如何将技术指标应用于股票列表

Question

我正在尝试将 MACD 和 RSI 技术指标应用于股票列表的调整价格。代码的最终目标是根据 2 个指标为每只股票生成 buy/sell 信号。但是，我在使用 lapply 函数应用指标时遇到了问题。我会感谢你的帮助。谢谢！

#Load Packages
    library(quantstrat) 

#Initialise Settings
    start.date <- "2016-01-01"
    end.date <- as.character(Sys.Date())

#Stock Tickers
    tickers <- c("JPM", #JP Morgan
    "FB", #Facebook
    "SPY", #S&P 500
    "AMZN", #Amazon
    "WMT", #Wal-Mart
    "LVMUY", #LVMH
    "MCD", #Mac Donald's
    "BMW", #BMW
    "KO", #Coca-Cola
    "G13.SI", #Genting Sg
    "Z74.SI" #Singtel   
    )

#Retrieving Stock Data
    options("getSymbols.yahoo.warning"=FALSE)
    suppressMessages(getSymbols(Symbols = tickers, from = start.date, to = end.date, src = "yahoo", adjust = TRUE))

#Grouping Adjusted Prices
    AdjPrices <- do.call(merge, lapply(tickers, function(x) Ad(get(x))))

#Apply MACD Indicator
    MACD <- lapply(AdjPrices, MACD, list(AdjPrices, nFast =12, nSlow = 26, nSig = 9))

Answer 1

试试这个：

MACD <- lapply(AdjPrices, FUN = MACD, nFast =12, nSlow = 26, nSig = 9)

也许您最终想要这样的东西？

    z <- do.call(merge, lapply(AdjPrices, function(x, nFast, nSlow, nSig) {
        y <- MACD(x, nFast, nSlow, nSig) 
        colnames(y) <- paste0(colnames(y),".", gsub(pattern = ".Adjusted", replacement = "", x = colnames(x)))
        y
        }, nFast = 12, nSlow = 26, nSig = 9))

> tail(z)
            macd.JPM signal.JPM   macd.FB signal.FB  macd.SPY signal.SPY
2017-06-23 0.5439033  0.2746984 0.7333757 0.6242897 0.4931503  0.5617852
2017-06-26 0.5628315  0.3323250 0.7378923 0.6470103 0.4735852  0.5441452
2017-06-27 0.6455863  0.3949773 0.5754388 0.6326960 0.3884193  0.5130000
2017-06-28 0.8647098  0.4889238 0.5809413 0.6223450 0.3883060  0.4880612
2017-06-29 1.1460891  0.6203568 0.4633677 0.5905496 0.3134080  0.4531306
2017-06-30 1.3738249  0.7710504 0.3627919 0.5449980 0.2656285  0.4156302

编辑，对正在发生的事情的补充说明：

在上面的 lapply 函数调用中，定义了一个匿名函数（此位：function(x, nFast, nSlow, nSig) { ..... }），它计算代码的 MACD，然后重命名列。请注意，此函数没有 "name"，或者换句话说，该函数未分配给变量（编写此代码会将函数分配给 R 中的变量，例如 use_macd <- function() {} ）

上面的代码等价于下面（更冗长）的代码，这里我们显式定义了lapply会调用的函数，然后将结果与do.call(merge ....)[=16合并=]

use_MACD <- function(x, nFast, nSlow, nSig) {
               y <- MACD(x, nFast, nSlow, nSig) 
               colnames(y) <- paste0(colnames(y),".", gsub(pattern = ".Adjusted", replacement = "", x = colnames(x)))
               y
}


tickerLst <- lapply(AdjPrices, FUN = use_MACD, nFast = 12, nSlow = 26, nSig = 9)
# Now have a list of "macd" values for each ticker.

#Combine into one xts object:
z <- do.call(merge, tickerLst)

如何将技术指标应用于股票列表

How to apply technical indicators to a list of stocks

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technical-indicator