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五分钟搞定 SMA 指标的量化策略开发和回测

Sun, 25 May 2025 00:00:00 +0000

常有人问我能用几分钟时间写一段代码进行一个简易的量化投资策略的开发和回测吗，答案是当然可以。对于量化投资而言，门槛永远不是编程和代码，而是投资思路和模型解读。下面我们用五分钟左右的时间来开发一个基于 SMA 指标的量化投资策略并进行回测。

引言

本文的代码基于R软件和 Rstuido 软件运行，如果未安装上述软件，请自行安装。

策略开发还需要基于以下 R 包来实现，可以运行如下代码安装并加载相关 R 包。

# 安装依赖包，如果未安装
install.packages(c("quantstrat", "Tushare", "xts", "dplyr", "showtext", "zoo","PerformanceAnalytics","tidyverse"))
# 加载软件包
suppressMessages({
 library(quantmod)
 library(quantstrat)
 library(PerformanceAnalytics)
 library(Tushare)
 library(xts)
 library(dplyr)
 library(zoo)
 library(tidyverse)
})

清理环境

第一步，先清理历史环境，避免历史环境的干扰。

# 清理历史环境
rm(list=ls(.blotter), envir=.blotter)
rm(list=ls(.strategy), envir=.strategy)

策略开发

下面进入正式开发流程。

初始化设置

# 参数设置
initDate <- "2009-12-31"
fromDate <- "2010-01-01"
endDate <- Sys.Date()
symbol <- "600519.SS"
initEq <- 100000
fastMA <- 5
slowMA <- 20

获取数据

使用quantmod获取贵州茅台数据

# 获取数据
getSymbols(symbol, from=fromDate, to=endDate, src="yahoo")

## [1] "600519.SS"

maotai <- `600519.SS`
colnames(maotai) <- c("Open","High","Low","Close","Volume","Adjusted")

初始化策略

currency("RMB")

## [1] "RMB"

stock(symbol, currency="RMB", multiplier=1)

## [1] "X600519.SS"

strategy.st <- "maotai_sma"
portfolio.st <- "maotai_portfolio"
account.st <- "maotai_account"

# 清除旧策略(如果存在)
if(exists("strategy.st", where=.strategy)) {
 rm.strat(strategy.st)
}

# 创建组合/账户/策略
initPortf(portfolio.st, symbols=symbol, initDate=initDate)

## [1] "maotai_portfolio"

initAcct(account.st, portfolios=portfolio.st, initDate=initDate, initEq=initEq)

## [1] "maotai_account"

initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)

添加指标

这里添加的简单移动平均线(SMA)：

# 添加指标
add.indicator(
 strategy.st,
 name="SMA",
 arguments=list(x=quote(Cl(mktdata)), n=fastMA),
 label="fastMA"
)

## [1] "maotai_sma"

add.indicator(
 strategy.st,
 name="SMA",
 arguments=list(x=quote(Cl(mktdata)), n=slowMA),
 label="slowMA"
)

## [1] "maotai_sma"

添加信号 - 金叉死叉

# 添加信号
add.signal(
 strategy.st,
 name="sigCrossover",
 arguments=list(columns=c("fastMA","slowMA"), relationship="gt"),
 label="fast.gt.slow"
)

## [1] "maotai_sma"

add.signal(
 strategy.st,
 name="sigCrossover",
 arguments=list(columns=c("fastMA","slowMA"), relationship="lt"),
 label="fast.lt.slow"
)

## [1] "maotai_sma"

添加交易规则

add.rule(
 strategy.st,
 name="ruleSignal",
 arguments=list(
 sigcol="fast.gt.slow",
 sigval=TRUE,
 orderqty=100,
 ordertype="market",
 orderside="long",
 replace=FALSE
 ),
 type="enter",
 label="EnterLONG"
)

## [1] "maotai_sma"

add.rule(
 strategy.st,
 name="ruleSignal",
 arguments=list(
 sigcol="fast.lt.slow",
 sigval=TRUE,
 orderqty="all",
 ordertype="market",
 orderside="long",
 replace=FALSE
 ),
 type="exit",
 label="ExitLONG"
)

## [1] "maotai_sma"

策略回测

applyStrategy(strategy.st, 
 portfolios=portfolio.st)

## [1] "2010-05-25 00:00:00 600519.SS 100 @ 98.6100692749023"
## [1] "2010-06-01 00:00:00 600519.SS -100 @ 99.6468811035156"
## [1] "2010-06-03 00:00:00 600519.SS 100 @ 101.450035095215"
## [1] "2010-06-23 00:00:00 600519.SS -100 @ 98.9481582641602"
## [1] "2010-07-15 00:00:00 600519.SS 100 @ 99.0458297729492"
## [1] "2010-10-15 00:00:00 600519.SS -100 @ 120.195343017578"
## [1] "2010-10-25 00:00:00 600519.SS 100 @ 129.977462768555"
## [1] "2010-11-02 00:00:00 600519.SS -100 @ 122.216377258301"
## [1] "2010-11-11 00:00:00 600519.SS 100 @ 132.171295166016"
## [1] "2010-12-23 00:00:00 600519.SS -100 @ 143.283248901367"
## [1] "2011-02-11 00:00:00 600519.SS 100 @ 138.940643310547"
## [1] "2011-03-02 00:00:00 600519.SS -100 @ 133.140487670898"
## [1] "2011-03-16 00:00:00 600519.SS 100 @ 136.619079589844"
## [1] "2011-03-31 00:00:00 600519.SS -100 @ 135.123962402344"
## [1] "2011-04-27 00:00:00 600519.SS 100 @ 136.100677490234"
## [1] "2011-08-25 00:00:00 600519.SS -100 @ 171.421493530273"
## [1] "2011-08-29 00:00:00 600519.SS 100 @ 177.909088134766"
## [1] "2011-09-07 00:00:00 600519.SS -100 @ 171.561981201172"
## [1] "2011-10-20 00:00:00 600519.SS 100 @ 157.933883666992"
## [1] "2011-11-18 00:00:00 600519.SS -100 @ 165.760330200195"
## [1] "2011-11-28 00:00:00 600519.SS 100 @ 176.752059936523"
## [1] "2011-12-09 00:00:00 600519.SS -100 @ 165.140487670898"
## [1] "2012-02-07 00:00:00 600519.SS 100 @ 153.603302001953"
## [1] "2012-04-06 00:00:00 600519.SS -100 @ 171.876037597656"
## [1] "2012-04-10 00:00:00 600519.SS 100 @ 171.991729736328"
## [1] "2012-05-21 00:00:00 600519.SS -100 @ 184.454544067383"
## [1] "2012-06-01 00:00:00 600519.SS 100 @ 198.652893066406"
## [1] "2012-06-29 00:00:00 600519.SS -100 @ 197.644622802734"
## [1] "2012-07-04 00:00:00 600519.SS 100 @ 213.768600463867"
## [1] "2012-07-24 00:00:00 600519.SS -100 @ 206.099166870117"
## [1] "2012-08-10 00:00:00 600519.SS 100 @ 205.132232666016"
## [1] "2012-08-17 00:00:00 600519.SS -100 @ 189.768600463867"
## [1] "2012-09-10 00:00:00 600519.SS 100 @ 199.735534667969"
## [1] "2012-09-26 00:00:00 600519.SS -100 @ 194.933883666992"
## [1] "2012-09-28 00:00:00 600519.SS 100 @ 203.140487670898"
## [1] "2012-10-30 00:00:00 600519.SS -100 @ 202.132232666016"
## [1] "2012-11-05 00:00:00 600519.SS 100 @ 200.760330200195"
## [1] "2012-11-07 00:00:00 600519.SS -100 @ 196.256195068359"
## [1] "2012-12-19 00:00:00 600519.SS 100 @ 181.363632202148"
## [1] "2013-01-17 00:00:00 600519.SS -100 @ 169.528930664062"
## [1] "2013-03-12 00:00:00 600519.SS 100 @ 150.561981201172"
## [1] "2013-03-19 00:00:00 600519.SS -100 @ 136.512390136719"
## [1] "2013-04-16 00:00:00 600519.SS 100 @ 143.107437133789"
## [1] "2013-06-17 00:00:00 600519.SS -100 @ 156.59504699707"
## [1] "2013-07-04 00:00:00 600519.SS 100 @ 162.495864868164"
## [1] "2013-07-16 00:00:00 600519.SS -100 @ 157.809921264648"
## [1] "2013-08-14 00:00:00 600519.SS 100 @ 147.677688598633"
## [1] "2013-08-23 00:00:00 600519.SS -100 @ 142.966949462891"
## [1] "2013-10-18 00:00:00 600519.SS 100 @ 118.16529083252"
## [1] "2013-10-30 00:00:00 600519.SS -100 @ 109.578514099121"
## [1] "2013-11-13 00:00:00 600519.SS 100 @ 119.603302001953"
## [1] "2013-11-28 00:00:00 600519.SS -100 @ 117.214874267578"
## [1] "2013-12-02 00:00:00 600519.SS 100 @ 113.041320800781"
## [1] "2013-12-03 00:00:00 600519.SS -100 @ 113.702476501465"
## [1] "2014-01-23 00:00:00 600519.SS 100 @ 110.818183898926"
## [1] "2014-03-31 00:00:00 600519.SS -100 @ 127.85124206543"
## [1] "2014-04-09 00:00:00 600519.SS 100 @ 135"
## [1] "2014-04-30 00:00:00 600519.SS -100 @ 135.438018798828"
## [1] "2014-06-11 00:00:00 600519.SS 100 @ 127.223136901855"
## [1] "2014-08-14 00:00:00 600519.SS -100 @ 146.781814575195"
## [1] "2014-09-05 00:00:00 600519.SS 100 @ 152.281814575195"
## [1] "2014-09-18 00:00:00 600519.SS -100 @ 144.772720336914"
## [1] "2014-10-08 00:00:00 600519.SS 100 @ 146.118179321289"
## [1] "2014-10-13 00:00:00 600519.SS -100 @ 141.909088134766"
## [1] "2014-11-18 00:00:00 600519.SS 100 @ 141.5"
## [1] "2014-11-25 00:00:00 600519.SS -100 @ 140.581817626953"
## [1] "2014-11-27 00:00:00 600519.SS 100 @ 142.43635559082"
## [1] "2015-01-16 00:00:00 600519.SS -100 @ 169.190902709961"
## [1] "2015-02-12 00:00:00 600519.SS 100 @ 166.881820678711"
## [1] "2015-05-19 00:00:00 600519.SS -100 @ 227.309097290039"
## [1] "2015-05-25 00:00:00 600519.SS 100 @ 260.754547119141"
## [1] "2015-06-09 00:00:00 600519.SS -100 @ 235.481811523438"
## [1] "2015-07-07 00:00:00 600519.SS 100 @ 221.981811523438"
## [1] "2015-07-08 00:00:00 600519.SS -100 @ 215.327270507812"
## [1] "2015-07-14 00:00:00 600519.SS 100 @ 226.409088134766"
## [1] "2015-07-21 00:00:00 600519.SS -100 @ 221.660003662109"
## [1] "2015-09-15 00:00:00 600519.SS 100 @ 202"
## [1] "2015-09-29 00:00:00 600519.SS -100 @ 190.169998168945"
## [1] "2015-10-15 00:00:00 600519.SS 100 @ 199.990005493164"
## [1] "2015-11-20 00:00:00 600519.SS -100 @ 213.720001220703"
## [1] "2015-12-07 00:00:00 600519.SS 100 @ 214.509994506836"
## [1] "2015-12-11 00:00:00 600519.SS -100 @ 211.410003662109"
## [1] "2015-12-21 00:00:00 600519.SS 100 @ 227.029998779297"
## [1] "2016-01-05 00:00:00 600519.SS -100 @ 212.820007324219"
## [1] "2016-02-05 00:00:00 600519.SS 100 @ 203.869995117188"
## [1] "2016-04-18 00:00:00 600519.SS -100 @ 243.679992675781"
## [1] "2016-05-03 00:00:00 600519.SS 100 @ 260"
## [1] "2016-05-20 00:00:00 600519.SS -100 @ 251.259994506836"
## [1] "2016-05-27 00:00:00 600519.SS 100 @ 252.440002441406"
## [1] "2016-08-03 00:00:00 600519.SS -100 @ 306.820007324219"
## [1] "2016-08-12 00:00:00 600519.SS 100 @ 316.970001220703"
## [1] "2016-08-22 00:00:00 600519.SS -100 @ 307.320007324219"
## [1] "2016-10-13 00:00:00 600519.SS 100 @ 303.890014648438"
## [1] "2016-11-18 00:00:00 600519.SS -100 @ 310"
## [1] "2016-11-29 00:00:00 600519.SS 100 @ 323.959991455078"
## [1] "2016-12-26 00:00:00 600519.SS -100 @ 324.480010986328"
## [1] "2017-01-04 00:00:00 600519.SS 100 @ 351.910003662109"
## [1] "2017-02-07 00:00:00 600519.SS -100 @ 343.579986572266"
## [1] "2017-02-16 00:00:00 600519.SS 100 @ 348.089996337891"
## [1] "2017-07-05 00:00:00 600519.SS -100 @ 460.130004882812"
## [1] "2017-07-25 00:00:00 600519.SS 100 @ 477.959991455078"
## [1] "2017-09-07 00:00:00 600519.SS -100 @ 481.269989013672"
## [1] "2017-09-19 00:00:00 600519.SS 100 @ 496.950012207031"
## [1] "2017-11-27 00:00:00 600519.SS -100 @ 621.289978027344"
## [1] "2017-12-15 00:00:00 600519.SS 100 @ 653.789978027344"
## [1] "2018-01-31 00:00:00 600519.SS -100 @ 764.539978027344"
## [1] "2018-02-28 00:00:00 600519.SS 100 @ 725.619995117188"
## [1] "2018-03-14 00:00:00 600519.SS -100 @ 726.880004882812"
## [1] "2018-03-15 00:00:00 600519.SS 100 @ 746.469970703125"
## [1] "2018-03-27 00:00:00 600519.SS -100 @ 714.739990234375"
## [1] "2018-05-10 00:00:00 600519.SS 100 @ 714.190002441406"
## [1] "2018-06-25 00:00:00 600519.SS -100 @ 765.559997558594"
## [1] "2018-07-17 00:00:00 600519.SS 100 @ 742.429992675781"
## [1] "2018-08-02 00:00:00 600519.SS -100 @ 695.840026855469"
## [1] "2018-08-30 00:00:00 600519.SS 100 @ 680.400024414062"
## [1] "2018-09-06 00:00:00 600519.SS -100 @ 644"
## [1] "2018-09-21 00:00:00 600519.SS 100 @ 700.010009765625"
## [1] "2018-10-16 00:00:00 600519.SS -100 @ 667.140014648438"
## [1] "2018-12-04 00:00:00 600519.SS 100 @ 602.22998046875"
## [1] "2018-12-24 00:00:00 600519.SS -100 @ 568"
## [1] "2019-01-07 00:00:00 600519.SS 100 @ 605.489990234375"
## [1] "2019-05-09 00:00:00 600519.SS -100 @ 858.809997558594"
## [1] "2019-06-03 00:00:00 600519.SS 100 @ 892"
## [1] "2019-06-06 00:00:00 600519.SS -100 @ 862.130004882812"
## [1] "2019-06-14 00:00:00 600519.SS 100 @ 913"
## [1] "2019-07-16 00:00:00 600519.SS -100 @ 968"
## [1] "2019-08-01 00:00:00 600519.SS 100 @ 959.299987792969"
## [1] "2019-08-06 00:00:00 600519.SS -100 @ 946.299987792969"
## [1] "2019-08-13 00:00:00 600519.SS 100 @ 1017.95001220703"
## [1] "2019-09-17 00:00:00 600519.SS -100 @ 1094.01000976562"
## [1] "2019-09-23 00:00:00 600519.SS 100 @ 1149"
## [1] "2019-10-25 00:00:00 600519.SS -100 @ 1171.34997558594"
## [1] "2019-10-31 00:00:00 600519.SS 100 @ 1180.01000976562"
## [1] "2019-11-27 00:00:00 600519.SS -100 @ 1189.94995117188"
## [1] "2019-12-20 00:00:00 600519.SS 100 @ 1146.30004882812"
## [1] "2019-12-26 00:00:00 600519.SS -100 @ 1135.09997558594"
## [1] "2019-12-31 00:00:00 600519.SS 100 @ 1183"
## [1] "2020-01-06 00:00:00 600519.SS -100 @ 1077.98999023438"
## [1] "2020-02-14 00:00:00 600519.SS 100 @ 1088"
## [1] "2020-03-02 00:00:00 600519.SS -100 @ 1086.01000976562"
## [1] "2020-03-05 00:00:00 600519.SS 100 @ 1171"
## [1] "2020-03-18 00:00:00 600519.SS -100 @ 1007.98999023438"
## [1] "2020-04-03 00:00:00 600519.SS 100 @ 1139.7900390625"
## [1] "2020-07-29 00:00:00 600519.SS -100 @ 1672"
## [1] "2020-08-19 00:00:00 600519.SS 100 @ 1687"
## [1] "2020-09-11 00:00:00 600519.SS -100 @ 1733"
## [1] "2020-09-17 00:00:00 600519.SS 100 @ 1670.52001953125"
## [1] "2020-09-18 00:00:00 600519.SS -100 @ 1695"
## [1] "2020-10-14 00:00:00 600519.SS 100 @ 1729"
## [1] "2020-10-29 00:00:00 600519.SS -100 @ 1676"
## [1] "2020-11-10 00:00:00 600519.SS 100 @ 1745"
## [1] "2021-03-01 00:00:00 600519.SS -100 @ 2158"
## [1] "2021-04-01 00:00:00 600519.SS 100 @ 2044.5"
## [1] "2021-04-15 00:00:00 600519.SS -100 @ 2015.59997558594"
## [1] "2021-04-20 00:00:00 600519.SS 100 @ 2094.80004882812"
## [1] "2021-05-06 00:00:00 600519.SS -100 @ 1959"
## [1] "2021-05-20 00:00:00 600519.SS 100 @ 2058.8798828125"
## [1] "2021-06-18 00:00:00 600519.SS -100 @ 2090.93994140625"
## [1] "2021-09-08 00:00:00 600519.SS 100 @ 1633.09997558594"
## [1] "2021-11-01 00:00:00 600519.SS -100 @ 1803"
## [1] "2021-11-23 00:00:00 600519.SS 100 @ 1896.43005371094"
## [1] "2022-01-05 00:00:00 600519.SS -100 @ 2024"
## [1] "2022-01-28 00:00:00 600519.SS 100 @ 1887"
## [1] "2022-02-07 00:00:00 600519.SS -100 @ 1867.9599609375"
## [1] "2022-04-07 00:00:00 600519.SS 100 @ 1765"
## [1] "2022-04-28 00:00:00 600519.SS -100 @ 1835"
## [1] "2022-05-05 00:00:00 600519.SS 100 @ 1837"
## [1] "2022-05-13 00:00:00 600519.SS -100 @ 1778.23999023438"
## [1] "2022-06-02 00:00:00 600519.SS 100 @ 1786"
## [1] "2022-07-14 00:00:00 600519.SS -100 @ 1953"
## [1] "2022-08-18 00:00:00 600519.SS 100 @ 1895.5"
## [1] "2022-08-23 00:00:00 600519.SS -100 @ 1870.01000976562"
## [1] "2022-09-20 00:00:00 600519.SS 100 @ 1878"
## [1] "2022-09-23 00:00:00 600519.SS -100 @ 1834.43005371094"
## [1] "2022-09-30 00:00:00 600519.SS 100 @ 1872.5"
## [1] "2022-10-12 00:00:00 600519.SS -100 @ 1760"
## [1] "2022-11-16 00:00:00 600519.SS 100 @ 1585.25"
## [1] "2023-01-03 00:00:00 600519.SS -100 @ 1730.01000976562"
## [1] "2023-01-09 00:00:00 600519.SS 100 @ 1841.19995117188"
## [1] "2023-02-07 00:00:00 600519.SS -100 @ 1797"
## [1] "2023-02-21 00:00:00 600519.SS 100 @ 1867"
## [1] "2023-02-28 00:00:00 600519.SS -100 @ 1813.73999023438"
## [1] "2023-03-30 00:00:00 600519.SS 100 @ 1800"
## [1] "2023-04-13 00:00:00 600519.SS -100 @ 1723"
## [1] "2023-05-08 00:00:00 600519.SS 100 @ 1720.52001953125"
## [1] "2023-05-10 00:00:00 600519.SS -100 @ 1725"
## [1] "2023-06-15 00:00:00 600519.SS 100 @ 1755"
## [1] "2023-07-07 00:00:00 600519.SS -100 @ 1690.03002929688"
## [1] "2023-07-18 00:00:00 600519.SS 100 @ 1722.80004882812"
## [1] "2023-08-17 00:00:00 600519.SS -100 @ 1828.05004882812"
## [1] "2023-09-01 00:00:00 600519.SS 100 @ 1851.05004882812"
## [1] "2023-09-14 00:00:00 600519.SS -100 @ 1818.68994140625"
## [1] "2023-11-03 00:00:00 600519.SS 100 @ 1811.23999023438"
## [1] "2023-11-29 00:00:00 600519.SS -100 @ 1774.7099609375"
## [1] "2024-01-02 00:00:00 600519.SS 100 @ 1685.01000976562"
## [1] "2024-01-09 00:00:00 600519.SS -100 @ 1641"
## [1] "2024-02-08 00:00:00 600519.SS 100 @ 1706"
## [1] "2024-03-11 00:00:00 600519.SS -100 @ 1694.48999023438"
## [1] "2024-03-14 00:00:00 600519.SS 100 @ 1716.63000488281"
## [1] "2024-03-29 00:00:00 600519.SS -100 @ 1702.90002441406"
## [1] "2024-04-02 00:00:00 600519.SS 100 @ 1713.98999023438"
## [1] "2024-04-09 00:00:00 600519.SS -100 @ 1662.21997070312"
## [1] "2024-04-26 00:00:00 600519.SS 100 @ 1709.43005371094"
## [1] "2024-05-20 00:00:00 600519.SS -100 @ 1709"
## [1] "2024-07-18 00:00:00 600519.SS 100 @ 1497.51000976562"
## [1] "2024-07-26 00:00:00 600519.SS -100 @ 1422.18994140625"
## [1] "2024-08-16 00:00:00 600519.SS 100 @ 1431.19995117188"
## [1] "2024-08-28 00:00:00 600519.SS -100 @ 1389"
## [1] "2024-09-30 00:00:00 600519.SS 100 @ 1748"
## [1] "2024-10-29 00:00:00 600519.SS -100 @ 1531.61999511719"
## [1] "2024-11-08 00:00:00 600519.SS 100 @ 1609.96997070312"
## [1] "2024-11-20 00:00:00 600519.SS -100 @ 1544.81005859375"
## [1] "2024-12-13 00:00:00 600519.SS 100 @ 1519"
## [1] "2024-12-27 00:00:00 600519.SS -100 @ 1528.96997070312"
## [1] "2025-02-17 00:00:00 600519.SS 100 @ 1471.61999511719"
## [1] "2025-04-03 00:00:00 600519.SS -100 @ 1568.88000488281"
## [1] "2025-04-22 00:00:00 600519.SS 100 @ 1548.80004882812"
## [1] "2025-04-25 00:00:00 600519.SS -100 @ 1550"
## [1] "2025-05-09 00:00:00 600519.SS 100 @ 1591.18005371094"
## [1] "2025-05-27 00:00:00 600519.SS -100 @ 1543.90002441406"

更新组合和账户

updatePortf(portfolio.st)

## [1] "maotai_portfolio"

updateAcct(account.st)

## [1] "maotai_account"

updateEndEq(account.st)

## [1] "maotai_account"

分析结果

# 获取交易数据
trades <- getTxns(Portfolio = portfolio.st, Symbol = symbol)
print(trades)

## Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost
## 2009-12-31 00:00:00 0 0.00000 0 0.000 0.00000
## 2010-05-25 08:00:00 100 98.61007 0 9861.007 98.61007
## 2010-06-01 08:00:00 -100 99.64688 0 -9964.688 99.64688
## 2010-06-03 08:00:00 100 101.45004 0 10145.004 101.45004
## 2010-06-23 08:00:00 -100 98.94816 0 -9894.816 98.94816
## 2010-07-15 08:00:00 100 99.04583 0 9904.583 99.04583
## 2010-10-15 08:00:00 -100 120.19534 0 -12019.534 120.19534
## 2010-10-25 08:00:00 100 129.97746 0 12997.746 129.97746
## 2010-11-02 08:00:00 -100 122.21638 0 -12221.638 122.21638
## 2010-11-11 08:00:00 100 132.17130 0 13217.130 132.17130
## ... 
## 2024-11-08 08:00:00 100 1609.96997 0 160996.997 1609.96997
## 2024-11-20 08:00:00 -100 1544.81006 0 -154481.006 1544.81006
## 2024-12-13 08:00:00 100 1519.00000 0 151900.000 1519.00000
## 2024-12-27 08:00:00 -100 1528.96997 0 -152896.997 1528.96997
## 2025-02-17 08:00:00 100 1471.62000 0 147162.000 1471.62000
## 2025-04-03 08:00:00 -100 1568.88000 0 -156888.000 1568.88000
## 2025-04-22 08:00:00 100 1548.80005 0 154880.005 1548.80005
## 2025-04-25 08:00:00 -100 1550.00000 0 -155000.000 1550.00000
## 2025-05-09 08:00:00 100 1591.18005 0 159118.005 1591.18005
## 2025-05-27 08:00:00 -100 1543.90002 0 -154390.002 1543.90002
## Net.Txn.Realized.PL
## 2009-12-31 00:00:00 0.0000
## 2010-05-25 08:00:00 0.0000
## 2010-06-01 08:00:00 103.6812
## 2010-06-03 08:00:00 0.0000
## 2010-06-23 08:00:00 -250.1877
## 2010-07-15 08:00:00 0.0000
## 2010-10-15 08:00:00 2114.9513
## 2010-10-25 08:00:00 0.0000
## 2010-11-02 08:00:00 -776.1086
## 2010-11-11 08:00:00 0.0000
## ... 
## 2024-11-08 08:00:00 0.0000
## 2024-11-20 08:00:00 -6515.9912
## 2024-12-13 08:00:00 0.0000
## 2024-12-27 08:00:00 996.9971
## 2025-02-17 08:00:00 0.0000
## 2025-04-03 08:00:00 9726.0010
## 2025-04-22 08:00:00 0.0000
## 2025-04-25 08:00:00 119.9951
## 2025-05-09 08:00:00 0.0000
## 2025-05-27 08:00:00 -4728.0029

# 获取交易统计数据
tstats <- tradeStats(portfolio.st)
print(tstats)

## Portfolio Symbol Num.Txns Num.Trades Net.Trading.PL
## 600519.SS maotai_portfolio 600519.SS 220 110 104460
## Avg.Trade.PL Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits
## 600519.SS 949.6362 -435.6613 53221 -21638 312497.1
## Gross.Losses Std.Dev.Trade.PL Std.Err.Trade.PL Percent.Positive
## 600519.SS -208037.1 8924.596 850.9269 40.90909
## Percent.Negative Profit.Factor Avg.Win.Trade Med.Win.Trade
## 600519.SS 59.09091 1.502122 6944.381 2675.455
## Avg.Losing.Trade Med.Losing.Trade Avg.Daily.PL Med.Daily.PL
## 600519.SS -3200.571 -1404.959 949.6362 -435.6613
## Std.Dev.Daily.PL Std.Err.Daily.PL Ann.Sharpe Max.Drawdown
## 600519.SS 8924.596 850.9269 1.689153 -88252.01
## Profit.To.Max.Draw Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity
## 600519.SS 1.183656 2.169731 1.904294 185832
## Min.Equity End.Equity
## 600519.SS -146.5065 104460

# 查看持仓情况
positions <- getPos(Portfolio = portfolio.st, Symbol = symbol, Date = "2020-12-31")
print(positions)

## Pos.Qty Pos.Avg.Cost
## 2020-11-10 08:00:00 100 1745

# 获取投资组合的收益率
returns <- PortfReturns(Account = account.st)

# 计算夏普比率，假设无风险利率为0.02
sharpe_ratio <- SharpeRatio(returns, Rf = 0.02)

# 计算最大回撤
max_drawdown <- maxDrawdown(returns)

print(paste0("夏普比率: ", sharpe_ratio))

## [1] "夏普比率: -1.37222406503698" "夏普比率: -1.45706193297599"
## [3] "夏普比率: -1.45706193297599" "夏普比率: -1.41395097373399"

print(paste0("最大回撤: ", max_drawdown))

## [1] "最大回撤: 0.66676665654044"

# 获取策略对象
strategyObj <- getStrategy(strategy.st)

str(strategyObj)

## List of 10
## $ name : chr "maotai_sma"
## $ assets : NULL
## $ indicators :List of 2
## ..$ fastMA:List of 5
## .. ..$ name : chr "SMA"
## .. ..$ label : chr "fastMA"
## .. ..$ enabled : logi TRUE
## .. ..$ arguments:List of 2
## .. .. ..$ x: language Cl(mktdata)
## .. .. ..$ n: num 5
## .. ..$ call : language add.indicator(strategy = strategy.st, name = "SMA", arguments = list(x = quote(Cl(mktdata)), n = fastMA), label = "fastMA")
## .. ..- attr(*, "class")= chr "strat_indicator"
## ..$ slowMA:List of 5
## .. ..$ name : chr "SMA"
## .. ..$ label : chr "slowMA"
## .. ..$ enabled : logi TRUE
## .. ..$ arguments:List of 2
## .. .. ..$ x: language Cl(mktdata)
## .. .. ..$ n: num 20
## .. ..$ call : language add.indicator(strategy = strategy.st, name = "SMA", arguments = list(x = quote(Cl(mktdata)), n = slowMA), label = "slowMA")
## .. ..- attr(*, "class")= chr "strat_indicator"
## $ signals :List of 2
## ..$ :List of 5
## .. ..$ name : chr "sigCrossover"
## .. ..$ label : chr "fast.gt.slow"
## .. ..$ enabled : logi TRUE
## .. ..$ arguments:List of 3
## .. .. ..$ columns : chr [1:2] "fastMA" "slowMA"
## .. .. ..$ relationship: chr "gt"
## .. .. ..$ label : chr "fast.gt.slow"
## .. ..$ call : language add.signal(strategy = strategy.st, name = "sigCrossover", arguments = list(columns = c("fastMA", "slowMA"), | __truncated__
## .. ..- attr(*, "class")= chr "strat_signal"
## ..$ :List of 5
## .. ..$ name : chr "sigCrossover"
## .. ..$ label : chr "fast.lt.slow"
## .. ..$ enabled : logi TRUE
## .. ..$ arguments:List of 3
## .. .. ..$ columns : chr [1:2] "fastMA" "slowMA"
## .. .. ..$ relationship: chr "lt"
## .. .. ..$ label : chr "fast.lt.slow"
## .. ..$ call : language add.signal(strategy = strategy.st, name = "sigCrossover", arguments = list(columns = c("fastMA", "slowMA"), | __truncated__
## .. ..- attr(*, "class")= chr "strat_signal"
## $ rules :List of 3
## ..$ order: list()
## ..$ enter:List of 1
## .. ..$ :List of 7
## .. .. ..$ name :function (mktdata = mktdata, timestamp, sigcol, sigval, orderqty = 0, ordertype, 
## orderside = NULL, orderset = NULL, threshold = NULL, tmult = FALSE, 
## replace = TRUE, delay = 1e-04, osFUN = "osNoOp", pricemethod = c("market", 
## "opside", "active"), portfolio, symbol, ..., ruletype, TxnFees = 0, 
## prefer = NULL, sethold = FALSE, label = "", order.price = NULL, chain.price = NULL, 
## time.in.force = "") 
## .. .. ..$ type : chr "enter"
## .. .. ..$ enabled : logi TRUE
## .. .. ..$ label : chr "EnterLONG"
## .. .. ..$ arguments:List of 6
## .. .. .. ..$ sigcol : chr "fast.gt.slow"
## .. .. .. ..$ sigval : logi TRUE
## .. .. .. ..$ orderqty : num 100
## .. .. .. ..$ ordertype: chr "market"
## .. .. .. ..$ orderside: chr "long"
## .. .. .. ..$ replace : logi FALSE
## .. .. ..$ path.dep : logi TRUE
## .. .. ..$ call : language add.rule(strategy = strategy.st, name = "ruleSignal", arguments = list(sigcol = "fast.gt.slow", sigval = TRU| __truncated__ ...
## .. .. ..- attr(*, "class")= chr "trade_rule"
## ..$ exit :List of 1
## .. ..$ :List of 7
## .. .. ..$ name :function (mktdata = mktdata, timestamp, sigcol, sigval, orderqty = 0, ordertype, 
## orderside = NULL, orderset = NULL, threshold = NULL, tmult = FALSE, 
## replace = TRUE, delay = 1e-04, osFUN = "osNoOp", pricemethod = c("market", 
## "opside", "active"), portfolio, symbol, ..., ruletype, TxnFees = 0, 
## prefer = NULL, sethold = FALSE, label = "", order.price = NULL, chain.price = NULL, 
## time.in.force = "") 
## .. .. ..$ type : chr "exit"
## .. .. ..$ enabled : logi TRUE
## .. .. ..$ label : chr "ExitLONG"
## .. .. ..$ arguments:List of 6
## .. .. .. ..$ sigcol : chr "fast.lt.slow"
## .. .. .. ..$ sigval : logi TRUE
## .. .. .. ..$ orderqty : chr "all"
## .. .. .. ..$ ordertype: chr "market"
## .. .. .. ..$ orderside: chr "long"
## .. .. .. ..$ replace : logi FALSE
## .. .. ..$ path.dep : logi TRUE
## .. .. ..$ call : language add.rule(strategy = strategy.st, name = "ruleSignal", arguments = list(sigcol = "fast.lt.slow", sigval = TRU| __truncated__ ...
## .. .. ..- attr(*, "class")= chr "trade_rule"
## $ constraints: NULL
## $ init : list()
## $ wrapup : list()
## $ trials : num 6
## $ call : language strategy(name = strategy.st, store = TRUE)
## - attr(*, "class")= chr "strategy"

# 查看指标数据
indicator_data <- strategyObj$indicators
print(indicator_data)

## $fastMA
## $name
## [1] "SMA"
## 
## $label
## [1] "fastMA"
## 
## $enabled
## [1] TRUE
## 
## $arguments
## $arguments$x
## Cl(mktdata)
## 
## $arguments$n
## [1] 5
## 
## 
## $call
## add.indicator(strategy = strategy.st, name = "SMA", arguments = list(x = quote(Cl(mktdata)), 
## n = fastMA), label = "fastMA")
## 
## attr(,"class")
## [1] "strat_indicator"
## 
## $slowMA
## $name
## [1] "SMA"
## 
## $label
## [1] "slowMA"
## 
## $enabled
## [1] TRUE
## 
## $arguments
## $arguments$x
## Cl(mktdata)
## 
## $arguments$n
## [1] 20
## 
## 
## $call
## add.indicator(strategy = strategy.st, name = "SMA", arguments = list(x = quote(Cl(mktdata)), 
## n = slowMA), label = "slowMA")
## 
## attr(,"class")
## [1] "strat_indicator"

# 查看信号数据
signal_data <- strategyObj$signals
print(signal_data)

## [[1]]
## $name
## [1] "sigCrossover"
## 
## $label
## [1] "fast.gt.slow"
## 
## $enabled
## [1] TRUE
## 
## $arguments
## $arguments$columns
## [1] "fastMA" "slowMA"
## 
## $arguments$relationship
## [1] "gt"
## 
## $arguments$label
## [1] "fast.gt.slow"
## 
## 
## $call
## add.signal(strategy = strategy.st, name = "sigCrossover", arguments = list(columns = c("fastMA", 
## "slowMA"), relationship = "gt"), label = "fast.gt.slow")
## 
## attr(,"class")
## [1] "strat_signal"
## 
## [[2]]
## $name
## [1] "sigCrossover"
## 
## $label
## [1] "fast.lt.slow"
## 
## $enabled
## [1] TRUE
## 
## $arguments
## $arguments$columns
## [1] "fastMA" "slowMA"
## 
## $arguments$relationship
## [1] "lt"
## 
## $arguments$label
## [1] "fast.lt.slow"
## 
## 
## $call
## add.signal(strategy = strategy.st, name = "sigCrossover", arguments = list(columns = c("fastMA", 
## "slowMA"), relationship = "lt"), label = "fast.lt.slow")
## 
## attr(,"class")
## [1] "strat_signal"

# 绘制权益曲线
equity <- getAccount(account.st)$summary$End.Eq
plot(equity, main="Strategy Equity Curve")

# 绘制持仓和交易图表
chart.Posn(portfolio.st, Symbol=symbol, TA="add_SMA(n=fastMA,col='blue');add_SMA(n=slowMA,col='red')")

结语

基于 R 软件进行量化回测一件极度舒适的事情。但由于本文未对回测指标（即 SMA ）的参数做优化，因此，本文仅供技术探讨，不构成策略或投资建议。

时空数据可视化

Sun, 28 Jul 2013 00:00:00 +0000

这几天北京有点热，穿着汗衫都觉得浑身冒烟儿，做啥都没有激情，只能赖在家里或者躲进图书馆和博物馆。没什么紧要的事情都懒得往外面走，但一月一次的“COS数据分析沙龙”是个例外。没有紧要的事儿，都得抽出时间去参加，偶尔还得客串一下主持人。

这次沙龙的主题是“时空数据的可视化”，分享嘉宾是来自中科院地理所的王江浩（@沐洲），整个沙龙内容真的令人震撼。

我第一次对江浩有印象是在微博上。二〇一三年三月，上海爆发H9N7疫情，之后不久江苏、浙江等省份相继出现疫情。一时间全国上下议论纷纷，专家、民众都担心这次疫情会酿成第二次SARS（非典型性肺炎）。很多人都开始关注H9N7的疫情趋势，就在这个时候，江浩的微博开始贴出H9N7疫情的可视化图，且被大量转发。

再不久，雅安发生地震，江浩根据网上抓取的地震相关数据，对雅安周边的地区震级做了相当经典的可视化，从地图上标注了雅安周边地区各个县、乡的地震成度。让人对当地情况一目了然。我也是第一次感觉到了时空数据可视化的重要性。

细想之下，何止地震和疫情呢？交通情况也是时空数据可视化中的重点。此外，还有经济学中的时空经济学，也可以研究经济体在时空中的发展变化。我感觉，时空数据可视化对于国家宏观管理意义非凡。

修改chartSeries绘图结果的x轴标签

Wed, 26 Jun 2013 00:00:00 +0000

用quantmod包中的chartSeries绘图时，x轴标签会默认为中文汉字，看起来不太美观。想要修改制图结果吧，chartSeries函数中没有提供可设置x.labels的参数。原来chartSeries函数会自动识别系统语言并根据系统语言生成x.labels。这样的话，只要我们把自己的系统语言更改为英语，就应该显示为更为整洁的英文了。

require(quantmod)
getSymbols("AAPL")
chartSeries(AAPL,theme="white")

Sys.setlocale("LC_TIME","english")
chartSeries(AAPL,theme="white")

不过，这个好像不怎么重要吧？

R中的金融分析包：quantmod学习笔记补充版

Wed, 12 Jun 2013 00:00:00 +0000

很久之前在统计之都论坛发了一个quantmod包的学习笔记。听说后来流传很广泛。因为当时我也是初学quantmod，所以，该版本笔记中有很多错漏之处，同时笔记的叙述结构也不太合理。一直我都想修订一版出来作为补充。修订的版本现在在这里可以看到。

供大家参考，如果有什么建议和意见，请不吝指正。

quantmod:R中的金融分析包（学习笔记）

Mon, 06 Feb 2012 00:00:00 +0000

很久之前随手写了一份quantmod学习笔记，本来只是随手涂鸦，后来竟然出乎意料地广泛流传。因为那个册子格式混乱，结构也没有筹划，因此一直想着重新写一份。目前还没写完，但已经大致可以看了，先发出来，共需要的人来看，也便于大家提些意见。

下载：notes on quantmod。

从股票代码到公司名

Mon, 12 Dec 2011 00:00:00 +0000

Ruser也有Ruser的恶习，经常弄的什么事情都想用R来完成：用R玩儿扫雷、用R玩汉诺塔、用R玩儿黑白棋、用R获取股票数据、用R获取财务数据。

现在想的是，如果已经知道一个股票代码，比如上交所的000061，如何知道其对应的公司名称呢？如果能找到一个数据库，其包含公司名称、公司股票代码、公司简称就可以完成这样的事情了。

最典型的金融数据库有什么呢？google?yahoo? yahoo是可以的。代码：

library(quantmod)
paste(getQuote("000061.ss", what=yahooQF("Name"))[,2])

返回结果如下：

[1] "SSE CORPORATE BON"

setSymbolLookup

Thu, 02 Jun 2011 00:00:00 +0000

用quantmod获取OHLC数据时，如果不知道所有获取的股票的简称，在使用数据时可能会遇到一些麻烦，比如：

library(quantmod)
getSymbols("000065.SS")

获取数据后，敲入:

000065.SS

结果是无法返回所获取的数据。不过，不用着急，这个问题可以用setSymbolLookup来解决：

setSymbolLookup(myname=list(name="000065.SS", src="yahoo")) 
getSymbols("myname") 
MYNAME #这里是大写字母

R获取股票数据

Thu, 14 Apr 2011 00:00:00 +0000

R中有多个包都提供了从线上数据库获取股票数据的方法。如果非得在其中找出一个最好的，quantmod当之无愧。譬如下载沪市大盘数据，代码可以是：

library(quantmod) 
SSE <- getSymbols("000001.SS",auto.assign=FALSE) 
head(SSE)

或者：

library(quantmod) 
setSymbolLookup(SSE=list(name="000001.SS", src="yahoo")) 
getSymbols("SSE") 
head(SSE)

以上是Jeff Ryan（quantmod作者）推荐过的方法。不过，后来JoshuaUlrich在他的邮件中给出了一个更简洁的方法：

library(quantmod) 
getSymbols("^SSEC") 
head(SSEC)

虽然quantmod的包出自Jeff Ryan之手，显而易见，在这一点上Joshua Ulrich是青出于蓝而胜于蓝。

quantmod：R中的金融分析包

Sun, 10 Apr 2011 00:00:00 +0000

大概两年前，写了一份quantmod的读书笔记。当时只是草草完成，不足之处很多。于是，一直以来都有修缮之心，思忖良久，前段时间终于开始着手，目前大致确定了内容。先将完成的部分记在这里。