Question

我有一个股票数据数据框，其中有100多只股票的信息可以追溯到10年前。我试图在quantmod中运行这个数据的MACD函数，但无法弄清楚如何通过不同的股票分割计算。例如，我的数据框中的一小部分如下所示：

   data<-structure(list(market = structure(c(1L, 1L, 1L, 1L, 2L, 2L, 2L, 
2L, 3L, 3L), .Label = c("AD1", "AD2", "AD3"), class = "factor"), 
date = structure(c(15623, 15624, 15625, 15628, 15623, 15624, 
15625, 15628, 15625, 15628), class = "Date"), open = c(101.52, 
101.68, 102.1, 101.99, 100.73, 100.85, 101.57, 101.01, 100.56, 
100.42), high = c(102.07, 102.39, 102.36, 102.07, 101.4, 
101.59, 101.62, 101.35, 100.56, 100.71), low = c(101.26, 
101.56, 101.63, 101.5, 100.59, 100.85, 101.07, 100.97, 100.56, 
100.41), last = c(101.78, 102.08, 101.76, 101.91, 101.08, 
101.37, 101.06, 101.21, 100.41, 100.56)), .Names = c("market", 
"date", "open", "high", "low", "last"), row.names = c(1L, 2L, 
3L, 4L, 5L, 6L, 7L, 8L, 11L, 12L), class = "data.frame", na.action = structure(9:10,.Names = c("9", 
"10"), class = "omit"))

如何将此数据框传递到MACD函数，同时让它分别计算每个市场。感谢您的帮助。我是R的新手。

Answer 1

您可以在此处使用by按market进行分组，并将该功能应用于每个组。

library(quantmod)
by(data,data$market,function(x)
{
  ## coerece the group to an xts object
  dat.xts <- xts(x[,-c(1:2)],x$date)
  ## EMA ~ MACD with type 'EMA'
  EMA( dat.xts,n=min(nrow(dat.xts),10))

})

data$market: AD1
               [,1]
2012-10-10       NA
2012-10-11       NA
2012-10-12       NA
2012-10-15 101.8225
--------------------------------------------------------------------------------------------------------------- 
data$market: AD2
             [,1]
2012-10-10     NA
2012-10-11     NA
2012-10-12     NA
2012-10-15 101.04
--------------------------------------------------------------------------------------------------------------- 
data$market: AD3
             [,1]
2012-10-12     NA
2012-10-15 100.49

Answer 2

首先，MACD中的quantmod函数需要xts而不是data.frame。

所以你需要做的是先data.frame分割market，然后将每个结果data.frame转换为xts，然后应用macd函数。

LL <- split(data, data$market)

result <- lapply(LL, 
       function(DF) { 
           XTS <- xts(DF[, -2], order.by = as.POSIXct(DF$date, format="%Y-%m-%d", tz="GMT"),tzone='GMT')
           return(MACD(XTS$last))                
       }
      )

应用按因子划分的功能

2 个答案: