使用 tq_mutate 添加指标会生成重复的列

Question

我不明白为什么我得到两次 ATR 和 DonchianChannel 列，所以最后 tibble 有 ATR 和 ATR.1 列，还有 DonchianChannel 和 DonchianChannel.1 列。这些值也彼此不同？有人可以帮忙吗？谢谢

tq_get(c("DTE.DE", "SAP.DE"), get = "stock.prices", from = "2017-12-01")  %>%    
group_by(symbol) %>% 
tq_mutate(select = c("high", "low", "close"), n=14, mutate_fun = ATR)   %>%
tq_mutate(select = c("high", "low"), mutate_fun = DonchianChannel)



# A tibble: 38 x 15
# Groups:   symbol [2]
  symbol       date   open   high    low  close   volume adjusted    tr   atr    ATR  ATR.1 DonchianChannel     mid DonchianChannel.1
   <chr>     <date>  <dbl>  <dbl>  <dbl>  <dbl>    <dbl>    <dbl> <dbl> <dbl>  <dbl>  <dbl>           <dbl>   <dbl>             <dbl>
1 DTE.DE 2017-12-01 15.065 15.140 14.975 14.975 14796786   14.975    NA    NA     NA     NA              NA      NA                NA
2 DTE.DE 2017-12-04 15.140 15.345 15.050 15.245 13463710   15.245 0.370    NA 15.345 14.975              NA      NA                NA
3 DTE.DE 2017-12-05 15.335 15.425 15.265 15.275  9877870   15.275 0.180    NA 15.425 15.245              NA      NA                NA
4 DTE.DE 2017-12-06 15.200 15.425 15.175 15.360  8934058   15.360 0.250    NA 15.425 15.175              NA      NA                NA
5 DTE.DE 2017-12-07 15.405 15.690 15.370 15.620 13318348   15.620 0.330    NA 15.690 15.360              NA      NA                NA
6 DTE.DE 2017-12-08 15.710 15.730 15.520 15.520 13255747   15.520 0.210    NA 15.730 15.520              NA      NA                NA
7 DTE.DE 2017-12-11 15.505 15.505 15.255 15.330 11920247   15.330 0.265    NA 15.520 15.255              NA      NA                NA
8 DTE.DE 2017-12-12 15.360 15.370 15.160 15.280 10615751   15.280 0.210    NA 15.370 15.160              NA      NA                NA
9 DTE.DE 2017-12-13 15.270 15.325 15.165 15.200  8826821   15.200 0.160    NA 15.325 15.165              NA      NA                NA
10 DTE.DE 2017-12-14 15.260 15.270 15.025 15.175 12976932   15.175 0.245    NA 15.270 15.025           15.73 15.3525            14.975
# ... with 28 more rows

Answer 1

在函数文档中，您将读到 TTR::ART returns 与 HLC 或矩阵相同 class 的对象（如果 try.xts失败）包含以下列： tr、atr、trueHigh 和 trueLow。 TTR::DonchianChannel returns 与 HL 相同 class 的对象或包含列的矩阵（如果 try.xts 失败）： high, mid, low.

tq_mutate 重命名新创建的列，以便它们不与现有列名称冲突。，例如使用 "open"、"high"、"low" and/or "close" 等字符串（这是函数 replace_bad_names 在 tq_mutate, 看看源代码 here.)

例如，如果您使用 tq_transmute 而不是 tq_mutate，您可以看到 names 列是 ?TTR::ATR 中提到的列。（结果是一个只有新创建的列的对象，因此没有命名冲突。）

library(tidyquant)
tq_get(c("DTE.DE", "SAP.DE"), get = "stock.prices", from = "2017-12-01") %>%    
 group_by(symbol) %>% 
 tq_transmute(select = c("high", "low", "close"), n = 14, mutate_fun = ATR) %>% 
 names(.)
[1] "symbol"   "date"     "tr"       "atr"      "trueHigh" "trueLow"

所以你的代码工作正常。但是，您可以重命名列以了解它们的含义。

library(tidyquant)
tq_get(c("DTE.DE", "SAP.DE"), get = "stock.prices", from = "2017-12-01") %>%
 group_by(symbol) %>% 
 tq_mutate(select = c("high", "low", "close"), n=14, mutate_fun = ATR) %>% 
 tq_mutate(select = c("high", "low"), mutate_fun = DonchianChannel) %>% 
 dplyr::rename(ATR_trueHigh = ATR,
               ATR_trueLow = ATR.1,
               DC_low = DonchianChannel,
               DC_mid = mid,
               DC_high = DonchianChannel.1)

同时检查 tq_mutate 的 col_rename 参数。

使用 tq_mutate 添加指标会生成重复的列

Adding indicator with tq_mutate generates duplicated columns

r

indicator

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