有关 getSymbols 的更多信息下载多个符号的数据并每月计算 returns

Question

对此进行了引用 post Similar question

我正在下载一系列代码，我需要每月计算 returns 调整后的收盘价，但我似乎无法让它正常工作。较早的 post 我有参考使用 ROC @Joshua Ulrich 来处理这个问题，但这是每天 returns。其他示例使用 'close'，这对我没有好处。

我的起点：

library('quantmod')
tickers <- c("XOM","MSFT","JNJ","GE","CVX","WFC","PG","JPM","VZ","PFE",
         "T","IBM","MRK","BAC","DIS","ORCL","PM","INTC","SLB")
#The following gives me what I need, but using Close instead of Adjusted
stocks_ret <- lapply(tickers, function(sym) monthlyReturn(type = 'log',(na.omit(getSymbols(sym, from='2013-01-01, auto.assign=FALSE)))))

Joshua Ulrich 解决方案（效果很好，但我不知道如何将其变成每月 returns）：

# create environment to load data into
Data <- new.env()
getSymbols(c("^GSPC",Symbols), from="2007-01-01", env=Data)
# calculate returns, merge, and create data.frame (eapply loops over all
# objects in an environment, applies a function, and returns a list)
Returns <- eapply(Data, function(s) ROC(Ad(s), type="discrete"))
ReturnsDF <- as.data.frame(do.call(merge, Returns))
#adjust column names are re-order columns
colnames(ReturnsDF) <- gsub(".Adjusted","",colnames(ReturnsDF))
ReturnsDF <- ReturnsDF[,c("GSPC",Symbols)]

然后我尝试了：

Returns <- eapply(Data, function(s) ROC(Ad(s)[endpoints(tickers, on = 'months'),], type="discrete"))

后者给了我一条错误信息：“ try.xts(x, error = "must be either xts-coercible or timeBased")"

但是，我无法找到解决方案来解决如何按月而不是每天计算的问题。'n=21' 没有解决问题。

有人吗？？

Answer 1

Chris，这是解决您问题的一种方法

library('quantmod')
library('dplyr')
tickers <- c("XOM","MSFT","JNJ","GE","CVX","WFC","PG","JPM","VZ","PFE",
             "T","IBM","MRK","BAC","DIS","ORCL","PM","INTC","SLB")

Stock_Data <- tickers %>% lapply(function(x) getSymbols(x,auto.assign=FALSE)) %>%
  lapply(function(x) monthlyReturn(Ad(x)))

有关 getSymbols 的更多信息下载多个符号的数据并每月计算 returns

more on getSymbols downloading data for multiple symbols and calculate monthly returns

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