移动平均线似乎是使用 geom_ma 从最近的日期向后计算的

Question

在我的时间序列上，移动平均线似乎是从右到左绘制的。这是我的代码：

library(Quandl)
library(ggplot2)
#  Get Historical Futures Prices: Crude Oil Futures from Quandl. Contract Code is CL

CME_CL_Data <- Quandl('CHRIS/CME_CL1', start_date = '2021-01-01') 

# Plot the OHLC Barchart of the Crude Oil Futures Historical Prices

ggplot(CME_CL_Data, aes(x = Date, y = Last)) +
  geom_barchart(aes(open = Open, high = High, low = Low, close = Last)) + 
  xlab('') + ylab('Daily Prices') + 
  ggtitle('Future Daily Prices: WTI Crude') + 
  geom_ma(ma_fun = SMA, n=20, linetype = 1, size = .75) + 
  geom_ma(ma_fun = SMA, n=50, color = 'red', size = 1.25) +
  theme_light()

这是输出图表：Chart of CL with Moving Averages

我似乎无法确定是我在做什么导致的。

Answer 1

Quandl returns 数据按递减日期排序：

> head(CME_CL_Data)
        Date  Open  High   Low  Last Change Settle Volume
1 2021-06-28 73.99 74.45 72.62 72.77  -1.14  72.91 351101
2 2021-06-25 73.32 74.18 72.85 74.00   0.75  74.05 357898
3 2021-06-24 73.28 73.61 72.32 73.33   0.22  73.30 331826
4 2021-06-23 72.91 74.25 72.82 73.28   0.23  73.08 422226
5 2021-06-22 73.41 73.95 72.94 73.09  -0.60  73.06  18977
6 2021-06-21 71.52 73.96 71.15 73.53   2.02  73.66 113253
  Previous Day Open Interest
1                     416743
2                     427257
3                     426977
4                     426766
5                      21423
6                      59274

因此，geom_ma正在反向移动平均线。您需要重新排序您的数据：

library(Quandl)
library(ggplot2)
library(tidyquant)
#  Get Historical Futures Prices: Crude Oil Futures from Quandl. Contract Code is CL

CME_CL_Data <- Quandl('CHRIS/CME_CL1', start_date = '2021-01-01')

# Reoder data
CME_CL_Data <- CME_CL_Data[order(CME_CL_Data$Date),]

# Plot the OHLC Barchart of the Crude Oil Futures Historical Prices

ggplot(CME_CL_Data, aes(x = Date, y = Last)) +
  geom_barchart(aes(open = Open, high = High, low = Low, close = Last)) +
  xlab('') + ylab('Daily Prices') + 
  ggtitle('Future Daily Prices: WTI Crude') + 
  geom_ma(ma_fun = SMA, n=20, linetype = 1, size = .75) + 
  geom_ma(ma_fun = SMA, n=50, color = 'red', size = 1.25) +
  theme_light()

Answer 2

默认情况下，Quandl 按降序生成 data.frame。您可以指定升序 order，例如：

CME_CL_Data <- Quandl('CHRIS/CME_CL1', start_date = '2021-01-01',  order = c("asc"))

否则，您的代码在我的机器上运行良好。

移动平均线似乎是使用 geom_ma 从最近的日期向后计算的

Moving averages appear to be calculating from the most recent date backwards using geom_ma

r

ggplot2

tidyquant