Question

需要你的帮助。我是新手，所以只是测试筛选策略并尝试一些代码。我有一个R数据框，价格为6个月以上的108只股票。我想只选择那些简单移动平均线大于这些股票价格均值的股票。我有以下代码来计算均值和SMA：

library(TTR)
library(quantmod)
library(FinancialInstrument)
library(PerformanceAnalytics)
library(stats)
library(tseries)
#Load Systematic investor toolbox for helpful functions
setInternet2(TRUE)
con = gzcon(url('https://github.com/systematicinvestor/SIT/raw/master/sit.gz', 'rb'))
    source(con)
close(con)

tickerlist <- "funds.csv"  #CSV containing tickers on rows
startDate = as.Date("2004-01-13") #Specify what date to get the prices from
maxretryattempts <- 5 #If there is an error downloading a price how many times to retry

#Load the list of ticker symbols from a csv, each row contains a ticker
stocksLst <- read.csv("funds.csv", header = F, stringsAsFactors = F)
stockData <- new.env() #Make a new environment for quantmod to store data in
nrstocks = length(stocksLst[,1]) #The number of stocks to download

#Download all the stock data
for (i in 1:nrstocks){
    for(t in 1:maxretryattempts){
            tryCatch(
                    {
                               if(!is.null(eval(parse(text=paste("stockData$",stocksLst[i,1],sep=""))))){


                                    break
                            }


                        cat("(",i,"/",nrstocks,") ","Downloading ", stocksLst[i,1] , "\t\t Attempt: ", t , "/", maxretryattempts,"\n")
                        getSymbols(stocksLst[i,1], env = stockData, src = "yahoo", from = startDate, auto.assign=T)
                    }
                            , error = function(e) print(e))
        }
}

bt.prep(stockData,align='remove.na')

price = stockData$prices

SMA_price <- apply(price[,1:108], 2, SMA, n=120)
Mean_price <- apply(price[,1:108], 2, mean)

＆＃39;价格＆＃39;是具有所有价格的数据框架。以下是它的内容预览：

head(price[,1:108])
           ABA.NZ ACY.NZ AIA.NZ AIR.NZ ALF.NZ AOR.NZ ARG.NZ ATM.NZ AUG.NZ
2013-12-19    6.0      5   3.60   1.63   0.04   0.01   0.90   0.77   0.75
2013-12-20    6.3      5   3.48   1.64   0.04   0.01   0.90   0.75   0.75
2013-12-23    6.3      5   3.55   1.62   0.05   0.01   0.92   0.80   0.75
2013-12-24    6.3      5   3.57   1.62   0.05   0.01   0.92   0.80   0.75
2013-12-25    6.3      5   3.57   1.62   0.05   0.01   0.92   0.80   0.75
2013-12-26    6.3      5   3.57   1.62   0.05   0.01   0.92   0.80   0.75

知道我是如何做这项工作的吗？

感谢!!!

根据条件对数据帧进行子集化

0 个答案: