Question

我有以下简单的交易策略：

进入信号：当IBM的价格高于布林带上限时。

关闭信号：当IBM的价格低于布林带下限时。

以下是布林带：

require(quantmod)

# load IBM data 
tickers = c("IBM")
myEnv = new.env()
getSymbols(tickers, from="2012-01-03", to="2014-12-01", env=myEnv)

close.prices = do.call(merge, eapply(myEnv, Cl))
close.prices = close.prices[,pmatch(tickers,colnames(close.prices))]
colnames(close.prices) = c("IBM")

# extract the upper and lower bollinger band with TTR's BBands function
bb.up = BBands(close.prices, n=20, maType = SMA)[,3] 
bb.dn = BBands(close.prices, n=20, maType = SMA)[,1]

现在棘手的部分是，只有当IBM的价格在重新分配日期低于布林带下限时才会平仓。否则我们将最后一个时段的信号滚动到下一个时段期。要完成每周重新分配：

# apply the startpoints function to pick the week's first trading day for # re-allocating the portfolio startpoints = function (x, on = "weeks", k = 1) { head(endpoints(x, on, k) + 1, -1) } sig.bb.up = ifelse(close.prices > bb.up, 1, 0) sig.bb.up = sig.bb.up[startpoints(bb.up),] sig.bb.dn = ifelse(close.prices < bb.dn, 1, 0) sig.bb.dn = sig.bb.dn[startpoints(bb.dn),]

现在的问题是如何定义一个包含＆＃34; 1＆＃34;的正确编码信号函数 sig.bb 。一旦价格在重新分配日期高于其上限布林带，然后持有该股票，直到价格在任何后续重新分配日期低于其下布林带。

我所尝试的是捕获frist观察结果，然后基于sig.bb向量的第一个条目滚动所有以下观察结果

sig.bb = ifelse(index(close.prices[1,1]) == "2012-01-03", sig.bb.up, ifelse(close.prices > bb.up, 1, ifelse(close.prices < bb.dn, 0, lag(sig.bb))))

返回＆＃34; NA＆＃34; ...

在获得 sig.bb 之后，如何继续（对于对此主题感兴趣的人）可以在此处找到： Equally Weighted Reallocation of Stock Portfolio at Specific Dates According to a Signal

Answer 1

我不确定你想要的输出是什么，但看看它是否接近

m <- merge(close.prices, BBands(close.prices, n=20, maType="SMA"))

m$sig[with(m, IBM > up) & index(m) %in% index(m)[startpoints(m, on="weeks")]] <- 1
m$sig[with(m, IBM < dn) & index(m) %in% index(m)[startpoints(m, on="weeks")]] <- 0
m$sig[1] <- 0
na.locf(m)

R中的布林线策略以及重新分配日期的进入和退出信号

1 个答案: