Quantmod examples

There are a large number of packages that have been produced by other people. These packages hold additional functions that allow you to easily accomplish a range of tasks. You must install the package to your machine. You use the function install.packages to do that. This will save all the functions in a directory. You must then require the package to make the functions available for a particular session.

We will look at the quantmod package. You can read all about the package on Cran.

The first step is to automatically download data from Yahoo finance using the function getSymbols. This will send a request to the Yahoo web site and bring back the data. If it does not get a response within a specific time frame, an error is displayed. In that case, try again.

Once the data is downloaded, take a look at the data using the head and tail functions.

#install.packages('quantmod')
require(quantmod)
getSymbols("BAC")

## [1] "BAC"

head(BAC)

##            BAC.Open BAC.High BAC.Low BAC.Close BAC.Volume BAC.Adjusted
## 2007-01-03    53.40    54.18   52.99     53.33   16028200     43.17884
## 2007-01-04    53.33    53.89   53.05     53.67   13175000     43.45411
## 2007-01-05    53.59    53.59   53.03     53.24   10205000     43.10596
## 2007-01-08    53.46    53.64   52.80     53.45    9685900     43.27598
## 2007-01-09    53.60    53.71   52.97     53.50   12546500     43.31646
## 2007-01-10    53.26    53.70   53.16     53.58   10083900     43.38124

tail(BAC)

##            BAC.Open BAC.High BAC.Low BAC.Close BAC.Volume BAC.Adjusted
## 2018-11-12    28.38    28.52   27.64     27.75   50307500        27.75
## 2018-11-13    27.75    28.14   27.69     27.76   57423400        27.76
## 2018-11-14    27.95    28.10   26.78     27.21   69213300        27.21
## 2018-11-15    27.14    27.97   26.88     27.90   66174800        27.90
## 2018-11-16    27.69    27.89   27.42     27.75   52456100        27.75
## 2018-11-19    27.78    28.02   27.54     27.75   45965700        27.75

You can take a look at the other functions in the quantmod package by running ?quantmod at the consol or pressing F1 when the cursor is over the word quantmod in RStudio.

head(Ad(BAC))

##            BAC.Adjusted
## 2007-01-03     43.17884
## 2007-01-04     43.45411
## 2007-01-05     43.10596
## 2007-01-08     43.27598
## 2007-01-09     43.31646
## 2007-01-10     43.38124

?quantmod
?OHLC

## Help on topic 'OHLC' was found in the following packages:
## 
##   Package               Library
##   quantmod              /home/rob/R/x86_64-pc-linux-gnu-library/3.4
##   xts                   /home/rob/R/x86_64-pc-linux-gnu-library/3.4
## 
## 
## Using the first match ...

There are a number of built in plotting functions.

require(quantmod)
plot(Cl(BAC), col = 'black')

barChart(BAC)

Practice

Automatically download the data for the Ford Motor Company from Yahoo
Check that the data is okay and find out the start and end dates
Create a plot of the data

Technical trading

The ttr package is installed and loaded as part of quantmod

require(TTR)
require(quantmod)
getSymbols("GOOG")

## [1] "GOOG"

barChart(GOOG)

candleChart(GOOG,multi.col=TRUE,theme='white', subset = 'last 4 months')

chartSeries(GOOG)

addMACD()

addBBands()

Practice

Check the functions that are available in TTR package
Create a 5-day moving average of YHOO and call it ``YHOO5DMA```
Plot the Yahoo 5-day moving average.

The Fred database

One of the sources is the Fred database. Here we get the data and chart it in different ways.

getSymbols('CPIAUCNS',src='FRED')

## [1] "CPIAUCNS"

plot(CPIAUCNS)

plot(diff(log(CPIAUCNS), lag=12), main="CPI Inflation")

getSymbols('DEXJPUS',src="FRED") # FX rates from FRED

## [1] "DEXJPUS"

  plot(DEXJPUS, col = 'black', main = "USD-JPY")

Practice

Go to the St. Louis Fed database
Find the code for US unemployment data
Plot the data and beautify the chart