Question

我收到'找不到故障功能'错误。我已经加载了PerformanceAnalytics库。

代码：

install.packages("quantmod")
install.packages("PerformanceAnalytics")
require(quantmod)
require(PerformanceAnalytics)
getSymbols("AAPL")
AAPL.DF<-data.frame(Date=index(AAPL), coredata(AAPL[,1]))
AAPL.DF[,2]<-ROC(AAPL.DF[,2])
colnames(AAPL.DF)<-c("Date","rtn")
dailyRtn <- as.numeric(substring(AAPL.DF[,"rtn"],1,nchar(as.character(AAPL.DF[,"rtn"]))-1))
dailyDD <- as.vector(Drawdowns(dailyRtn/100))

下面的

是控制台窗口中的o / p

> getSymbols("AAPL")
[1] "AAPL"
Warning message:
In download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m,  :
  downloaded length 109721 != reported length 200
> AAPL.DF<-data.frame(Date=index(AAPL), coredata(AAPL[,1]))
> AAPL.DF[,2]<-ROC(AAPL.DF[,2])
> colnames(AAPL.DF)<-c("Date","rtn")
> dailyRtn <- as.numeric(substring(AAPL.DF[,"rtn"],1,nchar(as.character(AAPL.DF[,"rtn"]))-1))
> dailyDD <- as.vector(Drawdowns(dailyRtn/100))
Error in as.vector(Drawdowns(dailyRtn/100)) : 
  could not find function "Drawdowns"

当我成功安装和加载PerformanceAnalytics库

时，我无法获得为什么我收到错误消息“Drawdown”功能无法找到

Answer 1

没有Drawdown功能。根据您正在做的事情，您可能有兴趣使用findDrawdowns或chart.Drawdown。您还可以简化代码以计算回报，如下所示：

require(quantmod)
require(PerformanceAnalytics)
getSymbols("AAPL")
#  calculate returns based on Adjusted Close prices
AAPL.DF <- Return.calculate(AAPL[,6])[-1,]
dailyDD <- findDrawdowns(AAPL.DF)
chart.Drawdown(AAPL.DF)

我在原始代码中使用了Adjusted_Close价格（AAPL第6列）而非开放价格（AAPL第1列），因为2014年AAPL拆分的Addjusted_Close价格已经更正，而未调整未平仓价格

无法找到Drawdowns功能 - PerformanceAnalytics已加载

1 个答案: