- building 'quantstrat_0.16.6.tar.gz'
* installing *source* package 'quantstrat' ...
** using staged installation
** libs
*** arch - i386
C:/Rtools/mingw_32/bin/gcc -I"E:/R-36~1.2/include" -DNDEBUG -O3 -Wall -std=gnu99 -mtune=generic -c firstCross.c -o firstCross.o
C:/Rtools/mingw_32/bin/gcc -I"E:/R-36~1.2/include" -DNDEBUG -O3 -Wall -std=gnu99 -mtune=generic -c init.c -o init.o
C:/Rtools/mingw_32/bin/gcc -shared -s -static-libgcc -o quantstrat.dll tmp.def firstCross.o init.o -LE:/R-36~1.2/bin/i386 -lR
installing to E:/R-3.6.2/library/00LOCK-quantstrat/00new/quantstrat/libs/i386
*** arch - x64
C:/Rtools/mingw_64/bin/gcc -I"E:/R-36~1.2/include" -DNDEBUG -O2 -Wall -std=gnu99 -mtune=generic -c firstCross.c -o firstCross.o
C:/Rtools/mingw_64/bin/gcc -I"E:/R-36~1.2/include" -DNDEBUG -O2 -Wall -std=gnu99 -mtune=generic -c init.c -o init.o
C:/Rtools/mingw_64/bin/gcc -shared -s -static-libgcc -o quantstrat.dll tmp.def firstCross.o init.o -LE:/R-36~1.2/bin/x64 -lR
installing to E:/R-3.6.2/library/00LOCK-quantstrat/00new/quantstrat/libs/x64
** R
** data
** demo
** inst
** byte-compile and prepare package for lazy loading
** help
*** installing help indices
converting help for package 'quantstrat'
finding HTML links ... 好了
SharpeRatio.deflated html
SharpeRatio.haircut html
add.distribution html
add.distribution.constraint html
add.indicator html
add.init html
add.rule html
add.signal html
addOrder html
addPosLimit html
apply.paramset html
apply.paramset.signal.analysis html
applyIndicatorSignals html
applyIndicators html
applyParameter html
applyRules html
applySignals html
applyStrategy html
applyStrategy.rebalancing html
beanplot.signals html
chart.forward html
chart.forward.training html
clone.orderbook html
clone.portfolio html
degrees.of.freedom html
delete.paramset html
distributional.boxplot html
dotprofitHurdle html
enable.rule html
get.strategy html
getOrderBook html
getOrders html
getParameterTable html
getPosLimit html
initOrders html
initStrategy html
initSymbol html
install.param.combo html
is.strategy html
load.strategy html
luxoraudit html
match.names html
osMaxPos html
osNoOp html
paramConstraint html
portfolio.luxor html
post.signal.returns html
print.dof html
print.haircutSR html
print.profitHurdle html
profitHurdle html
put.orderbook html
put.strategy html
quantstrat-package html
rm.strat html
ruleOrderProc html
rulePctEquity html
ruleRevoke html
ruleSignal html
Rd warning: C:/Users/chang/AppData/Local/Temp/Rtmpq66SHr/R.INSTALL28943475e45/quantstrat/man/ruleSignal.Rd:54: file link 'getPrice' in package 'quantmod' does not exist and so has been treated as a topic
Rd warning: C:/Users/chang/AppData/Local/Temp/Rtmpq66SHr/R.INSTALL28943475e45/quantstrat/man/ruleSignal.Rd:93: file link 'getPrice' in package 'quantmod' does not exist and so has been treated as a topic
Rd warning: C:/Users/chang/AppData/Local/Temp/Rtmpq66SHr/R.INSTALL28943475e45/quantstrat/man/ruleSignal.Rd:96: file link 'getPrice' in package 'quantmod' does not exist and so has been treated as a topic
sample_random_multests html
save.strategy html
setParameterConstraint html
setParameterDistribution html
sigComparison html
sigCrossover html
sigFormula html
sigPeak html
sigThreshold html
sigTimestamp html
Rd warning: C:/Users/chang/AppData/Local/Temp/Rtmpq66SHr/R.INSTALL28943475e45/quantstrat/man/sigTimestamp.Rd:16: file link 'split.xts' in package 'xts' does not exist and so has been treated as a topic
Rd warning: C:/Users/chang/AppData/Local/Temp/Rtmpq66SHr/R.INSTALL28943475e45/quantstrat/man/sigTimestamp.Rd:18: file link '.indexday' in package 'xts' does not exist and so has been treated as a topic
signal.generate.statistics html
signal.obj.slope html
signal.path.plot html
signal.plot html
spx html
stats html
stratBBands html
stratFaber html
strategy html
tradeGraphs html
tradeOrderStats html
updateOrders html
updateStrategy html
finding level-2 HTML links ... done
walk.forward html
*** copying figures
** building package indices
** installing vignettes
** testing if installed package can be loaded from temporary location
*** arch - i386
*** arch - x64
** testing if installed package can be loaded from final location
*** arch - i386
*** arch - x64
** testing if installed package keeps a record of temporary installation path
* DONE (quantstrat)
完工
測試一下quantstrat包是否安裝成功
> library(quantstrat)
載入須要的程輯包：quantmod
載入須要的程輯包：xts
載入須要的程輯包：zoo
載入程輯包：‘zoo’
The following objects are masked from ‘package:base’:
as.Date, as.Date.numeric
Registered S3 method overwritten by 'xts':
method from
as.zoo.xts zoo
載入須要的程輯包：TTR
Registered S3 method overwritten by 'quantmod':
method from
as.zoo.data.frame zoo
Version 0.4-0 included new data defaults. See ?getSymbols.
載入須要的程輯包：blotter
載入須要的程輯包：FinancialInstrument
載入須要的程輯包：PerformanceAnalytics
載入程輯包：‘PerformanceAnalytics’
The following object is masked from ‘package:graphics’:
legend
載入須要的程輯包：foreach
表面看是成功了。
咱們運行一下quantstrat包的demo裏面的maCross策略，也就是雙均線策略、金叉策略。
多說一句，maCross仍是一個知名的動畫片，就是那個日版的《超時空要塞》。回憶涌上心頭啊。
策略代碼在 github的demo裏的quantstrat/demo/maCross.R
這裏謄抄一下。具體含義咱們之後一點點分析。
#########################################################################################################################################################################
#A simple moving average strategy to evaluate trade efficiency
#checks on SMA of 50 days and SMA of 200 days
#Author: R. Raghuraman("raghu"), Brian Peterson
#########################################################################################################################################################################
require(quantstrat)
###############
# workaround to xts Date handling, remove later
ttz<-Sys.getenv('TZ')
Sys.setenv(TZ='UTC')
suppressWarnings(rm("order_book.macross",pos=.strategy))
suppressWarnings(rm("account.macross","portfolio.macross",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACROSS",'start_t','end_t'))
stock.str='AAPL' # what are we trying it on
currency('USD')
stock(stock.str,currency='USD',multiplier=1)
startDate="1999-12-31"
initEq=1000000
portfolio.st='macross'
account.st='macross'
initPortf(portfolio.st,symbols=stock.str)
initAcct(account.st,portfolios=portfolio.st, initEq=initEq)
initOrders(portfolio=portfolio.st)
stratMACROSS<- strategy(portfolio.st)
stratMACROSS <- add.indicator(strategy = stratMACROSS, name = "SMA", arguments = list(x=quote(Cl(mktdata)), n=50),label= "ma50" )
stratMACROSS <- add.indicator(strategy = stratMACROSS, name = "SMA", arguments = list(x=quote(Cl(mktdata)[,1]), n=200),label= "ma200")
stratMACROSS <- add.signal(strategy = stratMACROSS,name="sigCrossover",arguments = list(columns=c("ma50","ma200"), relationship="gte"),label="ma50.gt.ma200")
stratMACROSS <- add.signal(strategy = stratMACROSS,name="sigCrossover",arguments = list(column=c("ma50","ma200"),relationship="lt"),label="ma50.lt.ma200")
stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal', arguments = list(sigcol="ma50.gt.ma200",sigval=TRUE, orderqty=100, ordertype='market', orderside='long'),type='enter')
stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal', arguments = list(sigcol="ma50.lt.ma200",sigval=TRUE, orderqty='all', ordertype='market', orderside='long'),type='exit')
# if you want a long/short Stops and Reverse MA cross strategy, you'd add two more rules for the short side:
# stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal', arguments = list(sigcol="ma50.lt.ma200",sigval=TRUE, orderqty=-100, ordertype='market', orderside='short'),type='enter')
# stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal', arguments = list(sigcol="ma50.gt.ma200",sigval=TRUE, orderqty=100, ordertype='market', orderside='short'),type='exit')
getSymbols(stock.str,from=startDate)
for(i in stock.str)
assign(i, adjustOHLC(get(i),use.Adjusted=TRUE))
start_t<-Sys.time()
out<-applyStrategy(strategy=stratMACROSS , portfolios=portfolio.st)
end_t<-Sys.time()
print(end_t-start_t)
start_t<-Sys.time()
updatePortf(Portfolio='macross',Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("trade blotter portfolio update:")
print(end_t-start_t)
chart.Posn(Portfolio='macross',Symbol=stock.str)
add_SMA(n=50 , on=1,col='blue')
add_SMA(n=200, on=1)
book = getOrderBook('macross')
stats = tradeStats('macross')
ptstats = perTradeStats('macross')
rets = PortfReturns('macross')
txns = getTxns('macross', stock.str)
#Date workaround, remove later
Sys.setenv(TZ=ttz)
###############################################################################
# R (http://r-project.org/) Quantitative Strategy Model Framework
#
# Copyright (c) 2009-2012
# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson,
# Jeffrey Ryan, Joshua Ulrich, and Garrett See
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
###############################################################################
看一下結果，很不錯。一本萬利啊😁😁
感謝閱讀，歡迎關注和留言 量化投資與期貨外匯散仙，基金保險水平也拿的出手
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