我在回测R中的布林带策略时遇到了麻烦。逻辑是，如果平仓大于上限，我想做一个空头头寸，然后在它超过平均值时平仓。如果收盘价低于下波段，我也想做多头，并在穿越平均线时平仓。到目前为止，这就是我所拥有的:bbands <- BBands(stock$Close, n=20,sd=2)sig1 <- Lag(ifelse((stock$Close >bbands$up),-1,0))sig2 <- Lag(ifelse((stock$Close <bbands$dn),1,0))sig3 <- Lag(ifelse((stock$Close > bbands$mavg),1,-1))sig <- sig1 + sig2
...这就是我遇到的问题，如何使用sig3获得所需的结果？
最佳答案
library(quantmod)
getSymbols("SPY", src="yahoo", from="2013-01-01", to="2013-08-01")
x <- na.omit(merge(SPY, BBands(Cl(SPY))))
x$sig <- NA
# Flat where Close crossed the mavg
x$sig[c(FALSE, diff(sign(Cl(x) - x$mavg), na.pad=FALSE) != 0)] <- 0
x$sig[Cl(x) > x$up] <- -1 # short when Close is above up
x$sig[Cl(x) < x$dn] <- 1 # long when Close is below dn
x$sig[1] <- 0 # flat on the first day
x$sig[nrow(x)] <- 0 # flat on the last day
# Fill in the signal for other times
x$sig <- na.locf(x$sig) # wherever sig is NA, copy previous value to next row
# Now Lag your signal to reflect that you can't trade on the same bar that
# your signal fires
x$sig <- Lag(x$sig)
x$sig[1] <- 0 # replace NA with zero position on first row
现在，
sig是您的位置。如果您有自己的头寸，则可以计算其他内容，例如交易数量，PnL等。sum(abs(diff(x$sig, na.pad=FALSE))) # number of trades
sum(diff(Cl(x)) * x$sig, na.rm=TRUE) # PnL of 1 share
cumsum(diff(Cl(x), na.pad=FALSE) * x$sig[-1]) # equity over time
sum(ROC(Cl(x)) * x$sig, na.rm=TRUE) # Return of fully invested account
cumsum(ROC(Cl(x), na.pad=FALSE) * x$sig[-1]) # cumulative return