Question

我正在下载一系列符号，我需要计算调整后收盘的月度回报，而我似乎无法使其正常运行。我之前的帖子是使用ROC @Joshua Ulrich来解决这个问题，但这是为了每日回报。其他例子使用＆＃39; close＆＃39;，这对我没有好处。

我的出发点：

library('quantmod')
tickers <- c("XOM","MSFT","JNJ","GE","CVX","WFC","PG","JPM","VZ","PFE",
         "T","IBM","MRK","BAC","DIS","ORCL","PM","INTC","SLB")
#The following gives me what I need, but using Close instead of Adjusted
stocks_ret <- lapply(tickers, function(sym) monthlyReturn(type = 'log',(na.omit(getSymbols(sym, from='2013-01-01, auto.assign=FALSE)))))

Joshua Ulrich解决方案（效果很好，但我不知道如何将其转化为月度回报）：

# create environment to load data into
Data <- new.env()
getSymbols(c("^GSPC",Symbols), from="2007-01-01", env=Data)
# calculate returns, merge, and create data.frame (eapply loops over all
# objects in an environment, applies a function, and returns a list)
Returns <- eapply(Data, function(s) ROC(Ad(s), type="discrete"))
ReturnsDF <- as.data.frame(do.call(merge, Returns))
#adjust column names are re-order columns
colnames(ReturnsDF) <- gsub(".Adjusted","",colnames(ReturnsDF))
ReturnsDF <- ReturnsDF[,c("GSPC",Symbols)]

然后我尝试了：

Returns <- eapply(Data, function(s) ROC(Ad(s)[endpoints(tickers, on = 'months'),], type="discrete"))

后者给我一个错误信息：＆＃34; try.xts出错（x，错误=＆＃34;必须是xts-coercible或timeBased＆＃34;）＆＃34;

但是，我无法找到一个解决方案，我可以每月计算一次，而不是每天...＆＃39; n = 21＆＃39;没有解决问题..

任何??

Answer 1

克里斯，这是解决问题的一种方式

library('quantmod')
library('dplyr')
tickers <- c("XOM","MSFT","JNJ","GE","CVX","WFC","PG","JPM","VZ","PFE",
             "T","IBM","MRK","BAC","DIS","ORCL","PM","INTC","SLB")

Stock_Data <- tickers %>% lapply(function(x) getSymbols(x,auto.assign=FALSE)) %>%
  lapply(function(x) monthlyReturn(Ad(x)))

更多关于getSymbols下载多个符号的数据并计算月度回报

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