Quantsrat让R语言像Python同样进行策略回测和量化交易
使用Quantsrat包
Quantsrat用来创建策略、添加指标、生成信号、生成买卖规则等进行回测。效果相似优矿、万矿、米筐那样的Python量化平台同样。由于不能CRAN在线安装，安装过程当中还有一些坑。但愿本文能够帮你们更顺利开始R的量化交易学习。html
安装Quantsrat
试了一下，看来Quantsrat没有加入CRAN。每次遇到这种状况知道安装不会太顺利🤣ios
> install.packages("quantsrat")
Warning in install.packages :
package ‘quantsrat’ is not available (for R version 3.6.2)
先安装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
>
再安装Rtools
从http://cran.r-project.org/bin/windows/Rtools/下载推荐的版本。就是recommended的那个。绿色的那个。git
这网速，我都快吓哭了。github
忘了，应该从同济大学的镜像下载。在https://mirrors.tongji.edu.cn/CRAN/bin/windows/Rtools/下载相同的文件。shell
这速度仍是很感人了吧。segmentfault
启动安装包。标准的Windows安装包。使用推荐配置，加入到系统PATH变量，而后一路下一步就搞定了。windows
说实话，安装的速度比下载的速度还慢。看来又该换电脑啦。谁家有闲置不用的好笔记本赠送么？哈app
安装blotter和quantstrat包
安装blotter包的时候依旧是老问题。我在北京访问github轻微困难。期待微软尽快解决吧。dom
> devtools::install_github("braverock/blotter")
Error: Failed to install 'unknown package' from GitHub:
schannel: failed to receive handshake, SSL/TLS connection failed
>
多试几回终于成功了。ide
里面询问是否升级zoo包的时候，直接回车，跳过便可。
> 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)
>
安装quantstrat包。一样回车直接跳过升级。
> 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
测试一下quantstrat包是否安装成功
> library(quantstrat)
载入须要的程辑包：quantmod
载入须要的程辑包：xts
载入须要的程辑包：zoo
载入程辑包：‘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
载入须要的程辑包：TTR
Registered S3 method overwritten by 'quantmod':
method from
as.zoo.data.frame zoo
Version 0.4-0 included new data defaults. See ?getSymbols.
载入须要的程辑包：blotter
载入须要的程辑包：FinancialInstrument
载入须要的程辑包：PerformanceAnalytics
载入程辑包：‘PerformanceAnalytics’
The following object is masked from ‘package:graphics’:
legend
载入须要的程辑包：foreach
表面看是成功了。
咱们运行一下quantstrat包的demo里面的maCross策略，也就是双均线策略、金叉策略。
多说一句，maCross仍是一个知名的动画片，就是那个日版的《超时空要塞》。回忆涌上心头啊。
策略代码在 github的demo里的quantstrat/demo/maCross.R
这里誊抄一下。具体含义咱们之后一点点分析。
#########################################################################################################################################################################
#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
#
# $Id$
#
###############################################################################
看一下结果，很不错。一本万利啊😁😁
感谢阅读，欢迎关注和留言 量化投资与期货外汇散仙，基金保险水平也拿的出手
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