Midterm exam
張瑜君
2019年4月15日
一、
台灣二十檔大型股票代號及名稱。
library(quantmod)## Warning: package 'quantmod' was built under R version 3.5.3## Loading required package: xts## Warning: package 'xts' was built under R version 3.5.3## Loading required package: zoo##
## Attaching package: 'zoo'## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric## Loading required package: TTR## Warning: package 'TTR' was built under R version 3.5.3## Version 0.4-0 included new data defaults. See ?getSymbols.tw20_adj_close<-read.csv("2018Q4_20.csv")
head(tw20_adj_close, 20)## name share1 industry share2
## 1 1101 台泥 1.03% 水泥工業
## 2 1216 統一 2.15% 食品工業
## 3 1301 台塑 3.16% 塑膠工業
## 4 1402 遠東新 0.70% 紡織纖維
## 5 2002 中鋼 1.92% 鋼鐵工業
## 6 2105 正新 0.48% 橡膠工業
## 7 2912 統一超 1.12% 貿易百貨
## 8 9904 寶成工業 0.56% 其他
## 9 6505 台塑石化 0.95% 油電燃氣業
## 10 2303 聯電 0.85% 半導體業
## 11 2330 台積電 34.72% 半導體業
## 12 2408 南亞科 0.29% 半導體業
## 13 2357 華碩 0.91% 電腦及週邊設備業
## 14 3008 大立光 2.11% 光電業
## 15 3481 群創光電 0.54% 光電業
## 16 2412 中華電 2.76% 通信網路業
## 17 2308 台達電 1.80% 電子零組件業
## 18 2327 國巨 0.79% 電子零組件業
## 19 2317 鴻海 5.42% 其他電子業
## 20 2474 可成科技 1.07% 其他電子業二、
從TEJ資料庫下載「除權調整後日收盤價」，將檔案輸出並儲存為tw20.txt。
library(readr)## Warning: package 'readr' was built under R version 3.5.3tw20.txt<-read.table("tw20.txt", header = T)
head(tw20.txt, 50)## 證券代碼 簡稱 年月日 收盤價.元.
## 1 1101 台泥 20140102 32.76
## 2 1216 統一 20140102 40.41
## 3 1301 台塑 20140102 65.53
## 4 1402 遠東新 20140102 27.04
## 5 2002 中鋼 20140102 22.13
## 6 2105 正新 20140102 62.60
## 7 2912 統一超 20140102 170.17
## 8 9904 寶成 20140102 35.77
## 9 6505 台塑化 20140102 66.81
## 10 2303 聯電 20140102 10.10
## 11 2330 台積電 20140102 89.00
## 12 2408 南亞科 20140102 33.91
## 13 2357 華碩 20140102 199.29
## 14 3008 大立光 20140102 1119.08
## 15 3481 群創 20140102 9.36
## 16 2412 中華電 20140102 73.37
## 17 2308 台達電 20140102 139.78
## 18 2327 國巨 20140102 30.20
## 19 2317 鴻海 20140102 63.71
## 20 2474 可成 20140102 171.06
## 21 1101 台泥 20140103 32.15
## 22 1216 統一 20140103 40.04
## 23 1301 台塑 20140103 65.28
## 24 1402 遠東新 20140103 26.68
## 25 2002 中鋼 20140103 21.97
## 26 2105 正新 20140103 61.71
## 27 2912 統一超 20140103 167.29
## 28 9904 寶成 20140103 35.77
## 29 6505 台塑化 20140103 65.90
## 30 2303 聯電 20140103 10.06
## 31 2330 台積電 20140103 87.29
## 32 2408 南亞科 20140103 35.99
## 33 2357 華碩 20140103 199.29
## 34 3008 大立光 20140103 1128.36
## 35 3481 群創 20140103 9.40
## 36 2412 中華電 20140103 73.37
## 37 2308 台達電 20140103 138.12
## 38 2327 國巨 20140103 30.88
## 39 2317 鴻海 20140103 62.91
## 40 2474 可成 20140103 169.32
## 41 1101 台泥 20140106 31.46
## 42 1216 統一 20140106 40.04
## 43 1301 台塑 20140106 64.87
## 44 1402 遠東新 20140106 26.36
## 45 2002 中鋼 20140106 21.88
## 46 2105 正新 20140106 61.71
## 47 2912 統一超 20140106 168.52
## 48 9904 寶成 20140106 34.54
## 49 6505 台塑化 20140106 66.73
## 50 2303 聯電 20140106 10.18三、
利用「dcast函數」將tw20.txt轉換成xts格式，並命名為tw20.xts。
library(reshape2)
colnames(tw20.txt)<-c("id","", "date", "price")
tw20.xts = dcast(tw20.txt, date~id)## Using price as value column: use value.var to override.head(tw20.xts, 50)## date 1101 1216 1301 1402 2002 2105 2303 2308 2317 2327
## 1 20140102 32.76 40.41 65.53 27.04 22.13 62.60 10.10 139.78 63.71 30.20
## 2 20140103 32.15 40.04 65.28 26.68 21.97 61.71 10.06 138.12 62.91 30.88
## 3 20140106 31.46 40.04 64.87 26.36 21.88 61.71 10.18 136.87 62.60 31.69
## 4 20140107 31.86 39.96 64.38 26.36 21.72 63.00 10.35 136.87 62.60 31.82
## 5 20140108 31.68 39.81 64.05 26.76 21.72 63.40 10.64 137.28 62.99 32.49
## 6 20140109 30.96 39.14 64.71 26.52 21.67 62.60 10.55 137.28 63.79 33.71
## 7 20140110 31.61 39.06 64.71 26.60 21.67 62.12 10.51 134.37 64.34 33.71
## 8 20140113 31.61 39.06 64.87 26.92 21.88 62.36 10.39 137.70 64.82 34.38
## 9 20140114 31.83 38.99 64.54 26.88 22.22 62.60 10.35 137.28 65.21 33.98
## 10 20140115 32.29 38.99 64.87 26.44 22.30 62.76 10.43 138.12 66.00 34.65
## 11 20140116 31.75 38.62 65.04 26.12 22.30 62.60 10.43 140.61 66.48 34.25
## 12 20140117 31.61 38.47 64.63 26.20 22.09 63.00 10.47 138.95 66.40 34.52
## 13 20140120 31.86 38.24 64.87 25.81 22.26 63.88 10.51 142.28 67.51 34.65
## 14 20140121 32.40 37.94 65.28 25.57 22.26 63.80 10.51 143.11 66.95 34.38
## 15 20140122 32.62 37.49 65.69 26.08 22.26 63.40 10.47 143.11 66.72 34.25
## 16 20140123 32.80 37.57 65.61 25.69 22.26 62.60 10.55 139.78 66.48 34.25
## 17 20140124 32.73 37.57 65.77 25.49 22.34 62.44 10.55 141.44 67.35 33.84
## 18 20140127 31.97 37.42 64.05 25.01 21.72 61.39 10.14 138.53 67.27 33.71
## 19 20140205 30.74 36.22 61.83 24.45 21.01 60.59 9.86 131.88 64.42 33.57
## 20 20140206 31.32 35.62 61.75 24.77 21.21 62.20 9.90 130.21 64.89 35.87
## 21 20140207 31.46 36.07 61.92 24.77 21.38 62.20 9.94 129.80 64.50 37.62
## 22 20140210 31.97 36.07 62.08 24.93 21.51 62.76 9.94 130.21 64.74 37.62
## 23 20140211 32.22 36.37 62.65 24.85 21.63 62.60 9.94 131.46 63.71 38.70
## 24 20140212 32.69 36.15 63.15 25.09 21.67 62.68 10.02 138.53 65.21 38.02
## 25 20140213 32.80 35.66 62.82 25.01 21.42 61.79 10.02 136.45 65.53 37.48
## 26 20140214 33.02 36.60 63.23 25.45 21.72 61.96 10.10 136.45 66.16 37.21
## 27 20140217 33.20 36.89 62.98 25.41 21.55 62.44 10.02 136.45 66.16 37.75
## 28 20140218 33.23 37.42 62.98 25.49 21.80 62.52 10.02 139.36 66.40 37.48
## 29 20140219 33.05 37.42 63.48 25.29 21.76 63.16 10.06 140.20 66.56 37.62
## 30 20140220 33.09 36.67 62.74 25.01 21.38 62.76 10.02 137.70 65.61 37.21
## 31 20140221 33.88 37.38 63.23 25.37 21.55 63.00 10.10 137.70 66.32 39.78
## 32 20140224 33.67 37.27 63.06 25.21 21.47 63.00 10.06 135.20 65.53 39.78
## 33 20140225 34.50 37.08 63.39 25.29 21.38 62.76 10.06 136.04 65.61 39.51
## 34 20140226 34.32 37.42 63.64 25.05 21.30 63.08 10.14 137.70 66.24 38.97
## 35 20140227 34.86 37.87 63.23 25.37 21.42 63.32 10.10 140.20 66.56 38.97
## 36 20140303 34.39 37.38 62.41 25.37 21.34 62.76 10.27 138.95 65.85 38.97
## 37 20140304 33.56 37.19 61.83 24.97 21.17 62.76 10.18 135.62 65.61 38.56
## 38 20140305 34.35 37.42 62.00 25.05 21.13 62.84 10.22 141.03 65.77 39.24
## 39 20140306 34.03 37.87 62.00 25.17 21.30 63.40 10.43 142.69 66.88 39.51
## 40 20140307 33.92 37.64 62.65 25.33 21.47 63.48 10.39 141.03 67.11 38.43
## 41 20140310 34.28 38.02 61.92 25.21 21.21 63.24 10.27 138.53 67.03 37.75
## 42 20140311 33.59 37.87 62.41 25.01 21.47 63.08 10.47 141.44 66.72 38.29
## 43 20140312 34.10 37.94 61.59 24.93 21.30 62.60 10.59 145.60 67.11 37.21
## 44 20140313 33.99 38.24 61.59 24.69 21.38 62.20 10.72 155.59 68.22 36.00
## 45 20140314 33.92 39.36 60.36 24.69 21.09 61.47 10.59 151.01 67.75 38.43
## 46 20140317 34.21 39.36 59.94 24.97 21.01 61.47 10.64 148.93 68.70 37.75
## 47 20140318 33.92 39.06 60.77 24.81 21.34 63.00 10.72 148.93 68.14 37.62
## 48 20140319 33.70 38.69 60.19 24.69 21.13 63.00 10.55 148.93 67.59 37.75
## 49 20140320 33.70 37.72 60.60 24.69 21.30 62.04 10.39 146.44 66.88 38.02
## 50 20140321 33.16 37.57 59.94 24.69 20.96 61.96 10.27 143.94 67.11 38.02
## 2330 2357 2408 2412 2474 2912 3008 3481 6505 9904
## 1 89.00 199.29 33.91 73.37 171.06 170.17 1119.08 9.36 66.81 35.77
## 2 87.29 199.29 35.99 73.37 169.32 167.29 1128.36 9.40 65.90 35.77
## 3 87.29 198.18 38.47 72.97 165.41 168.52 1091.22 9.14 66.73 34.54
## 4 86.87 199.29 41.11 72.81 168.89 165.64 1095.86 9.27 66.81 35.36
## 5 88.57 206.67 43.91 72.81 168.89 165.64 1054.07 9.23 67.47 34.95
## 6 86.02 205.93 46.94 72.81 173.23 165.23 1049.42 9.73 68.05 33.92
## 7 86.87 204.09 46.78 72.66 176.27 165.23 1068.00 9.65 66.73 34.00
## 8 87.72 213.31 47.58 72.73 177.13 162.34 1068.00 9.57 68.46 34.95
## 9 88.15 214.05 47.34 72.73 173.23 159.87 1035.49 9.40 67.55 34.25
## 10 89.42 212.20 47.34 72.73 177.57 159.87 1105.15 9.36 66.81 34.58
## 11 91.13 211.84 44.07 72.73 176.27 157.40 1091.22 9.31 66.81 35.24
## 12 91.55 211.10 41.03 72.73 176.27 159.05 1123.72 9.40 65.33 35.36
## 13 91.55 212.57 42.07 72.58 180.17 160.28 1142.29 9.36 63.19 35.15
## 14 90.70 211.84 39.99 72.66 179.74 161.52 1160.87 9.14 63.27 34.37
## 15 91.55 215.53 39.99 72.66 182.78 165.23 1156.22 8.98 64.01 35.24
## 16 91.55 215.53 40.39 72.58 179.30 165.64 1100.50 8.89 63.19 35.07
## 17 91.98 213.31 40.39 72.50 178.00 166.88 1077.29 8.98 63.02 35.15
## 18 89.42 208.15 39.99 72.66 175.40 167.70 1081.93 8.85 62.77 34.54
## 19 85.59 206.30 40.63 71.39 174.53 160.28 1063.35 8.55 62.36 33.80
## 20 86.87 204.45 43.43 71.39 180.61 161.11 1068.00 8.55 61.54 33.30
## 21 88.57 206.67 44.39 71.47 191.03 163.58 1068.00 8.89 62.20 33.55
## 22 87.72 210.73 44.79 71.39 187.12 162.76 1081.93 8.77 62.61 33.47
## 23 89.00 209.62 43.19 71.23 189.72 160.28 1109.79 8.72 62.69 33.88
## 24 89.42 214.05 42.95 71.71 198.41 159.87 1128.36 8.85 63.02 34.25
## 25 89.42 212.57 41.27 71.71 191.03 157.81 1105.15 9.02 62.44 33.76
## 26 91.55 212.57 40.23 72.10 185.38 156.57 1100.50 9.14 62.61 34.21
## 27 92.40 211.10 37.43 72.10 189.29 156.57 1091.22 9.02 62.86 33.92
## 28 91.98 216.26 38.63 72.18 190.16 152.45 1081.93 8.85 63.02 34.54
## 29 91.98 222.54 37.43 72.58 188.86 152.87 1086.57 8.89 63.43 34.41
## 30 90.70 217.37 38.39 72.18 187.12 149.57 1081.93 8.81 62.69 33.63
## 31 91.55 218.48 37.59 72.50 187.55 154.51 1156.22 9.23 63.27 33.55
## 32 91.13 217.37 36.87 72.58 190.16 153.28 1156.22 9.06 63.02 33.06
## 33 91.98 215.90 38.23 72.26 191.03 153.69 1146.94 9.06 63.19 33.59
## 34 91.55 215.53 38.87 72.26 194.50 153.69 1225.88 9.19 63.68 33.92
## 35 91.98 215.16 38.07 72.73 191.03 154.93 1249.09 9.10 64.09 33.26
## 36 91.98 212.94 37.03 72.50 193.20 152.45 1281.60 8.93 63.35 33.88
## 37 91.55 212.57 34.47 72.18 191.03 153.28 1281.60 8.77 63.02 34.13
## 38 93.68 208.88 32.07 72.66 189.29 154.93 1290.88 8.81 63.10 35.03
## 39 96.24 209.99 33.67 72.97 191.90 163.17 1290.88 8.77 63.10 35.36
## 40 97.51 212.20 31.99 73.05 194.07 160.70 1272.31 8.77 63.10 34.41
## 41 96.24 208.88 30.39 73.05 194.07 159.87 1281.60 8.68 62.11 33.67
## 42 97.09 211.10 32.47 73.52 192.76 162.34 1276.95 8.72 63.43 34.04
## 43 96.24 213.31 33.19 73.52 191.03 162.76 1295.53 8.77 62.61 33.72
## 44 99.22 212.94 31.99 73.68 191.03 163.99 1300.17 8.77 63.43 33.72
## 45 97.94 215.53 31.99 72.89 187.55 165.23 1304.82 8.68 62.77 33.26
## 46 97.09 217.00 31.59 73.13 187.99 165.64 1281.60 8.89 62.94 33.43
## 47 97.51 217.37 30.07 73.52 191.03 165.64 1276.95 8.81 63.43 33.67
## 48 97.51 214.79 29.19 73.76 191.03 169.35 1314.10 8.81 63.43 33.43
## 49 95.38 210.73 29.99 73.45 187.12 171.00 1286.24 8.68 62.77 33.14
## 50 95.81 211.47 29.51 73.52 185.38 168.94 1253.74 8.77 61.87 32.03四-1、
計算每日報酬率，並將資料輸出為tw20.day.ret。
library(reshape2)
colnames(tw20.txt)<-c("id","", "date", "price")
tw20.xts = dcast(tw20.txt, date~id)## Using price as value column: use value.var to override.tw20.xts$date<-as.Date(as.character(tw20.xts$date), "%Y%m%d")
library(xts)
tw20.xts.1<-xts(tw20.xts[,-1], order.by = tw20.xts$date)
saveRDS(tw20.xts.1, "tw20_xts_all")
library(PerformanceAnalytics)## Warning: package 'PerformanceAnalytics' was built under R version 3.5.3##
## Attaching package: 'PerformanceAnalytics'## The following object is masked from 'package:graphics':
##
## legendlibrary(magrittr)
tw20.day.ret <-Return.calculate(tw20.xts.1, method = "log")
head(tw20.day.ret)## 1101 1216 1301 1402 2002
## 2014-01-02 NA NA NA NA NA
## 2014-01-03 -0.018795808 -0.009198325 -0.003822342 -0.01340303 -0.007256268
## 2014-01-06 -0.021695553 0.000000000 -0.006300443 -0.01206651 -0.004104909
## 2014-01-07 0.012634407 -0.002000001 -0.007582241 0.00000000 -0.007339482
## 2014-01-08 -0.005665738 -0.003760817 -0.005138998 0.01506053 0.000000000
## 2014-01-09 -0.022989518 -0.016973175 0.010251721 -0.00900907 -0.002304680
## 2105 2303 2308 2317 2327
## 2014-01-02 NA NA NA NA NA
## 2014-01-03 -0.014319286 -0.003968259 -0.011946886 -0.012636403 0.022266801
## 2014-01-06 0.000000000 0.011857846 -0.009091302 -0.004939855 0.025892449
## 2014-01-07 0.020688734 0.016561509 0.000000000 0.000000000 0.004093849
## 2014-01-08 0.006329135 0.027633964 0.002991066 0.006210706 0.020837327
## 2014-01-09 -0.012698583 -0.008494624 0.000000000 0.012620455 0.036862180
## 2330 2357 2408 2412 2474
## 2014-01-02 NA NA NA NA NA
## 2014-01-03 -0.01940046 0.000000000 0.05953117 0.000000000 -0.01022396
## 2014-01-06 0.00000000 -0.005585342 0.06663759 -0.005466735 -0.02336318
## 2014-01-07 -0.00482316 0.005585342 0.06637268 -0.002195089 0.02082038
## 2014-01-08 0.01938045 0.036362268 0.06589068 0.000000000 0.00000000
## 2014-01-09 -0.02921337 -0.003587013 0.06672811 0.000000000 0.02537258
## 2912 3008 3481 6505 9904
## 2014-01-02 NA NA NA NA NA
## 2014-01-03 -0.017069104 0.008258332 0.004264399 -0.013714328 0.00000000
## 2014-01-06 0.007325604 -0.033468915 -0.028049304 0.012516185 -0.03499148
## 2014-01-07 -0.017237678 0.004243107 0.014122994 0.001198143 0.02346317
## 2014-01-08 0.000000000 -0.038880582 -0.004324331 0.009830285 -0.01166277
## 2014-01-09 -0.002478316 -0.004421231 0.052754848 0.008559674 -0.02991366四-2、
計算每月報酬率，並將資料輸出為tw20.mon.ret。
library(reshape2)
colnames(tw20.txt)<-c("id","", "date", "price")
tw20.xts = dcast(tw20.txt, date~id)## Using price as value column: use value.var to override.tw20.xts$date<-as.Date(as.character(tw20.xts$date), "%Y%m%d")
library(xts)
tw20.xts.1<-xts(tw20.xts[,-1], order.by = tw20.xts$date)
saveRDS(tw20.xts.1, "tw20_xts_all")
library(quantmod)
tw20.mon.ret <- to.monthly(tw20.xts.1, indexAt = "lastof", OHLC=FALSE)
head(tw20.mon.ret)## 1101 1216 1301 1402 2002 2105 2303 2308 2317 2327
## 2014-01-31 31.97 37.42 64.05 25.01 21.72 61.39 10.14 138.53 67.27 33.71
## 2014-02-28 34.86 37.87 63.23 25.37 21.42 63.32 10.10 140.20 66.56 38.97
## 2014-03-31 33.92 39.66 62.57 25.77 21.38 69.74 10.55 156.42 68.38 37.62
## 2014-04-30 34.57 38.24 63.89 24.61 21.13 69.50 10.72 153.92 68.62 38.70
## 2014-05-31 32.19 39.29 62.98 24.69 20.51 65.00 11.54 162.24 73.21 47.60
## 2014-06-30 32.62 40.11 65.53 25.61 20.92 61.31 12.28 180.96 79.24 57.58
## 2330 2357 2408 2412 2474 2912 3008 3481 6505
## 2014-01-31 89.42 208.15 39.99 72.66 175.40 167.70 1081.93 8.85 62.77
## 2014-02-28 91.98 215.16 38.07 72.73 191.03 154.93 1249.09 9.10 64.09
## 2014-03-31 100.92 222.54 32.39 74.08 191.46 177.18 1337.32 8.81 63.84
## 2014-04-30 100.92 230.29 39.59 74.47 220.98 185.01 1750.59 8.77 62.53
## 2014-05-31 101.77 244.31 66.30 75.90 232.71 204.37 1820.24 9.99 60.38
## 2014-06-30 107.73 245.79 61.58 76.05 241.82 196.95 2210.29 11.80 64.09
## 9904
## 2014-01-31 34.54
## 2014-02-28 33.26
## 2014-03-31 35.32
## 2014-04-30 31.58
## 2014-05-31 27.22
## 2014-06-30 29.56六、
依90天移動平均操作策略，股票之操作績效。
con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
source(con)
close(con)
load.packages('quantmod')
tw20.all<-readRDS("D:/gittest/01/0415/tw20_xts_all")
head(tw20.all)## 1101 1216 1301 1402 2002 2105 2303 2308 2317 2327
## 2014-01-02 32.76 40.41 65.53 27.04 22.13 62.60 10.10 139.78 63.71 30.20
## 2014-01-03 32.15 40.04 65.28 26.68 21.97 61.71 10.06 138.12 62.91 30.88
## 2014-01-06 31.46 40.04 64.87 26.36 21.88 61.71 10.18 136.87 62.60 31.69
## 2014-01-07 31.86 39.96 64.38 26.36 21.72 63.00 10.35 136.87 62.60 31.82
## 2014-01-08 31.68 39.81 64.05 26.76 21.72 63.40 10.64 137.28 62.99 32.49
## 2014-01-09 30.96 39.14 64.71 26.52 21.67 62.60 10.55 137.28 63.79 33.71
## 2330 2357 2408 2412 2474 2912 3008 3481 6505 9904
## 2014-01-02 89.00 199.29 33.91 73.37 171.06 170.17 1119.08 9.36 66.81 35.77
## 2014-01-03 87.29 199.29 35.99 73.37 169.32 167.29 1128.36 9.40 65.90 35.77
## 2014-01-06 87.29 198.18 38.47 72.97 165.41 168.52 1091.22 9.14 66.73 34.54
## 2014-01-07 86.87 199.29 41.11 72.81 168.89 165.64 1095.86 9.27 66.81 35.36
## 2014-01-08 88.57 206.67 43.91 72.81 168.89 165.64 1054.07 9.23 67.47 34.95
## 2014-01-09 86.02 205.93 46.94 72.81 173.23 165.23 1049.42 9.73 68.05 33.92tw20.all.1<-tw20.all[complete.cases(tw20.all),]
head(tw20.all.1)## 1101 1216 1301 1402 2002 2105 2303 2308 2317 2327
## 2014-01-02 32.76 40.41 65.53 27.04 22.13 62.60 10.10 139.78 63.71 30.20
## 2014-01-03 32.15 40.04 65.28 26.68 21.97 61.71 10.06 138.12 62.91 30.88
## 2014-01-06 31.46 40.04 64.87 26.36 21.88 61.71 10.18 136.87 62.60 31.69
## 2014-01-07 31.86 39.96 64.38 26.36 21.72 63.00 10.35 136.87 62.60 31.82
## 2014-01-08 31.68 39.81 64.05 26.76 21.72 63.40 10.64 137.28 62.99 32.49
## 2014-01-09 30.96 39.14 64.71 26.52 21.67 62.60 10.55 137.28 63.79 33.71
## 2330 2357 2408 2412 2474 2912 3008 3481 6505 9904
## 2014-01-02 89.00 199.29 33.91 73.37 171.06 170.17 1119.08 9.36 66.81 35.77
## 2014-01-03 87.29 199.29 35.99 73.37 169.32 167.29 1128.36 9.40 65.90 35.77
## 2014-01-06 87.29 198.18 38.47 72.97 165.41 168.52 1091.22 9.14 66.73 34.54
## 2014-01-07 86.87 199.29 41.11 72.81 168.89 165.64 1095.86 9.27 66.81 35.36
## 2014-01-08 88.57 206.67 43.91 72.81 168.89 165.64 1054.07 9.23 67.47 34.95
## 2014-01-09 86.02 205.93 46.94 72.81 173.23 165.23 1049.42 9.73 68.05 33.921101
讀取1101的資料。
library(xts)
data1<-new.env()
data1$prices<-tw20.all.1$'1101'
prices<-data1$prices
sma1101<-SMA(prices, 90)
head(sma1101, 91)## SMA
## 2014-01-02 NA
## 2014-01-03 NA
## 2014-01-06 NA
## 2014-01-07 NA
## 2014-01-08 NA
## 2014-01-09 NA
## 2014-01-10 NA
## 2014-01-13 NA
## 2014-01-14 NA
## 2014-01-15 NA
## 2014-01-16 NA
## 2014-01-17 NA
## 2014-01-20 NA
## 2014-01-21 NA
## 2014-01-22 NA
## 2014-01-23 NA
## 2014-01-24 NA
## 2014-01-27 NA
## 2014-02-05 NA
## 2014-02-06 NA
## 2014-02-07 NA
## 2014-02-10 NA
## 2014-02-11 NA
## 2014-02-12 NA
## 2014-02-13 NA
## 2014-02-14 NA
## 2014-02-17 NA
## 2014-02-18 NA
## 2014-02-19 NA
## 2014-02-20 NA
## 2014-02-21 NA
## 2014-02-24 NA
## 2014-02-25 NA
## 2014-02-26 NA
## 2014-02-27 NA
## 2014-03-03 NA
## 2014-03-04 NA
## 2014-03-05 NA
## 2014-03-06 NA
## 2014-03-07 NA
## 2014-03-10 NA
## 2014-03-11 NA
## 2014-03-12 NA
## 2014-03-13 NA
## 2014-03-14 NA
## 2014-03-17 NA
## 2014-03-18 NA
## 2014-03-19 NA
## 2014-03-20 NA
## 2014-03-21 NA
## 2014-03-24 NA
## 2014-03-25 NA
## 2014-03-26 NA
## 2014-03-27 NA
## 2014-03-28 NA
## 2014-03-31 NA
## 2014-04-01 NA
## 2014-04-02 NA
## 2014-04-03 NA
## 2014-04-07 NA
## 2014-04-08 NA
## 2014-04-09 NA
## 2014-04-10 NA
## 2014-04-11 NA
## 2014-04-14 NA
## 2014-04-15 NA
## 2014-04-16 NA
## 2014-04-17 NA
## 2014-04-18 NA
## 2014-04-21 NA
## 2014-04-22 NA
## 2014-04-23 NA
## 2014-04-24 NA
## 2014-04-25 NA
## 2014-04-28 NA
## 2014-04-29 NA
## 2014-04-30 NA
## 2014-05-02 NA
## 2014-05-05 NA
## 2014-05-06 NA
## 2014-05-07 NA
## 2014-05-08 NA
## 2014-05-09 NA
## 2014-05-12 NA
## 2014-05-13 NA
## 2014-05-14 NA
## 2014-05-15 NA
## 2014-05-16 NA
## 2014-05-19 NA
## 2014-05-20 33.37589
## 2014-05-21 33.36467分別看日期、價錢。
bt.prep(data1, align='keep.all')
names(data1)## [1] "prices" "dates" "weight" "symbolnames"
## [5] "execution.price"data1$dates## [1] "2014-01-02" "2014-01-03" "2014-01-06" "2014-01-07" "2014-01-08"
## [6] "2014-01-09" "2014-01-10" "2014-01-13" "2014-01-14" "2014-01-15"
## [11] "2014-01-16" "2014-01-17" "2014-01-20" "2014-01-21" "2014-01-22"
## [16] "2014-01-23" "2014-01-24" "2014-01-27" "2014-02-05" "2014-02-06"
## [21] "2014-02-07" "2014-02-10" "2014-02-11" "2014-02-12" "2014-02-13"
## [26] "2014-02-14" "2014-02-17" "2014-02-18" "2014-02-19" "2014-02-20"
## [31] "2014-02-21" "2014-02-24" "2014-02-25" "2014-02-26" "2014-02-27"
## [36] "2014-03-03" "2014-03-04" "2014-03-05" "2014-03-06" "2014-03-07"
## [41] "2014-03-10" "2014-03-11" "2014-03-12" "2014-03-13" "2014-03-14"
## [46] "2014-03-17" "2014-03-18" "2014-03-19" "2014-03-20" "2014-03-21"
## [51] "2014-03-24" "2014-03-25" "2014-03-26" "2014-03-27" "2014-03-28"
## [56] "2014-03-31" "2014-04-01" "2014-04-02" "2014-04-03" "2014-04-07"
## [61] "2014-04-08" "2014-04-09" "2014-04-10" "2014-04-11" "2014-04-14"
## [66] "2014-04-15" "2014-04-16" "2014-04-17" "2014-04-18" "2014-04-21"
## [71] "2014-04-22" "2014-04-23" "2014-04-24" "2014-04-25" "2014-04-28"
## [76] "2014-04-29" "2014-04-30" "2014-05-02" "2014-05-05" "2014-05-06"
## [81] "2014-05-07" "2014-05-08" "2014-05-09" "2014-05-12" "2014-05-13"
## [86] "2014-05-14" "2014-05-15" "2014-05-16" "2014-05-19" "2014-05-20"
## [91] "2014-05-21" "2014-05-22" "2014-05-23" "2014-05-26" "2014-05-27"
## [96] "2014-05-28" "2014-05-29" "2014-05-30" "2014-06-03" "2014-06-04"
## [101] "2014-06-05" "2014-06-06" "2014-06-09" "2014-06-10" "2014-06-11"
## [106] "2014-06-12" "2014-06-13" "2014-06-16" "2014-06-17" "2014-06-18"
## [111] "2014-06-19" "2014-06-20" "2014-06-23" "2014-06-24" "2014-06-25"
## [116] "2014-06-26" "2014-06-27" "2014-06-30" "2014-07-01" "2014-07-02"
## [121] "2014-07-03" "2014-07-04" "2014-07-07" "2014-07-08" "2014-07-09"
## [126] "2014-07-10" "2014-07-11" "2014-07-14" "2014-07-15" "2014-07-16"
## [131] "2014-07-17" "2014-07-18" "2014-07-21" "2014-07-22" "2014-07-24"
## [136] "2014-07-25" "2014-07-28" "2014-07-29" "2014-07-30" "2014-07-31"
## [141] "2014-08-01" "2014-08-04" "2014-08-05" "2014-08-06" "2014-08-07"
## [146] "2014-08-08" "2014-08-11" "2014-08-12" "2014-08-13" "2014-08-14"
## [151] "2014-08-15" "2014-08-18" "2014-08-19" "2014-08-20" "2014-08-21"
## [156] "2014-08-22" "2014-08-25" "2014-08-26" "2014-08-27" "2014-08-28"
## [161] "2014-08-29" "2014-09-01" "2014-09-02" "2014-09-03" "2014-09-04"
## [166] "2014-09-05" "2014-09-09" "2014-09-10" "2014-09-11" "2014-09-12"
## [171] "2014-09-15" "2014-09-16" "2014-09-17" "2014-09-18" "2014-09-19"
## [176] "2014-09-22" "2014-09-23" "2014-09-24" "2014-09-25" "2014-09-26"
## [181] "2014-09-29" "2014-09-30" "2014-10-01" "2014-10-02" "2014-10-03"
## [186] "2014-10-06" "2014-10-07" "2014-10-08" "2014-10-09" "2014-10-13"
## [191] "2014-10-14" "2014-10-15" "2014-10-16" "2014-10-17" "2014-10-20"
## [196] "2014-10-21" "2014-10-22" "2014-10-23" "2014-10-24" "2014-10-27"
## [201] "2014-10-28" "2014-10-29" "2014-10-30" "2014-10-31" "2014-11-03"
## [206] "2014-11-04" "2014-11-05" "2014-11-06" "2014-11-07" "2014-11-10"
## [211] "2014-11-11" "2014-11-12" "2014-11-13" "2014-11-14" "2014-11-17"
## [216] "2014-11-18" "2014-11-19" "2014-11-20" "2014-11-21" "2014-11-24"
## [221] "2014-11-25" "2014-11-26" "2014-11-27" "2014-11-28" "2014-12-01"
## [226] "2014-12-02" "2014-12-03" "2014-12-04" "2014-12-05" "2014-12-08"
## [231] "2014-12-09" "2014-12-10" "2014-12-11" "2014-12-12" "2014-12-15"
## [236] "2014-12-16" "2014-12-17" "2014-12-18" "2014-12-19" "2014-12-22"
## [241] "2014-12-23" "2014-12-24" "2014-12-25" "2014-12-26" "2014-12-27"
## [246] "2014-12-29" "2014-12-30" "2014-12-31" "2015-01-05" "2015-01-06"
## [251] "2015-01-07" "2015-01-08" "2015-01-09" "2015-01-12" "2015-01-13"
## [256] "2015-01-14" "2015-01-15" "2015-01-16" "2015-01-19" "2015-01-20"
## [261] "2015-01-21" "2015-01-22" "2015-01-23" "2015-01-26" "2015-01-27"
## [266] "2015-01-28" "2015-01-29" "2015-01-30" "2015-02-02" "2015-02-03"
## [271] "2015-02-04" "2015-02-05" "2015-02-06" "2015-02-09" "2015-02-10"
## [276] "2015-02-11" "2015-02-12" "2015-02-13" "2015-02-24" "2015-02-25"
## [281] "2015-02-26" "2015-03-02" "2015-03-03" "2015-03-04" "2015-03-05"
## [286] "2015-03-06" "2015-03-09" "2015-03-10" "2015-03-11" "2015-03-12"
## [291] "2015-03-13" "2015-03-16" "2015-03-17" "2015-03-18" "2015-03-19"
## [296] "2015-03-20" "2015-03-23" "2015-03-24" "2015-03-25" "2015-03-26"
## [301] "2015-03-27" "2015-03-30" "2015-03-31" "2015-04-01" "2015-04-02"
## [306] "2015-04-07" "2015-04-08" "2015-04-09" "2015-04-10" "2015-04-13"
## [311] "2015-04-14" "2015-04-15" "2015-04-16" "2015-04-17" "2015-04-20"
## [316] "2015-04-21" "2015-04-22" "2015-04-23" "2015-04-24" "2015-04-27"
## [321] "2015-04-28" "2015-04-29" "2015-04-30" "2015-05-04" "2015-05-05"
## [326] "2015-05-06" "2015-05-07" "2015-05-08" "2015-05-11" "2015-05-12"
## [331] "2015-05-13" "2015-05-14" "2015-05-15" "2015-05-18" "2015-05-19"
## [336] "2015-05-20" "2015-05-21" "2015-05-22" "2015-05-25" "2015-05-26"
## [341] "2015-05-27" "2015-05-28" "2015-05-29" "2015-06-01" "2015-06-02"
## [346] "2015-06-03" "2015-06-04" "2015-06-05" "2015-06-08" "2015-06-09"
## [351] "2015-06-10" "2015-06-11" "2015-06-12" "2015-06-15" "2015-06-16"
## [356] "2015-06-17" "2015-06-18" "2015-06-22" "2015-06-23" "2015-06-24"
## [361] "2015-06-25" "2015-06-26" "2015-06-29" "2015-06-30" "2015-07-01"
## [366] "2015-07-02" "2015-07-03" "2015-07-06" "2015-07-07" "2015-07-08"
## [371] "2015-07-09" "2015-07-13" "2015-07-14" "2015-07-15" "2015-07-16"
## [376] "2015-07-17" "2015-07-20" "2015-07-21" "2015-07-22" "2015-07-23"
## [381] "2015-07-24" "2015-07-27" "2015-07-28" "2015-07-29" "2015-07-30"
## [386] "2015-07-31" "2015-08-03" "2015-08-04" "2015-08-05" "2015-08-06"
## [391] "2015-08-07" "2015-08-10" "2015-08-11" "2015-08-12" "2015-08-13"
## [396] "2015-08-14" "2015-08-17" "2015-08-18" "2015-08-19" "2015-08-20"
## [401] "2015-08-21" "2015-08-24" "2015-08-25" "2015-08-26" "2015-08-27"
## [406] "2015-08-28" "2015-08-31" "2015-09-01" "2015-09-02" "2015-09-03"
## [411] "2015-09-04" "2015-09-07" "2015-09-08" "2015-09-09" "2015-09-10"
## [416] "2015-09-11" "2015-09-14" "2015-09-15" "2015-09-16" "2015-09-17"
## [421] "2015-09-18" "2015-09-21" "2015-09-22" "2015-09-23" "2015-09-24"
## [426] "2015-09-25" "2015-09-30" "2015-10-01" "2015-10-02" "2015-10-05"
## [431] "2015-10-06" "2015-10-07" "2015-10-08" "2015-10-12" "2015-10-13"
## [436] "2015-10-14" "2015-10-15" "2015-10-16" "2015-10-19" "2015-10-20"
## [441] "2015-10-21" "2015-10-22" "2015-10-23" "2015-10-26" "2015-10-27"
## [446] "2015-10-28" "2015-10-29" "2015-10-30" "2015-11-02" "2015-11-03"
## [451] "2015-11-04" "2015-11-05" "2015-11-06" "2015-11-09" "2015-11-10"
## [456] "2015-11-11" "2015-11-12" "2015-11-13" "2015-11-16" "2015-11-17"
## [461] "2015-11-18" "2015-11-19" "2015-11-20" "2015-11-23" "2015-11-24"
## [466] "2015-11-25" "2015-11-26" "2015-11-27" "2015-11-30" "2015-12-01"
## [471] "2015-12-02" "2015-12-03" "2015-12-04" "2015-12-07" "2015-12-08"
## [476] "2015-12-09" "2015-12-10" "2015-12-11" "2015-12-14" "2015-12-15"
## [481] "2015-12-16" "2015-12-17" "2015-12-18" "2015-12-21" "2015-12-22"
## [486] "2015-12-23" "2015-12-24" "2015-12-25" "2015-12-28" "2015-12-29"
## [491] "2015-12-30" "2015-12-31" "2016-01-04" "2016-01-05" "2016-01-06"
## [496] "2016-01-07" "2016-01-08" "2016-01-11" "2016-01-12" "2016-01-13"
## [501] "2016-01-14" "2016-01-15" "2016-01-18" "2016-01-19" "2016-01-20"
## [506] "2016-01-21" "2016-01-22" "2016-01-25" "2016-01-26" "2016-01-27"
## [511] "2016-01-28" "2016-01-29" "2016-01-30" "2016-02-01" "2016-02-02"
## [516] "2016-02-03" "2016-02-15" "2016-02-16" "2016-02-17" "2016-02-18"
## [521] "2016-02-19" "2016-02-22" "2016-02-23" "2016-02-24" "2016-02-25"
## [526] "2016-02-26" "2016-03-01" "2016-03-02" "2016-03-03" "2016-03-04"
## [531] "2016-03-07" "2016-03-08" "2016-03-09" "2016-03-10" "2016-03-11"
## [536] "2016-03-14" "2016-03-15" "2016-03-16" "2016-03-17" "2016-03-18"
## [541] "2016-03-21" "2016-03-22" "2016-03-23" "2016-03-24" "2016-03-25"
## [546] "2016-03-28" "2016-03-29" "2016-03-30" "2016-03-31" "2016-04-01"
## [551] "2016-04-06" "2016-04-07" "2016-04-08" "2016-04-11" "2016-04-12"
## [556] "2016-04-13" "2016-04-14" "2016-04-15" "2016-04-18" "2016-04-19"
## [561] "2016-04-20" "2016-04-21" "2016-04-22" "2016-04-25" "2016-04-26"
## [566] "2016-04-27" "2016-04-28" "2016-04-29" "2016-05-03" "2016-05-04"
## [571] "2016-05-05" "2016-05-06" "2016-05-09" "2016-05-10" "2016-05-11"
## [576] "2016-05-12" "2016-05-13" "2016-05-16" "2016-05-17" "2016-05-18"
## [581] "2016-05-19" "2016-05-20" "2016-05-23" "2016-05-24" "2016-05-25"
## [586] "2016-05-26" "2016-05-27" "2016-05-30" "2016-05-31" "2016-06-01"
## [591] "2016-06-02" "2016-06-03" "2016-06-04" "2016-06-06" "2016-06-07"
## [596] "2016-06-08" "2016-06-13" "2016-06-14" "2016-06-15" "2016-06-16"
## [601] "2016-06-17" "2016-06-20" "2016-06-21" "2016-06-22" "2016-06-23"
## [606] "2016-06-24" "2016-06-27" "2016-06-28" "2016-06-29" "2016-06-30"
## [611] "2016-07-01" "2016-07-04" "2016-07-05" "2016-07-06" "2016-07-07"
## [616] "2016-07-11" "2016-07-12" "2016-07-13" "2016-07-14" "2016-07-15"
## [621] "2016-07-18" "2016-07-19" "2016-07-20" "2016-07-21" "2016-07-22"
## [626] "2016-07-25" "2016-07-26" "2016-07-27" "2016-07-28" "2016-07-29"
## [631] "2016-08-01" "2016-08-02" "2016-08-03" "2016-08-04" "2016-08-05"
## [636] "2016-08-08" "2016-08-09" "2016-08-10" "2016-08-11" "2016-08-12"
## [641] "2016-08-15" "2016-08-16" "2016-08-17" "2016-08-18" "2016-08-19"
## [646] "2016-08-22" "2016-08-23" "2016-08-24" "2016-08-25" "2016-08-26"
## [651] "2016-08-29" "2016-08-30" "2016-08-31" "2016-09-01" "2016-09-02"
## [656] "2016-09-05" "2016-09-06" "2016-09-07" "2016-09-08" "2016-09-09"
## [661] "2016-09-10" "2016-09-12" "2016-09-13" "2016-09-14" "2016-09-19"
## [666] "2016-09-20" "2016-09-21" "2016-09-22" "2016-09-23" "2016-09-26"
## [671] "2016-09-29" "2016-09-30" "2016-10-03" "2016-10-04" "2016-10-05"
## [676] "2016-10-06" "2016-10-07" "2016-10-11" "2016-10-12" "2016-10-13"
## [681] "2016-10-14" "2016-10-17" "2016-10-18" "2016-10-19" "2016-10-20"
## [686] "2016-10-21" "2016-10-24" "2016-10-25" "2016-10-26" "2016-10-27"
## [691] "2016-10-28" "2016-10-31" "2016-11-01" "2016-11-02" "2016-11-03"
## [696] "2016-11-04" "2016-11-07" "2016-11-08" "2016-11-09" "2016-11-10"
## [701] "2016-11-11" "2016-11-14" "2016-11-15" "2016-11-16" "2016-11-17"
## [706] "2016-11-18" "2016-11-21" "2016-11-22" "2016-11-23" "2016-11-24"
## [711] "2016-11-25" "2016-11-28" "2016-11-29" "2016-11-30" "2016-12-01"
## [716] "2016-12-02" "2016-12-05" "2016-12-06" "2016-12-07" "2016-12-08"
## [721] "2016-12-09" "2016-12-12" "2016-12-13" "2016-12-14" "2016-12-15"
## [726] "2016-12-16" "2016-12-19" "2016-12-20" "2016-12-21" "2016-12-22"
## [731] "2016-12-23" "2016-12-26" "2016-12-27" "2016-12-28" "2016-12-29"
## [736] "2016-12-30" "2017-01-03" "2017-01-04" "2017-01-05" "2017-01-06"
## [741] "2017-01-09" "2017-01-10" "2017-01-11" "2017-01-12" "2017-01-13"
## [746] "2017-01-16" "2017-01-17" "2017-01-18" "2017-01-19" "2017-01-20"
## [751] "2017-01-23" "2017-01-24" "2017-02-02" "2017-02-03" "2017-02-06"
## [756] "2017-02-07" "2017-02-08" "2017-02-09" "2017-02-10" "2017-02-13"
## [761] "2017-02-14" "2017-02-15" "2017-02-16" "2017-02-17" "2017-02-18"
## [766] "2017-02-20" "2017-02-21" "2017-02-22" "2017-02-23" "2017-02-24"
## [771] "2017-03-01" "2017-03-02" "2017-03-03" "2017-03-06" "2017-03-07"
## [776] "2017-03-08" "2017-03-09" "2017-03-10" "2017-03-13" "2017-03-14"
## [781] "2017-03-15" "2017-03-16" "2017-03-17" "2017-03-20" "2017-03-21"
## [786] "2017-03-22" "2017-03-23" "2017-03-24" "2017-03-27" "2017-03-28"
## [791] "2017-03-29" "2017-03-30" "2017-03-31" "2017-04-05" "2017-04-06"
## [796] "2017-04-07" "2017-04-10" "2017-04-11" "2017-04-12" "2017-04-13"
## [801] "2017-04-14" "2017-04-17" "2017-04-18" "2017-04-19" "2017-04-20"
## [806] "2017-04-21" "2017-04-24" "2017-04-25" "2017-04-26" "2017-04-27"
## [811] "2017-04-28" "2017-05-02" "2017-05-03" "2017-05-04" "2017-05-05"
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## 2016-02-02 NA
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## 2016-02-15 NA
## 2016-02-16 NA
## 2016-02-17 NA
## 2016-02-18 NA
## 2016-02-19 NA
## 2016-02-22 NA
## 2016-02-23 NA
## 2016-02-24 NA
## 2016-02-25 NA
## 2016-02-26 NA
## 2016-03-01 NA
## 2016-03-02 NA
## 2016-03-03 NA
## 2016-03-04 NA
## 2016-03-07 NA
## 2016-03-08 NA
## 2016-03-09 NA
## 2016-03-10 NA
## 2016-03-11 NA
## 2016-03-14 NA
## 2016-03-15 NA
## 2016-03-16 NA
## 2016-03-17 NA
## 2016-03-18 NA
## 2016-03-21 NA
## 2016-03-22 NA
## 2016-03-23 NA
## 2016-03-24 NA
## 2016-03-25 NA
## 2016-03-28 NA
## 2016-03-29 NA
## 2016-03-30 NA
## 2016-03-31 NA
## 2016-04-01 NA
## 2016-04-06 NA
## 2016-04-07 NA
## 2016-04-08 NA
## 2016-04-11 NA
## 2016-04-12 NA
## 2016-04-13 NA
## 2016-04-14 NA
## 2016-04-15 NA
## 2016-04-18 NA
## 2016-04-19 NA
## 2016-04-20 NA
## 2016-04-21 NA
## 2016-04-22 NA
## 2016-04-25 NA
## 2016-04-26 NA
## 2016-04-27 NA
## 2016-04-28 NA
## 2016-04-29 NA
## 2016-05-03 NA
## 2016-05-04 NA
## 2016-05-05 NA
## 2016-05-06 NA
## 2016-05-09 NA
## 2016-05-10 NA
## 2016-05-11 NA
## 2016-05-12 NA
## 2016-05-13 NA
## 2016-05-16 NA
## 2016-05-17 NA
## 2016-05-18 NA
## 2016-05-19 NA
## 2016-05-20 NA
## 2016-05-23 NA
## 2016-05-24 NA
## 2016-05-25 NA
## 2016-05-26 NA
## 2016-05-27 NA
## 2016-05-30 NA
## 2016-05-31 NA
## 2016-06-01 NA
## 2016-06-02 NA
## 2016-06-03 NA
## 2016-06-04 NA
## 2016-06-06 NA
## 2016-06-07 NA
## 2016-06-08 NA
## 2016-06-13 NA
## 2016-06-14 NA
## 2016-06-15 NA
## 2016-06-16 NA
## 2016-06-17 NA
## 2016-06-20 NA
## 2016-06-21 NA
## 2016-06-22 NA
## 2016-06-23 NA
## 2016-06-24 NA
## 2016-06-27 NA
## 2016-06-28 NA
## 2016-06-29 NA
## 2016-06-30 NA
## 2016-07-01 NA
## 2016-07-04 NA
## 2016-07-05 NA
## 2016-07-06 NA
## 2016-07-07 NA
## 2016-07-11 NA
## 2016-07-12 NA
## 2016-07-13 NA
## 2016-07-14 NA
## 2016-07-15 NA
## 2016-07-18 NA
## 2016-07-19 NA
## 2016-07-20 NA
## 2016-07-21 NA
## 2016-07-22 NA
## 2016-07-25 NA
## 2016-07-26 NA
## 2016-07-27 NA
## 2016-07-28 NA
## 2016-07-29 NA
## 2016-08-01 NA
## 2016-08-02 NA
## 2016-08-03 NA
## 2016-08-04 NA
## 2016-08-05 NA
## 2016-08-08 NA
## 2016-08-09 NA
## 2016-08-10 NA
## 2016-08-11 NA
## 2016-08-12 NA
## 2016-08-15 NA
## 2016-08-16 NA
## 2016-08-17 NA
## 2016-08-18 NA
## 2016-08-19 NA
## 2016-08-22 NA
## 2016-08-23 NA
## 2016-08-24 NA
## 2016-08-25 NA
## 2016-08-26 NA
## 2016-08-29 NA
## 2016-08-30 NA
## 2016-08-31 NA
## 2016-09-01 NA
## 2016-09-02 NA
## 2016-09-05 NA
## 2016-09-06 NA
## 2016-09-07 NA
## 2016-09-08 NA
## 2016-09-09 NA
## 2016-09-10 NA
## 2016-09-12 NA
## 2016-09-13 NA
## 2016-09-14 NA
## 2016-09-19 NA
## 2016-09-20 NA
## 2016-09-21 NA
## 2016-09-22 NA
## 2016-09-23 NA
## 2016-09-26 NA
## 2016-09-29 NA
## 2016-09-30 NA
## 2016-10-03 NA
## 2016-10-04 NA
## 2016-10-05 NA
## 2016-10-06 NA
## 2016-10-07 NA
## 2016-10-11 NA
## 2016-10-12 NA
## 2016-10-13 NA
## 2016-10-14 NA
## 2016-10-17 NA
## 2016-10-18 NA
## 2016-10-19 NA
## 2016-10-20 NA
## 2016-10-21 NA
## 2016-10-24 NA
## 2016-10-25 NA
## 2016-10-26 NA
## 2016-10-27 NA
## 2016-10-28 NA
## 2016-10-31 NA
## 2016-11-01 NA
## 2016-11-02 NA
## 2016-11-03 NA
## 2016-11-04 NA
## 2016-11-07 NA
## 2016-11-08 NA
## 2016-11-09 NA
## 2016-11-10 NA
## 2016-11-11 NA
## 2016-11-14 NA
## 2016-11-15 NA
## 2016-11-16 NA
## 2016-11-17 NA
## 2016-11-18 NA
## 2016-11-21 NA
## 2016-11-22 NA
## 2016-11-23 NA
## 2016-11-24 NA
## 2016-11-25 NA
## 2016-11-28 NA
## 2016-11-29 NA
## 2016-11-30 NA
## 2016-12-01 NA
## 2016-12-02 NA
## 2016-12-05 NA
## 2016-12-06 NA
## 2016-12-07 NA
## 2016-12-08 NA
## 2016-12-09 NA
## 2016-12-12 NA
## 2016-12-13 NA
## 2016-12-14 NA
## 2016-12-15 NA
## 2016-12-16 NA
## 2016-12-19 NA
## 2016-12-20 NA
## 2016-12-21 NA
## 2016-12-22 NA
## 2016-12-23 NA
## 2016-12-26 NA
## 2016-12-27 NA
## 2016-12-28 NA
## 2016-12-29 NA
## 2016-12-30 NA
## 2017-01-03 NA
## 2017-01-04 NA
## 2017-01-05 NA
## 2017-01-06 NA
## 2017-01-09 NA
## 2017-01-10 NA
## 2017-01-11 NA
## 2017-01-12 NA
## 2017-01-13 NA
## 2017-01-16 NA
## 2017-01-17 NA
## 2017-01-18 NA
## 2017-01-19 NA
## 2017-01-20 NA
## 2017-01-23 NA
## 2017-01-24 NA
## 2017-02-02 NA
## 2017-02-03 NA
## 2017-02-06 NA
## 2017-02-07 NA
## 2017-02-08 NA
## 2017-02-09 NA
## 2017-02-10 NA
## 2017-02-13 NA
## 2017-02-14 NA
## 2017-02-15 NA
## 2017-02-16 NA
## 2017-02-17 NA
## 2017-02-18 NA
## 2017-02-20 NA
## 2017-02-21 NA
## 2017-02-22 NA
## 2017-02-23 NA
## 2017-02-24 NA
## 2017-03-01 NA
## 2017-03-02 NA
## 2017-03-03 NA
## 2017-03-06 NA
## 2017-03-07 NA
## 2017-03-08 NA
## 2017-03-09 NA
## 2017-03-10 NA
## 2017-03-13 NA
## 2017-03-14 NA
## 2017-03-15 NA
## 2017-03-16 NA
## 2017-03-17 NA
## 2017-03-20 NA
## 2017-03-21 NA
## 2017-03-22 NA
## 2017-03-23 NA
## 2017-03-24 NA
## 2017-03-27 NA
## 2017-03-28 NA
## 2017-03-29 NA
## 2017-03-30 NA
## 2017-03-31 NA
## 2017-04-05 NA
## 2017-04-06 NA
## 2017-04-07 NA
## 2017-04-10 NA
## 2017-04-11 NA
## 2017-04-12 NA
## 2017-04-13 NA
## 2017-04-14 NA
## 2017-04-17 NA
## 2017-04-18 NA
## 2017-04-19 NA
## 2017-04-20 NA
## 2017-04-21 NA
## 2017-04-24 NA
## 2017-04-25 NA
## 2017-04-26 NA
## 2017-04-27 NA
## 2017-04-28 NA
## 2017-05-02 NA
## 2017-05-03 NA
## 2017-05-04 NA
## 2017-05-05 NA
## 2017-05-08 NA
## 2017-05-09 NA
## 2017-05-10 NA
## 2017-05-11 NA
## 2017-05-12 NA
## 2017-05-15 NA
## 2017-05-16 NA
## 2017-05-17 NA
## 2017-05-18 NA
## 2017-05-19 NA
## 2017-05-22 NA
## 2017-05-23 NA
## 2017-05-24 NA
## 2017-05-25 NA
## 2017-05-26 NA
## 2017-05-31 NA
## 2017-06-01 NA
## 2017-06-02 NA
## 2017-06-03 NA
## 2017-06-05 NA
## 2017-06-06 NA
## 2017-06-07 NA
## 2017-06-08 NA
## 2017-06-09 NA
## 2017-06-12 NA
## 2017-06-13 NA
## 2017-06-14 NA
## 2017-06-15 NA
## 2017-06-16 NA
## 2017-06-19 NA
## 2017-06-20 NA
## 2017-06-21 NA
## 2017-06-22 NA
## 2017-06-23 NA
## 2017-06-26 NA
## 2017-06-27 NA
## 2017-06-28 NA
## 2017-06-29 NA
## 2017-06-30 NA
## 2017-07-03 NA
## 2017-07-04 NA
## 2017-07-05 NA
## 2017-07-06 NA
## 2017-07-07 NA
## 2017-07-10 NA
## 2017-07-11 NA
## 2017-07-12 NA
## 2017-07-13 NA
## 2017-07-14 NA
## 2017-07-17 NA
## 2017-07-18 NA
## 2017-07-19 NA
## 2017-07-20 NA
## 2017-07-21 NA
## 2017-07-24 NA
## 2017-07-25 NA
## 2017-07-26 NA
## 2017-07-27 NA
## 2017-07-28 NA
## 2017-07-31 NA
## 2017-08-01 NA
## 2017-08-02 NA
## 2017-08-03 NA
## 2017-08-04 NA
## 2017-08-07 NA
## 2017-08-08 NA
## 2017-08-09 NA
## 2017-08-10 NA
## 2017-08-11 NA
## 2017-08-14 NA
## 2017-08-15 NA
## 2017-08-16 NA
## 2017-08-17 NA
## 2017-08-18 NA
## 2017-08-21 NA
## 2017-08-22 NA
## 2017-08-23 NA
## 2017-08-24 NA
## 2017-08-25 NA
## 2017-08-28 NA
## 2017-08-29 NA
## 2017-08-30 NA
## 2017-08-31 NA
## 2017-09-01 NA
## 2017-09-04 NA
## 2017-09-05 NA
## 2017-09-06 NA
## 2017-09-07 NA
## 2017-09-08 NA
## 2017-09-11 NA
## 2017-09-12 NA
## 2017-09-13 NA
## 2017-09-14 NA
## 2017-09-15 NA
## 2017-09-18 NA
## 2017-09-19 NA
## 2017-09-20 NA
## 2017-09-21 NA
## 2017-09-22 NA
## 2017-09-25 NA
## 2017-09-26 NA
## 2017-09-27 NA
## 2017-09-28 NA
## 2017-09-29 NA
## 2017-09-30 NA
## 2017-10-02 NA
## 2017-10-03 NA
## 2017-10-05 NA
## 2017-10-06 NA
## 2017-10-11 NA
## 2017-10-12 NA
## 2017-10-13 NA
## 2017-10-16 NA
## 2017-10-17 NA
## 2017-10-18 NA
## 2017-10-19 NA
## 2017-10-20 NA
## 2017-10-23 NA
## 2017-10-24 NA
## 2017-10-25 NA
## 2017-10-26 NA
## 2017-10-27 NA
## 2017-10-30 NA
## 2017-10-31 NA
## 2017-11-01 NA
## 2017-11-02 NA
## 2017-11-03 NA
## 2017-11-06 NA
## 2017-11-07 NA
## 2017-11-08 NA
## 2017-11-09 NA
## 2017-11-10 NA
## 2017-11-13 NA
## 2017-11-14 NA
## 2017-11-15 NA
## 2017-11-16 NA
## 2017-11-17 NA
## 2017-11-20 NA
## 2017-11-21 NA
## 2017-11-22 NA
## 2017-11-23 NA
## 2017-11-24 NA
## 2017-11-27 NA
## 2017-11-28 NA
## 2017-11-29 NA
## 2017-11-30 NA
## 2017-12-01 NA
## 2017-12-04 NA
## 2017-12-05 NA
## 2017-12-06 NA
## 2017-12-07 NA
## 2017-12-08 NA
## 2017-12-11 NA
## 2017-12-12 NA
## 2017-12-13 NA
## 2017-12-14 NA
## 2017-12-15 NA
## 2017-12-18 NA
## 2017-12-19 NA
## 2017-12-20 NA
## 2017-12-21 NA
## 2017-12-22 NA
## 2017-12-25 NA
## 2017-12-26 NA
## 2017-12-27 NA
## 2017-12-28 NA
## 2017-12-29 NA
## 2018-01-02 NA
## 2018-01-03 NA
## 2018-01-04 NA
## 2018-01-05 NA
## 2018-01-08 NA
## 2018-01-09 NA
## 2018-01-10 NA
## 2018-01-11 NA
## 2018-01-12 NA
## 2018-01-15 NA
## 2018-01-16 NA
## 2018-01-17 NA
## 2018-01-18 NA
## 2018-01-19 NA
## 2018-01-22 NA
## 2018-01-23 NA
## 2018-01-24 NA
## 2018-01-25 NA
## 2018-01-26 NA
## 2018-01-29 NA
## 2018-01-30 NA
## 2018-01-31 NA
## 2018-02-01 NA
## 2018-02-02 NA
## 2018-02-05 NA
## 2018-02-06 NA
## 2018-02-07 NA
## 2018-02-08 NA
## 2018-02-09 NA
## 2018-02-12 NA
## 2018-02-21 NA
## 2018-02-22 NA
## 2018-02-23 NA
## 2018-02-26 NA
## 2018-02-27 NA
## 2018-03-01 NA
## 2018-03-02 NA
## 2018-03-05 NA
## 2018-03-06 NA
## 2018-03-07 NA
## 2018-03-08 NA
## 2018-03-09 NA
## 2018-03-12 NA
## 2018-03-13 NA
## 2018-03-14 NA
## 2018-03-15 NA
## 2018-03-16 NA
## 2018-03-19 NA
## 2018-03-20 NA
## 2018-03-21 NA
## 2018-03-22 NA
## 2018-03-23 NA
## 2018-03-26 NA
## 2018-03-27 NA
## 2018-03-28 NA
## 2018-03-29 NA
## 2018-03-30 NA
## 2018-03-31 NA
## 2018-04-02 NA
## 2018-04-03 NA
## 2018-04-09 NA
## 2018-04-10 NA
## 2018-04-11 NA
## 2018-04-12 NA
## 2018-04-13 NA
## 2018-04-16 NA
## 2018-04-17 NA
## 2018-04-18 NA
## 2018-04-19 NA
## 2018-04-20 NA
## 2018-04-23 NA
## 2018-04-24 NA
## 2018-04-25 NA
## 2018-04-26 NA
## 2018-04-27 NA
## 2018-04-30 NA
## 2018-05-02 NA
## 2018-05-03 NA
## 2018-05-04 NA
## 2018-05-07 NA
## 2018-05-08 NA
## 2018-05-09 NA
## 2018-05-10 NA
## 2018-05-11 NA
## 2018-05-14 NA
## 2018-05-15 NA
## 2018-05-16 NA
## 2018-05-17 NA
## 2018-05-18 NA
## 2018-05-21 NA
## 2018-05-22 NA
## 2018-05-23 NA
## 2018-05-24 NA
## 2018-05-25 NA
## 2018-05-28 NA
## 2018-05-29 NA
## 2018-05-30 NA
## 2018-05-31 NA
## 2018-06-01 NA
## 2018-06-04 NA
## 2018-06-05 NA
## 2018-06-06 NA
## 2018-06-07 NA
## 2018-06-08 NA
## 2018-06-11 NA
## 2018-06-12 NA
## 2018-06-13 NA
## 2018-06-14 NA
## 2018-06-15 NA
## 2018-06-19 NA
## 2018-06-20 NA
## 2018-06-21 NA
## 2018-06-22 NA
## 2018-06-25 NA
## 2018-06-26 NA
## 2018-06-27 NA
## 2018-06-28 NA
## 2018-06-29 NA
## 2018-07-02 NA
## 2018-07-03 NA
## 2018-07-04 NA
## 2018-07-05 NA
## 2018-07-06 NA
## 2018-07-09 NA
## 2018-07-10 NA
## 2018-07-11 NA
## 2018-07-12 NA
## 2018-07-13 NA
## 2018-07-16 NA
## 2018-07-17 NA
## 2018-07-18 NA
## 2018-07-19 NA
## 2018-07-20 NA
## 2018-07-23 NA
## 2018-07-24 NA
## 2018-07-25 NA
## 2018-07-26 NA
## 2018-07-27 NA
## 2018-07-30 NA
## 2018-07-31 NA
## 2018-08-01 NA
## 2018-08-02 NA
## 2018-08-03 NA
## 2018-08-06 NA
## 2018-08-07 NA
## 2018-08-08 NA
## 2018-08-09 NA
## 2018-08-10 NA
## 2018-08-13 NA
## 2018-08-14 NA
## 2018-08-15 NA
## 2018-08-16 NA
## 2018-08-17 NA
## 2018-08-20 NA
## 2018-08-21 NA
## 2018-08-22 NA
## 2018-08-23 NA
## 2018-08-24 NA
## 2018-08-27 NA
## 2018-08-28 NA
## 2018-08-29 NA
## 2018-08-30 NA
## 2018-08-31 NA
## 2018-09-03 NA
## 2018-09-04 NA
## 2018-09-05 NA
## 2018-09-06 NA
## 2018-09-07 NA
## 2018-09-10 NA
## 2018-09-11 NA
## 2018-09-12 NA
## 2018-09-13 NA
## 2018-09-14 NA
## 2018-09-17 NA
## 2018-09-18 NA
## 2018-09-19 NA
## 2018-09-20 NA
## 2018-09-21 NA
## 2018-09-25 NA
## 2018-09-26 NA
## 2018-09-27 NA
## 2018-09-28 NA
## 2018-10-01 NA
## 2018-10-02 NA
## 2018-10-03 NA
## 2018-10-04 NA
## 2018-10-05 NA
## 2018-10-08 NA
## 2018-10-09 NA
## 2018-10-11 NA
## 2018-10-12 NA
## 2018-10-15 NA
## 2018-10-16 NA
## 2018-10-17 NA
## 2018-10-18 NA
## 2018-10-19 NA
## 2018-10-22 NA
## 2018-10-23 NA
## 2018-10-24 NA
## 2018-10-25 NA
## 2018-10-26 NA
## 2018-10-29 NA
## 2018-10-30 NA
## 2018-10-31 NA
## 2018-11-01 NA
## 2018-11-02 NA
## 2018-11-05 NA
## 2018-11-06 NA
## 2018-11-07 NA
## 2018-11-08 NA
## 2018-11-09 NA
## 2018-11-12 NA
## 2018-11-13 NA
## 2018-11-14 NA
## 2018-11-15 NA
## 2018-11-16 NA
## 2018-11-19 NA
## 2018-11-20 NA
## 2018-11-21 NA
## 2018-11-22 NA
## 2018-11-23 NA
## 2018-11-26 NA
## 2018-11-27 NA
## 2018-11-28 NA
## 2018-11-29 NA
## 2018-11-30 NA
## 2018-12-03 NA
## 2018-12-04 NA
## 2018-12-05 NA
## 2018-12-06 NA
## 2018-12-07 NA
## 2018-12-10 NA
## 2018-12-11 NA
## 2018-12-12 NA
## 2018-12-13 NA
## 2018-12-14 NA
## 2018-12-17 NA
## 2018-12-18 NA
## 2018-12-19 NA
## 2018-12-20 NA
## 2018-12-21 NA
## 2018-12-22 NA
## 2018-12-24 NA
## 2018-12-25 NA
## 2018-12-26 NA
## 2018-12-27 NA
## 2018-12-28 NAdata1$prices<-prices
class(data1$dates)## [1] "Date"data1$execution.price = prices
data1$weight[] = 1
buy.hold.1101 <- bt.run.share(data1, clean.signal=F, trade.summary = TRUE)## Latest weights :
## prices
## 2018-12-28 100
##
## Performance summary :
## CAGR Best Worst
## 1.7 6.9 -8.1 buy.hold.1101 <-bt.run(data1)## Latest weights :
## prices
## 2018-12-28 100
##
## Performance summary :
## CAGR Best Worst
## 1.7 6.9 -8.1 讀取sma 90天的資料。
sma1101<-SMA(prices, 90)
head(sma1101, 91)## SMA
## 2014-01-02 NA
## 2014-01-03 NA
## 2014-01-06 NA
## 2014-01-07 NA
## 2014-01-08 NA
## 2014-01-09 NA
## 2014-01-10 NA
## 2014-01-13 NA
## 2014-01-14 NA
## 2014-01-15 NA
## 2014-01-16 NA
## 2014-01-17 NA
## 2014-01-20 NA
## 2014-01-21 NA
## 2014-01-22 NA
## 2014-01-23 NA
## 2014-01-24 NA
## 2014-01-27 NA
## 2014-02-05 NA
## 2014-02-06 NA
## 2014-02-07 NA
## 2014-02-10 NA
## 2014-02-11 NA
## 2014-02-12 NA
## 2014-02-13 NA
## 2014-02-14 NA
## 2014-02-17 NA
## 2014-02-18 NA
## 2014-02-19 NA
## 2014-02-20 NA
## 2014-02-21 NA
## 2014-02-24 NA
## 2014-02-25 NA
## 2014-02-26 NA
## 2014-02-27 NA
## 2014-03-03 NA
## 2014-03-04 NA
## 2014-03-05 NA
## 2014-03-06 NA
## 2014-03-07 NA
## 2014-03-10 NA
## 2014-03-11 NA
## 2014-03-12 NA
## 2014-03-13 NA
## 2014-03-14 NA
## 2014-03-17 NA
## 2014-03-18 NA
## 2014-03-19 NA
## 2014-03-20 NA
## 2014-03-21 NA
## 2014-03-24 NA
## 2014-03-25 NA
## 2014-03-26 NA
## 2014-03-27 NA
## 2014-03-28 NA
## 2014-03-31 NA
## 2014-04-01 NA
## 2014-04-02 NA
## 2014-04-03 NA
## 2014-04-07 NA
## 2014-04-08 NA
## 2014-04-09 NA
## 2014-04-10 NA
## 2014-04-11 NA
## 2014-04-14 NA
## 2014-04-15 NA
## 2014-04-16 NA
## 2014-04-17 NA
## 2014-04-18 NA
## 2014-04-21 NA
## 2014-04-22 NA
## 2014-04-23 NA
## 2014-04-24 NA
## 2014-04-25 NA
## 2014-04-28 NA
## 2014-04-29 NA
## 2014-04-30 NA
## 2014-05-02 NA
## 2014-05-05 NA
## 2014-05-06 NA
## 2014-05-07 NA
## 2014-05-08 NA
## 2014-05-09 NA
## 2014-05-12 NA
## 2014-05-13 NA
## 2014-05-14 NA
## 2014-05-15 NA
## 2014-05-16 NA
## 2014-05-19 NA
## 2014-05-20 33.37589
## 2014-05-21 33.36467data1$weight[] <- iif(prices >= sma1101, 1, 0)
sma90.1101 <- bt.run(data1, trade.summary=T)## Latest weights :
## prices
## 2018-12-28 0
##
## Performance summary :
## CAGR Best Worst
## 0.6 6.7 -8.1 data1$weight[] <- iif(prices >= sma1101, 1, -1)
sma90.1101.short <- bt.run(data1, trade.summary=T)## Latest weights :
## prices
## 2018-12-28 -100
##
## Performance summary :
## CAGR Best Worst
## -2.9 6.7 -8.1 models<-list("SMA1101"= sma90.1101,
"SMA1101_short" = sma90.1101.short,
"BH 1101" = buy.hold.1101)第一、二張圖：
黑色線為SMA1101 1.03，紅色線為SMA1101_short 0.86，綠色線為BH 1101 1.09。並顯示出表格。
strategy.performance.snapshoot(models, T)
## NULL第三張圖：
顯示出Sharpe、DVR、Cagr、MaxDD四個的長條圖。
strategy.performance.snapshoot(models, control=list(comparison=T), sort.performance=T)
第四張圖：
顯示為表格。
plotbt.strategy.sidebyside(models, return.table=T)
## SMA1101 SMA1101_short
## Period "一月2014 - 十二月2018" "一月2014 - 十二月2018"
## Cagr "0.65" "-2.87"
## Sharpe "0.13" "-0.01"
## DVR "0.01" "0"
## Volatility "17.56" "23.83"
## MaxDD "-29.23" "-31.99"
## AvgDD "-6.54" "-9.65"
## VaR "-1.81" "-2.36"
## CVaR "-2.71" "-3.34"
## Exposure "49.15" "99.92"
## BH 1101
## Period "一月2014 - 十二月2018"
## Cagr "1.68"
## Sharpe "0.19"
## DVR "0.01"
## Volatility "23.83"
## MaxDD "-45.04"
## AvgDD "-7.78"
## VaR "-2.35"
## CVaR "-3.28"
## Exposure "99.92"library(ggplot2)## Warning: package 'ggplot2' was built under R version 3.5.3all.1101<-merge.xts(sma90.1101$equity,
sma90.1101.short$equity,
buy.hold.1101$equity)
colnames(all.1101)<-c("sma1101", "sma1101 short", "BH")
head(all.1101)## sma1101 sma1101 short BH
## 2014-01-02 1 1.000000 1.0000000
## 2014-01-03 1 1.018620 0.9813797
## 2014-01-06 1 1.040482 0.9603175
## 2014-01-07 1 1.027253 0.9725275
## 2014-01-08 1 1.033056 0.9670330
## 2014-01-09 1 1.056535 0.9450549all.1101.long<-fortify(all.1101, melt=T)
head(all.1101.long)## Index Series Value
## 1 2014-01-02 sma1101 1
## 2 2014-01-03 sma1101 1
## 3 2014-01-06 sma1101 1
## 4 2014-01-07 sma1101 1
## 5 2014-01-08 sma1101 1
## 6 2014-01-09 sma1101 1圖的標題為Cumulative returns of 1101s。
X軸為year，Y軸為cumulative returns。
粉紅色線為sma1101，綠色線為sma1101 short，藍色線為BH。
title = "Cumulative returns of 1101s"
p = ggplot(all.1101.long, aes(x = Index, y = Value)) +
geom_line(aes(linetype = Series, color = Series)) +
#geom_point(aes(shape = Series))+
xlab("year") + ylab("cumulative returns")+
ggtitle(title)
p
1216
讀取1216的資料。
library(xts)
data1<-new.env()
data1$prices<-tw20.all.1$'1216'
prices<-data1$prices
sma1216<-SMA(prices, 90)
head(sma1216, 91)## SMA
## 2014-01-02 NA
## 2014-01-03 NA
## 2014-01-06 NA
## 2014-01-07 NA
## 2014-01-08 NA
## 2014-01-09 NA
## 2014-01-10 NA
## 2014-01-13 NA
## 2014-01-14 NA
## 2014-01-15 NA
## 2014-01-16 NA
## 2014-01-17 NA
## 2014-01-20 NA
## 2014-01-21 NA
## 2014-01-22 NA
## 2014-01-23 NA
## 2014-01-24 NA
## 2014-01-27 NA
## 2014-02-05 NA
## 2014-02-06 NA
## 2014-02-07 NA
## 2014-02-10 NA
## 2014-02-11 NA
## 2014-02-12 NA
## 2014-02-13 NA
## 2014-02-14 NA
## 2014-02-17 NA
## 2014-02-18 NA
## 2014-02-19 NA
## 2014-02-20 NA
## 2014-02-21 NA
## 2014-02-24 NA
## 2014-02-25 NA
## 2014-02-26 NA
## 2014-02-27 NA
## 2014-03-03 NA
## 2014-03-04 NA
## 2014-03-05 NA
## 2014-03-06 NA
## 2014-03-07 NA
## 2014-03-10 NA
## 2014-03-11 NA
## 2014-03-12 NA
## 2014-03-13 NA
## 2014-03-14 NA
## 2014-03-17 NA
## 2014-03-18 NA
## 2014-03-19 NA
## 2014-03-20 NA
## 2014-03-21 NA
## 2014-03-24 NA
## 2014-03-25 NA
## 2014-03-26 NA
## 2014-03-27 NA
## 2014-03-28 NA
## 2014-03-31 NA
## 2014-04-01 NA
## 2014-04-02 NA
## 2014-04-03 NA
## 2014-04-07 NA
## 2014-04-08 NA
## 2014-04-09 NA
## 2014-04-10 NA
## 2014-04-11 NA
## 2014-04-14 NA
## 2014-04-15 NA
## 2014-04-16 NA
## 2014-04-17 NA
## 2014-04-18 NA
## 2014-04-21 NA
## 2014-04-22 NA
## 2014-04-23 NA
## 2014-04-24 NA
## 2014-04-25 NA
## 2014-04-28 NA
## 2014-04-29 NA
## 2014-04-30 NA
## 2014-05-02 NA
## 2014-05-05 NA
## 2014-05-06 NA
## 2014-05-07 NA
## 2014-05-08 NA
## 2014-05-09 NA
## 2014-05-12 NA
## 2014-05-13 NA
## 2014-05-14 NA
## 2014-05-15 NA
## 2014-05-16 NA
## 2014-05-19 NA
## 2014-05-20 38.13300
## 2014-05-21 38.11222分別看日期、價錢。
bt.prep(data1, align='keep.all')
names(data1)## [1] "prices" "dates" "weight" "symbolnames"
## [5] "execution.price"data1$dates## [1] "2014-01-02" "2014-01-03" "2014-01-06" "2014-01-07" "2014-01-08"
## [6] "2014-01-09" "2014-01-10" "2014-01-13" "2014-01-14" "2014-01-15"
## [11] "2014-01-16" "2014-01-17" "2014-01-20" "2014-01-21" "2014-01-22"
## [16] "2014-01-23" "2014-01-24" "2014-01-27" "2014-02-05" "2014-02-06"
## [21] "2014-02-07" "2014-02-10" "2014-02-11" "2014-02-12" "2014-02-13"
## [26] "2014-02-14" "2014-02-17" "2014-02-18" "2014-02-19" "2014-02-20"
## [31] "2014-02-21" "2014-02-24" "2014-02-25" "2014-02-26" "2014-02-27"
## [36] "2014-03-03" "2014-03-04" "2014-03-05" "2014-03-06" "2014-03-07"
## [41] "2014-03-10" "2014-03-11" "2014-03-12" "2014-03-13" "2014-03-14"
## [46] "2014-03-17" "2014-03-18" "2014-03-19" "2014-03-20" "2014-03-21"
## [51] "2014-03-24" "2014-03-25" "2014-03-26" "2014-03-27" "2014-03-28"
## [56] "2014-03-31" "2014-04-01" "2014-04-02" "2014-04-03" "2014-04-07"
## [61] "2014-04-08" "2014-04-09" "2014-04-10" "2014-04-11" "2014-04-14"
## [66] "2014-04-15" "2014-04-16" "2014-04-17" "2014-04-18" "2014-04-21"
## [71] "2014-04-22" "2014-04-23" "2014-04-24" "2014-04-25" "2014-04-28"
## [76] "2014-04-29" "2014-04-30" "2014-05-02" "2014-05-05" "2014-05-06"
## [81] "2014-05-07" "2014-05-08" "2014-05-09" "2014-05-12" "2014-05-13"
## [86] "2014-05-14" "2014-05-15" "2014-05-16" "2014-05-19" "2014-05-20"
## [91] "2014-05-21" "2014-05-22" "2014-05-23" "2014-05-26" "2014-05-27"
## [96] "2014-05-28" "2014-05-29" "2014-05-30" "2014-06-03" "2014-06-04"
## [101] "2014-06-05" "2014-06-06" "2014-06-09" "2014-06-10" "2014-06-11"
## [106] "2014-06-12" "2014-06-13" "2014-06-16" "2014-06-17" "2014-06-18"
## [111] "2014-06-19" "2014-06-20" "2014-06-23" "2014-06-24" "2014-06-25"
## [116] "2014-06-26" "2014-06-27" "2014-06-30" "2014-07-01" "2014-07-02"
## [121] "2014-07-03" "2014-07-04" "2014-07-07" "2014-07-08" "2014-07-09"
## [126] "2014-07-10" "2014-07-11" "2014-07-14" "2014-07-15" "2014-07-16"
## [131] "2014-07-17" "2014-07-18" "2014-07-21" "2014-07-22" "2014-07-24"
## [136] "2014-07-25" "2014-07-28" "2014-07-29" "2014-07-30" "2014-07-31"
## [141] "2014-08-01" "2014-08-04" "2014-08-05" "2014-08-06" "2014-08-07"
## [146] "2014-08-08" "2014-08-11" "2014-08-12" "2014-08-13" "2014-08-14"
## [151] "2014-08-15" "2014-08-18" "2014-08-19" "2014-08-20" "2014-08-21"
## [156] "2014-08-22" "2014-08-25" "2014-08-26" "2014-08-27" "2014-08-28"
## [161] "2014-08-29" "2014-09-01" "2014-09-02" "2014-09-03" "2014-09-04"
## [166] "2014-09-05" "2014-09-09" "2014-09-10" "2014-09-11" "2014-09-12"
## [171] "2014-09-15" "2014-09-16" "2014-09-17" "2014-09-18" "2014-09-19"
## [176] "2014-09-22" "2014-09-23" "2014-09-24" "2014-09-25" "2014-09-26"
## [181] "2014-09-29" "2014-09-30" "2014-10-01" "2014-10-02" "2014-10-03"
## [186] "2014-10-06" "2014-10-07" "2014-10-08" "2014-10-09" "2014-10-13"
## [191] "2014-10-14" "2014-10-15" "2014-10-16" "2014-10-17" "2014-10-20"
## [196] "2014-10-21" "2014-10-22" "2014-10-23" "2014-10-24" "2014-10-27"
## [201] "2014-10-28" "2014-10-29" "2014-10-30" "2014-10-31" "2014-11-03"
## [206] "2014-11-04" "2014-11-05" "2014-11-06" "2014-11-07" "2014-11-10"
## [211] "2014-11-11" "2014-11-12" "2014-11-13" "2014-11-14" "2014-11-17"
## [216] "2014-11-18" "2014-11-19" "2014-11-20" "2014-11-21" "2014-11-24"
## [221] "2014-11-25" "2014-11-26" "2014-11-27" "2014-11-28" "2014-12-01"
## [226] "2014-12-02" "2014-12-03" "2014-12-04" "2014-12-05" "2014-12-08"
## [231] "2014-12-09" "2014-12-10" "2014-12-11" "2014-12-12" "2014-12-15"
## [236] "2014-12-16" "2014-12-17" "2014-12-18" "2014-12-19" "2014-12-22"
## [241] "2014-12-23" "2014-12-24" "2014-12-25" "2014-12-26" "2014-12-27"
## [246] "2014-12-29" "2014-12-30" "2014-12-31" "2015-01-05" "2015-01-06"
## [251] "2015-01-07" "2015-01-08" "2015-01-09" "2015-01-12" "2015-01-13"
## [256] "2015-01-14" "2015-01-15" "2015-01-16" "2015-01-19" "2015-01-20"
## [261] "2015-01-21" "2015-01-22" "2015-01-23" "2015-01-26" "2015-01-27"
## [266] "2015-01-28" "2015-01-29" "2015-01-30" "2015-02-02" "2015-02-03"
## [271] "2015-02-04" "2015-02-05" "2015-02-06" "2015-02-09" "2015-02-10"
## [276] "2015-02-11" "2015-02-12" "2015-02-13" "2015-02-24" "2015-02-25"
## [281] "2015-02-26" "2015-03-02" "2015-03-03" "2015-03-04" "2015-03-05"
## [286] "2015-03-06" "2015-03-09" "2015-03-10" "2015-03-11" "2015-03-12"
## [291] "2015-03-13" "2015-03-16" "2015-03-17" "2015-03-18" "2015-03-19"
## [296] "2015-03-20" "2015-03-23" "2015-03-24" "2015-03-25" "2015-03-26"
## [301] "2015-03-27" "2015-03-30" "2015-03-31" "2015-04-01" "2015-04-02"
## [306] "2015-04-07" "2015-04-08" "2015-04-09" "2015-04-10" "2015-04-13"
## [311] "2015-04-14" "2015-04-15" "2015-04-16" "2015-04-17" "2015-04-20"
## [316] "2015-04-21" "2015-04-22" "2015-04-23" "2015-04-24" "2015-04-27"
## [321] "2015-04-28" "2015-04-29" "2015-04-30" "2015-05-04" "2015-05-05"
## [326] "2015-05-06" "2015-05-07" "2015-05-08" "2015-05-11" "2015-05-12"
## [331] "2015-05-13" "2015-05-14" "2015-05-15" "2015-05-18" "2015-05-19"
## [336] "2015-05-20" "2015-05-21" "2015-05-22" "2015-05-25" "2015-05-26"
## [341] "2015-05-27" "2015-05-28" "2015-05-29" "2015-06-01" "2015-06-02"
## [346] "2015-06-03" "2015-06-04" "2015-06-05" "2015-06-08" "2015-06-09"
## [351] "2015-06-10" "2015-06-11" "2015-06-12" "2015-06-15" "2015-06-16"
## [356] "2015-06-17" "2015-06-18" "2015-06-22" "2015-06-23" "2015-06-24"
## [361] "2015-06-25" "2015-06-26" "2015-06-29" "2015-06-30" "2015-07-01"
## [366] "2015-07-02" "2015-07-03" "2015-07-06" "2015-07-07" "2015-07-08"
## [371] "2015-07-09" "2015-07-13" "2015-07-14" "2015-07-15" "2015-07-16"
## [376] "2015-07-17" "2015-07-20" "2015-07-21" "2015-07-22" "2015-07-23"
## [381] "2015-07-24" "2015-07-27" "2015-07-28" "2015-07-29" "2015-07-30"
## [386] "2015-07-31" "2015-08-03" "2015-08-04" "2015-08-05" "2015-08-06"
## [391] "2015-08-07" "2015-08-10" "2015-08-11" "2015-08-12" "2015-08-13"
## [396] "2015-08-14" "2015-08-17" "2015-08-18" "2015-08-19" "2015-08-20"
## [401] "2015-08-21" "2015-08-24" "2015-08-25" "2015-08-26" "2015-08-27"
## [406] "2015-08-28" "2015-08-31" "2015-09-01" "2015-09-02" "2015-09-03"
## [411] "2015-09-04" "2015-09-07" "2015-09-08" "2015-09-09" "2015-09-10"
## [416] "2015-09-11" "2015-09-14" "2015-09-15" "2015-09-16" "2015-09-17"
## [421] "2015-09-18" "2015-09-21" "2015-09-22" "2015-09-23" "2015-09-24"
## [426] "2015-09-25" "2015-09-30" "2015-10-01" "2015-10-02" "2015-10-05"
## [431] "2015-10-06" "2015-10-07" "2015-10-08" "2015-10-12" "2015-10-13"
## [436] "2015-10-14" "2015-10-15" "2015-10-16" "2015-10-19" "2015-10-20"
## [441] "2015-10-21" "2015-10-22" "2015-10-23" "2015-10-26" "2015-10-27"
## [446] "2015-10-28" "2015-10-29" "2015-10-30" "2015-11-02" "2015-11-03"
## [451] "2015-11-04" "2015-11-05" "2015-11-06" "2015-11-09" "2015-11-10"
## [456] "2015-11-11" "2015-11-12" "2015-11-13" "2015-11-16" "2015-11-17"
## [461] "2015-11-18" "2015-11-19" "2015-11-20" "2015-11-23" "2015-11-24"
## [466] "2015-11-25" "2015-11-26" "2015-11-27" "2015-11-30" "2015-12-01"
## [471] "2015-12-02" "2015-12-03" "2015-12-04" "2015-12-07" "2015-12-08"
## [476] "2015-12-09" "2015-12-10" "2015-12-11" "2015-12-14" "2015-12-15"
## [481] "2015-12-16" "2015-12-17" "2015-12-18" "2015-12-21" "2015-12-22"
## [486] "2015-12-23" "2015-12-24" "2015-12-25" "2015-12-28" "2015-12-29"
## [491] "2015-12-30" "2015-12-31" "2016-01-04" "2016-01-05" "2016-01-06"
## [496] "2016-01-07" "2016-01-08" "2016-01-11" "2016-01-12" "2016-01-13"
## [501] "2016-01-14" "2016-01-15" "2016-01-18" "2016-01-19" "2016-01-20"
## [506] "2016-01-21" "2016-01-22" "2016-01-25" "2016-01-26" "2016-01-27"
## [511] "2016-01-28" "2016-01-29" "2016-01-30" "2016-02-01" "2016-02-02"
## [516] "2016-02-03" "2016-02-15" "2016-02-16" "2016-02-17" "2016-02-18"
## [521] "2016-02-19" "2016-02-22" "2016-02-23" "2016-02-24" "2016-02-25"
## [526] "2016-02-26" "2016-03-01" "2016-03-02" "2016-03-03" "2016-03-04"
## [531] "2016-03-07" "2016-03-08" "2016-03-09" "2016-03-10" "2016-03-11"
## [536] "2016-03-14" "2016-03-15" "2016-03-16" "2016-03-17" "2016-03-18"
## [541] "2016-03-21" "2016-03-22" "2016-03-23" "2016-03-24" "2016-03-25"
## [546] "2016-03-28" "2016-03-29" "2016-03-30" "2016-03-31" "2016-04-01"
## [551] "2016-04-06" "2016-04-07" "2016-04-08" "2016-04-11" "2016-04-12"
## [556] "2016-04-13" "2016-04-14" "2016-04-15" "2016-04-18" "2016-04-19"
## [561] "2016-04-20" "2016-04-21" "2016-04-22" "2016-04-25" "2016-04-26"
## [566] "2016-04-27" "2016-04-28" "2016-04-29" "2016-05-03" "2016-05-04"
## [571] "2016-05-05" "2016-05-06" "2016-05-09" "2016-05-10" "2016-05-11"
## [576] "2016-05-12" "2016-05-13" "2016-05-16" "2016-05-17" "2016-05-18"
## [581] "2016-05-19" "2016-05-20" "2016-05-23" "2016-05-24" "2016-05-25"
## [586] "2016-05-26" "2016-05-27" "2016-05-30" "2016-05-31" "2016-06-01"
## [591] "2016-06-02" "2016-06-03" "2016-06-04" "2016-06-06" "2016-06-07"
## [596] "2016-06-08" "2016-06-13" "2016-06-14" "2016-06-15" "2016-06-16"
## [601] "2016-06-17" "2016-06-20" "2016-06-21" "2016-06-22" "2016-06-23"
## [606] "2016-06-24" "2016-06-27" "2016-06-28" "2016-06-29" "2016-06-30"
## [611] "2016-07-01" "2016-07-04" "2016-07-05" "2016-07-06" "2016-07-07"
## [616] "2016-07-11" "2016-07-12" "2016-07-13" "2016-07-14" "2016-07-15"
## [621] "2016-07-18" "2016-07-19" "2016-07-20" "2016-07-21" "2016-07-22"
## [626] "2016-07-25" "2016-07-26" "2016-07-27" "2016-07-28" "2016-07-29"
## [631] "2016-08-01" "2016-08-02" "2016-08-03" "2016-08-04" "2016-08-05"
## [636] "2016-08-08" "2016-08-09" "2016-08-10" "2016-08-11" "2016-08-12"
## [641] "2016-08-15" "2016-08-16" "2016-08-17" "2016-08-18" "2016-08-19"
## [646] "2016-08-22" "2016-08-23" "2016-08-24" "2016-08-25" "2016-08-26"
## [651] "2016-08-29" "2016-08-30" "2016-08-31" "2016-09-01" "2016-09-02"
## [656] "2016-09-05" "2016-09-06" "2016-09-07" "2016-09-08" "2016-09-09"
## [661] "2016-09-10" "2016-09-12" "2016-09-13" "2016-09-14" "2016-09-19"
## [666] "2016-09-20" "2016-09-21" "2016-09-22" "2016-09-23" "2016-09-26"
## [671] "2016-09-29" "2016-09-30" "2016-10-03" "2016-10-04" "2016-10-05"
## [676] "2016-10-06" "2016-10-07" "2016-10-11" "2016-10-12" "2016-10-13"
## [681] "2016-10-14" "2016-10-17" "2016-10-18" "2016-10-19" "2016-10-20"
## [686] "2016-10-21" "2016-10-24" "2016-10-25" "2016-10-26" "2016-10-27"
## [691] "2016-10-28" "2016-10-31" "2016-11-01" "2016-11-02" "2016-11-03"
## [696] "2016-11-04" "2016-11-07" "2016-11-08" "2016-11-09" "2016-11-10"
## [701] "2016-11-11" "2016-11-14" "2016-11-15" "2016-11-16" "2016-11-17"
## [706] "2016-11-18" "2016-11-21" "2016-11-22" "2016-11-23" "2016-11-24"
## [711] "2016-11-25" "2016-11-28" "2016-11-29" "2016-11-30" "2016-12-01"
## [716] "2016-12-02" "2016-12-05" "2016-12-06" "2016-12-07" "2016-12-08"
## [721] "2016-12-09" "2016-12-12" "2016-12-13" "2016-12-14" "2016-12-15"
## [726] "2016-12-16" "2016-12-19" "2016-12-20" "2016-12-21" "2016-12-22"
## [731] "2016-12-23" "2016-12-26" "2016-12-27" "2016-12-28" "2016-12-29"
## [736] "2016-12-30" "2017-01-03" "2017-01-04" "2017-01-05" "2017-01-06"
## [741] "2017-01-09" "2017-01-10" "2017-01-11" "2017-01-12" "2017-01-13"
## [746] "2017-01-16" "2017-01-17" "2017-01-18" "2017-01-19" "2017-01-20"
## [751] "2017-01-23" "2017-01-24" "2017-02-02" "2017-02-03" "2017-02-06"
## [756] "2017-02-07" "2017-02-08" "2017-02-09" "2017-02-10" "2017-02-13"
## [761] "2017-02-14" "2017-02-15" "2017-02-16" "2017-02-17" "2017-02-18"
## [766] "2017-02-20" "2017-02-21" "2017-02-22" "2017-02-23" "2017-02-24"
## [771] "2017-03-01" "2017-03-02" "2017-03-03" "2017-03-06" "2017-03-07"
## [776] "2017-03-08" "2017-03-09" "2017-03-10" "2017-03-13" "2017-03-14"
## [781] "2017-03-15" "2017-03-16" "2017-03-17" "2017-03-20" "2017-03-21"
## [786] "2017-03-22" "2017-03-23" "2017-03-24" "2017-03-27" "2017-03-28"
## [791] "2017-03-29" "2017-03-30" "2017-03-31" "2017-04-05" "2017-04-06"
## [796] "2017-04-07" "2017-04-10" "2017-04-11" "2017-04-12" "2017-04-13"
## [801] "2017-04-14" "2017-04-17" "2017-04-18" "2017-04-19" "2017-04-20"
## [806] "2017-04-21" "2017-04-24" "2017-04-25" "2017-04-26" "2017-04-27"
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## 2016-01-27 NA
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## 2016-01-29 NA
## 2016-01-30 NA
## 2016-02-01 NA
## 2016-02-02 NA
## 2016-02-03 NA
## 2016-02-15 NA
## 2016-02-16 NA
## 2016-02-17 NA
## 2016-02-18 NA
## 2016-02-19 NA
## 2016-02-22 NA
## 2016-02-23 NA
## 2016-02-24 NA
## 2016-02-25 NA
## 2016-02-26 NA
## 2016-03-01 NA
## 2016-03-02 NA
## 2016-03-03 NA
## 2016-03-04 NA
## 2016-03-07 NA
## 2016-03-08 NA
## 2016-03-09 NA
## 2016-03-10 NA
## 2016-03-11 NA
## 2016-03-14 NA
## 2016-03-15 NA
## 2016-03-16 NA
## 2016-03-17 NA
## 2016-03-18 NA
## 2016-03-21 NA
## 2016-03-22 NA
## 2016-03-23 NA
## 2016-03-24 NA
## 2016-03-25 NA
## 2016-03-28 NA
## 2016-03-29 NA
## 2016-03-30 NA
## 2016-03-31 NA
## 2016-04-01 NA
## 2016-04-06 NA
## 2016-04-07 NA
## 2016-04-08 NA
## 2016-04-11 NA
## 2016-04-12 NA
## 2016-04-13 NA
## 2016-04-14 NA
## 2016-04-15 NA
## 2016-04-18 NA
## 2016-04-19 NA
## 2016-04-20 NA
## 2016-04-21 NA
## 2016-04-22 NA
## 2016-04-25 NA
## 2016-04-26 NA
## 2016-04-27 NA
## 2016-04-28 NA
## 2016-04-29 NA
## 2016-05-03 NA
## 2016-05-04 NA
## 2016-05-05 NA
## 2016-05-06 NA
## 2016-05-09 NA
## 2016-05-10 NA
## 2016-05-11 NA
## 2016-05-12 NA
## 2016-05-13 NA
## 2016-05-16 NA
## 2016-05-17 NA
## 2016-05-18 NA
## 2016-05-19 NA
## 2016-05-20 NA
## 2016-05-23 NA
## 2016-05-24 NA
## 2016-05-25 NA
## 2016-05-26 NA
## 2016-05-27 NA
## 2016-05-30 NA
## 2016-05-31 NA
## 2016-06-01 NA
## 2016-06-02 NA
## 2016-06-03 NA
## 2016-06-04 NA
## 2016-06-06 NA
## 2016-06-07 NA
## 2016-06-08 NA
## 2016-06-13 NA
## 2016-06-14 NA
## 2016-06-15 NA
## 2016-06-16 NA
## 2016-06-17 NA
## 2016-06-20 NA
## 2016-06-21 NA
## 2016-06-22 NA
## 2016-06-23 NA
## 2016-06-24 NA
## 2016-06-27 NA
## 2016-06-28 NA
## 2016-06-29 NA
## 2016-06-30 NA
## 2016-07-01 NA
## 2016-07-04 NA
## 2016-07-05 NA
## 2016-07-06 NA
## 2016-07-07 NA
## 2016-07-11 NA
## 2016-07-12 NA
## 2016-07-13 NA
## 2016-07-14 NA
## 2016-07-15 NA
## 2016-07-18 NA
## 2016-07-19 NA
## 2016-07-20 NA
## 2016-07-21 NA
## 2016-07-22 NA
## 2016-07-25 NA
## 2016-07-26 NA
## 2016-07-27 NA
## 2016-07-28 NA
## 2016-07-29 NA
## 2016-08-01 NA
## 2016-08-02 NA
## 2016-08-03 NA
## 2016-08-04 NA
## 2016-08-05 NA
## 2016-08-08 NA
## 2016-08-09 NA
## 2016-08-10 NA
## 2016-08-11 NA
## 2016-08-12 NA
## 2016-08-15 NA
## 2016-08-16 NA
## 2016-08-17 NA
## 2016-08-18 NA
## 2016-08-19 NA
## 2016-08-22 NA
## 2016-08-23 NA
## 2016-08-24 NA
## 2016-08-25 NA
## 2016-08-26 NA
## 2016-08-29 NA
## 2016-08-30 NA
## 2016-08-31 NA
## 2016-09-01 NA
## 2016-09-02 NA
## 2016-09-05 NA
## 2016-09-06 NA
## 2016-09-07 NA
## 2016-09-08 NA
## 2016-09-09 NA
## 2016-09-10 NA
## 2016-09-12 NA
## 2016-09-13 NA
## 2016-09-14 NA
## 2016-09-19 NA
## 2016-09-20 NA
## 2016-09-21 NA
## 2016-09-22 NA
## 2016-09-23 NA
## 2016-09-26 NA
## 2016-09-29 NA
## 2016-09-30 NA
## 2016-10-03 NA
## 2016-10-04 NA
## 2016-10-05 NA
## 2016-10-06 NA
## 2016-10-07 NA
## 2016-10-11 NA
## 2016-10-12 NA
## 2016-10-13 NA
## 2016-10-14 NA
## 2016-10-17 NA
## 2016-10-18 NA
## 2016-10-19 NA
## 2016-10-20 NA
## 2016-10-21 NA
## 2016-10-24 NA
## 2016-10-25 NA
## 2016-10-26 NA
## 2016-10-27 NA
## 2016-10-28 NA
## 2016-10-31 NA
## 2016-11-01 NA
## 2016-11-02 NA
## 2016-11-03 NA
## 2016-11-04 NA
## 2016-11-07 NA
## 2016-11-08 NA
## 2016-11-09 NA
## 2016-11-10 NA
## 2016-11-11 NA
## 2016-11-14 NA
## 2016-11-15 NA
## 2016-11-16 NA
## 2016-11-17 NA
## 2016-11-18 NA
## 2016-11-21 NA
## 2016-11-22 NA
## 2016-11-23 NA
## 2016-11-24 NA
## 2016-11-25 NA
## 2016-11-28 NA
## 2016-11-29 NA
## 2016-11-30 NA
## 2016-12-01 NA
## 2016-12-02 NA
## 2016-12-05 NA
## 2016-12-06 NA
## 2016-12-07 NA
## 2016-12-08 NA
## 2016-12-09 NA
## 2016-12-12 NA
## 2016-12-13 NA
## 2016-12-14 NA
## 2016-12-15 NA
## 2016-12-16 NA
## 2016-12-19 NA
## 2016-12-20 NA
## 2016-12-21 NA
## 2016-12-22 NA
## 2016-12-23 NA
## 2016-12-26 NA
## 2016-12-27 NA
## 2016-12-28 NA
## 2016-12-29 NA
## 2016-12-30 NA
## 2017-01-03 NA
## 2017-01-04 NA
## 2017-01-05 NA
## 2017-01-06 NA
## 2017-01-09 NA
## 2017-01-10 NA
## 2017-01-11 NA
## 2017-01-12 NA
## 2017-01-13 NA
## 2017-01-16 NA
## 2017-01-17 NA
## 2017-01-18 NA
## 2017-01-19 NA
## 2017-01-20 NA
## 2017-01-23 NA
## 2017-01-24 NA
## 2017-02-02 NA
## 2017-02-03 NA
## 2017-02-06 NA
## 2017-02-07 NA
## 2017-02-08 NA
## 2017-02-09 NA
## 2017-02-10 NA
## 2017-02-13 NA
## 2017-02-14 NA
## 2017-02-15 NA
## 2017-02-16 NA
## 2017-02-17 NA
## 2017-02-18 NA
## 2017-02-20 NA
## 2017-02-21 NA
## 2017-02-22 NA
## 2017-02-23 NA
## 2017-02-24 NA
## 2017-03-01 NA
## 2017-03-02 NA
## 2017-03-03 NA
## 2017-03-06 NA
## 2017-03-07 NA
## 2017-03-08 NA
## 2017-03-09 NA
## 2017-03-10 NA
## 2017-03-13 NA
## 2017-03-14 NA
## 2017-03-15 NA
## 2017-03-16 NA
## 2017-03-17 NA
## 2017-03-20 NA
## 2017-03-21 NA
## 2017-03-22 NA
## 2017-03-23 NA
## 2017-03-24 NA
## 2017-03-27 NA
## 2017-03-28 NA
## 2017-03-29 NA
## 2017-03-30 NA
## 2017-03-31 NA
## 2017-04-05 NA
## 2017-04-06 NA
## 2017-04-07 NA
## 2017-04-10 NA
## 2017-04-11 NA
## 2017-04-12 NA
## 2017-04-13 NA
## 2017-04-14 NA
## 2017-04-17 NA
## 2017-04-18 NA
## 2017-04-19 NA
## 2017-04-20 NA
## 2017-04-21 NA
## 2017-04-24 NA
## 2017-04-25 NA
## 2017-04-26 NA
## 2017-04-27 NA
## 2017-04-28 NA
## 2017-05-02 NA
## 2017-05-03 NA
## 2017-05-04 NA
## 2017-05-05 NA
## 2017-05-08 NA
## 2017-05-09 NA
## 2017-05-10 NA
## 2017-05-11 NA
## 2017-05-12 NA
## 2017-05-15 NA
## 2017-05-16 NA
## 2017-05-17 NA
## 2017-05-18 NA
## 2017-05-19 NA
## 2017-05-22 NA
## 2017-05-23 NA
## 2017-05-24 NA
## 2017-05-25 NA
## 2017-05-26 NA
## 2017-05-31 NA
## 2017-06-01 NA
## 2017-06-02 NA
## 2017-06-03 NA
## 2017-06-05 NA
## 2017-06-06 NA
## 2017-06-07 NA
## 2017-06-08 NA
## 2017-06-09 NA
## 2017-06-12 NA
## 2017-06-13 NA
## 2017-06-14 NA
## 2017-06-15 NA
## 2017-06-16 NA
## 2017-06-19 NA
## 2017-06-20 NA
## 2017-06-21 NA
## 2017-06-22 NA
## 2017-06-23 NA
## 2017-06-26 NA
## 2017-06-27 NA
## 2017-06-28 NA
## 2017-06-29 NA
## 2017-06-30 NA
## 2017-07-03 NA
## 2017-07-04 NA
## 2017-07-05 NA
## 2017-07-06 NA
## 2017-07-07 NA
## 2017-07-10 NA
## 2017-07-11 NA
## 2017-07-12 NA
## 2017-07-13 NA
## 2017-07-14 NA
## 2017-07-17 NA
## 2017-07-18 NA
## 2017-07-19 NA
## 2017-07-20 NA
## 2017-07-21 NA
## 2017-07-24 NA
## 2017-07-25 NA
## 2017-07-26 NA
## 2017-07-27 NA
## 2017-07-28 NA
## 2017-07-31 NA
## 2017-08-01 NA
## 2017-08-02 NA
## 2017-08-03 NA
## 2017-08-04 NA
## 2017-08-07 NA
## 2017-08-08 NA
## 2017-08-09 NA
## 2017-08-10 NA
## 2017-08-11 NA
## 2017-08-14 NA
## 2017-08-15 NA
## 2017-08-16 NA
## 2017-08-17 NA
## 2017-08-18 NA
## 2017-08-21 NA
## 2017-08-22 NA
## 2017-08-23 NA
## 2017-08-24 NA
## 2017-08-25 NA
## 2017-08-28 NA
## 2017-08-29 NA
## 2017-08-30 NA
## 2017-08-31 NA
## 2017-09-01 NA
## 2017-09-04 NA
## 2017-09-05 NA
## 2017-09-06 NA
## 2017-09-07 NA
## 2017-09-08 NA
## 2017-09-11 NA
## 2017-09-12 NA
## 2017-09-13 NA
## 2017-09-14 NA
## 2017-09-15 NA
## 2017-09-18 NA
## 2017-09-19 NA
## 2017-09-20 NA
## 2017-09-21 NA
## 2017-09-22 NA
## 2017-09-25 NA
## 2017-09-26 NA
## 2017-09-27 NA
## 2017-09-28 NA
## 2017-09-29 NA
## 2017-09-30 NA
## 2017-10-02 NA
## 2017-10-03 NA
## 2017-10-05 NA
## 2017-10-06 NA
## 2017-10-11 NA
## 2017-10-12 NA
## 2017-10-13 NA
## 2017-10-16 NA
## 2017-10-17 NA
## 2017-10-18 NA
## 2017-10-19 NA
## 2017-10-20 NA
## 2017-10-23 NA
## 2017-10-24 NA
## 2017-10-25 NA
## 2017-10-26 NA
## 2017-10-27 NA
## 2017-10-30 NA
## 2017-10-31 NA
## 2017-11-01 NA
## 2017-11-02 NA
## 2017-11-03 NA
## 2017-11-06 NA
## 2017-11-07 NA
## 2017-11-08 NA
## 2017-11-09 NA
## 2017-11-10 NA
## 2017-11-13 NA
## 2017-11-14 NA
## 2017-11-15 NA
## 2017-11-16 NA
## 2017-11-17 NA
## 2017-11-20 NA
## 2017-11-21 NA
## 2017-11-22 NA
## 2017-11-23 NA
## 2017-11-24 NA
## 2017-11-27 NA
## 2017-11-28 NA
## 2017-11-29 NA
## 2017-11-30 NA
## 2017-12-01 NA
## 2017-12-04 NA
## 2017-12-05 NA
## 2017-12-06 NA
## 2017-12-07 NA
## 2017-12-08 NA
## 2017-12-11 NA
## 2017-12-12 NA
## 2017-12-13 NA
## 2017-12-14 NA
## 2017-12-15 NA
## 2017-12-18 NA
## 2017-12-19 NA
## 2017-12-20 NA
## 2017-12-21 NA
## 2017-12-22 NA
## 2017-12-25 NA
## 2017-12-26 NA
## 2017-12-27 NA
## 2017-12-28 NA
## 2017-12-29 NA
## 2018-01-02 NA
## 2018-01-03 NA
## 2018-01-04 NA
## 2018-01-05 NA
## 2018-01-08 NA
## 2018-01-09 NA
## 2018-01-10 NA
## 2018-01-11 NA
## 2018-01-12 NA
## 2018-01-15 NA
## 2018-01-16 NA
## 2018-01-17 NA
## 2018-01-18 NA
## 2018-01-19 NA
## 2018-01-22 NA
## 2018-01-23 NA
## 2018-01-24 NA
## 2018-01-25 NA
## 2018-01-26 NA
## 2018-01-29 NA
## 2018-01-30 NA
## 2018-01-31 NA
## 2018-02-01 NA
## 2018-02-02 NA
## 2018-02-05 NA
## 2018-02-06 NA
## 2018-02-07 NA
## 2018-02-08 NA
## 2018-02-09 NA
## 2018-02-12 NA
## 2018-02-21 NA
## 2018-02-22 NA
## 2018-02-23 NA
## 2018-02-26 NA
## 2018-02-27 NA
## 2018-03-01 NA
## 2018-03-02 NA
## 2018-03-05 NA
## 2018-03-06 NA
## 2018-03-07 NA
## 2018-03-08 NA
## 2018-03-09 NA
## 2018-03-12 NA
## 2018-03-13 NA
## 2018-03-14 NA
## 2018-03-15 NA
## 2018-03-16 NA
## 2018-03-19 NA
## 2018-03-20 NA
## 2018-03-21 NA
## 2018-03-22 NA
## 2018-03-23 NA
## 2018-03-26 NA
## 2018-03-27 NA
## 2018-03-28 NA
## 2018-03-29 NA
## 2018-03-30 NA
## 2018-03-31 NA
## 2018-04-02 NA
## 2018-04-03 NA
## 2018-04-09 NA
## 2018-04-10 NA
## 2018-04-11 NA
## 2018-04-12 NA
## 2018-04-13 NA
## 2018-04-16 NA
## 2018-04-17 NA
## 2018-04-18 NA
## 2018-04-19 NA
## 2018-04-20 NA
## 2018-04-23 NA
## 2018-04-24 NA
## 2018-04-25 NA
## 2018-04-26 NA
## 2018-04-27 NA
## 2018-04-30 NA
## 2018-05-02 NA
## 2018-05-03 NA
## 2018-05-04 NA
## 2018-05-07 NA
## 2018-05-08 NA
## 2018-05-09 NA
## 2018-05-10 NA
## 2018-05-11 NA
## 2018-05-14 NA
## 2018-05-15 NA
## 2018-05-16 NA
## 2018-05-17 NA
## 2018-05-18 NA
## 2018-05-21 NA
## 2018-05-22 NA
## 2018-05-23 NA
## 2018-05-24 NA
## 2018-05-25 NA
## 2018-05-28 NA
## 2018-05-29 NA
## 2018-05-30 NA
## 2018-05-31 NA
## 2018-06-01 NA
## 2018-06-04 NA
## 2018-06-05 NA
## 2018-06-06 NA
## 2018-06-07 NA
## 2018-06-08 NA
## 2018-06-11 NA
## 2018-06-12 NA
## 2018-06-13 NA
## 2018-06-14 NA
## 2018-06-15 NA
## 2018-06-19 NA
## 2018-06-20 NA
## 2018-06-21 NA
## 2018-06-22 NA
## 2018-06-25 NA
## 2018-06-26 NA
## 2018-06-27 NA
## 2018-06-28 NA
## 2018-06-29 NA
## 2018-07-02 NA
## 2018-07-03 NA
## 2018-07-04 NA
## 2018-07-05 NA
## 2018-07-06 NA
## 2018-07-09 NA
## 2018-07-10 NA
## 2018-07-11 NA
## 2018-07-12 NA
## 2018-07-13 NA
## 2018-07-16 NA
## 2018-07-17 NA
## 2018-07-18 NA
## 2018-07-19 NA
## 2018-07-20 NA
## 2018-07-23 NA
## 2018-07-24 NA
## 2018-07-25 NA
## 2018-07-26 NA
## 2018-07-27 NA
## 2018-07-30 NA
## 2018-07-31 NA
## 2018-08-01 NA
## 2018-08-02 NA
## 2018-08-03 NA
## 2018-08-06 NA
## 2018-08-07 NA
## 2018-08-08 NA
## 2018-08-09 NA
## 2018-08-10 NA
## 2018-08-13 NA
## 2018-08-14 NA
## 2018-08-15 NA
## 2018-08-16 NA
## 2018-08-17 NA
## 2018-08-20 NA
## 2018-08-21 NA
## 2018-08-22 NA
## 2018-08-23 NA
## 2018-08-24 NA
## 2018-08-27 NA
## 2018-08-28 NA
## 2018-08-29 NA
## 2018-08-30 NA
## 2018-08-31 NA
## 2018-09-03 NA
## 2018-09-04 NA
## 2018-09-05 NA
## 2018-09-06 NA
## 2018-09-07 NA
## 2018-09-10 NA
## 2018-09-11 NA
## 2018-09-12 NA
## 2018-09-13 NA
## 2018-09-14 NA
## 2018-09-17 NA
## 2018-09-18 NA
## 2018-09-19 NA
## 2018-09-20 NA
## 2018-09-21 NA
## 2018-09-25 NA
## 2018-09-26 NA
## 2018-09-27 NA
## 2018-09-28 NA
## 2018-10-01 NA
## 2018-10-02 NA
## 2018-10-03 NA
## 2018-10-04 NA
## 2018-10-05 NA
## 2018-10-08 NA
## 2018-10-09 NA
## 2018-10-11 NA
## 2018-10-12 NA
## 2018-10-15 NA
## 2018-10-16 NA
## 2018-10-17 NA
## 2018-10-18 NA
## 2018-10-19 NA
## 2018-10-22 NA
## 2018-10-23 NA
## 2018-10-24 NA
## 2018-10-25 NA
## 2018-10-26 NA
## 2018-10-29 NA
## 2018-10-30 NA
## 2018-10-31 NA
## 2018-11-01 NA
## 2018-11-02 NA
## 2018-11-05 NA
## 2018-11-06 NA
## 2018-11-07 NA
## 2018-11-08 NA
## 2018-11-09 NA
## 2018-11-12 NA
## 2018-11-13 NA
## 2018-11-14 NA
## 2018-11-15 NA
## 2018-11-16 NA
## 2018-11-19 NA
## 2018-11-20 NA
## 2018-11-21 NA
## 2018-11-22 NA
## 2018-11-23 NA
## 2018-11-26 NA
## 2018-11-27 NA
## 2018-11-28 NA
## 2018-11-29 NA
## 2018-11-30 NA
## 2018-12-03 NA
## 2018-12-04 NA
## 2018-12-05 NA
## 2018-12-06 NA
## 2018-12-07 NA
## 2018-12-10 NA
## 2018-12-11 NA
## 2018-12-12 NA
## 2018-12-13 NA
## 2018-12-14 NA
## 2018-12-17 NA
## 2018-12-18 NA
## 2018-12-19 NA
## 2018-12-20 NA
## 2018-12-21 NA
## 2018-12-22 NA
## 2018-12-24 NA
## 2018-12-25 NA
## 2018-12-26 NA
## 2018-12-27 NA
## 2018-12-28 NAdata1$prices<-prices
class(data1$dates)## [1] "Date"data1$execution.price = prices
data1$weight[] = 1
buy.hold.1216 <- bt.run.share(data1, clean.signal=F, trade.summary = TRUE)## Latest weights :
## prices
## 2018-12-28 100
##
## Performance summary :
## CAGR Best Worst
## 11.6 6.9 -7 buy.hold.1216 <-bt.run(data1)## Latest weights :
## prices
## 2018-12-28 100
##
## Performance summary :
## CAGR Best Worst
## 11.6 6.9 -7 讀取sma 90天的資料。
sma1216<-SMA(prices, 90)
head(sma1216, 91)## SMA
## 2014-01-02 NA
## 2014-01-03 NA
## 2014-01-06 NA
## 2014-01-07 NA
## 2014-01-08 NA
## 2014-01-09 NA
## 2014-01-10 NA
## 2014-01-13 NA
## 2014-01-14 NA
## 2014-01-15 NA
## 2014-01-16 NA
## 2014-01-17 NA
## 2014-01-20 NA
## 2014-01-21 NA
## 2014-01-22 NA
## 2014-01-23 NA
## 2014-01-24 NA
## 2014-01-27 NA
## 2014-02-05 NA
## 2014-02-06 NA
## 2014-02-07 NA
## 2014-02-10 NA
## 2014-02-11 NA
## 2014-02-12 NA
## 2014-02-13 NA
## 2014-02-14 NA
## 2014-02-17 NA
## 2014-02-18 NA
## 2014-02-19 NA
## 2014-02-20 NA
## 2014-02-21 NA
## 2014-02-24 NA
## 2014-02-25 NA
## 2014-02-26 NA
## 2014-02-27 NA
## 2014-03-03 NA
## 2014-03-04 NA
## 2014-03-05 NA
## 2014-03-06 NA
## 2014-03-07 NA
## 2014-03-10 NA
## 2014-03-11 NA
## 2014-03-12 NA
## 2014-03-13 NA
## 2014-03-14 NA
## 2014-03-17 NA
## 2014-03-18 NA
## 2014-03-19 NA
## 2014-03-20 NA
## 2014-03-21 NA
## 2014-03-24 NA
## 2014-03-25 NA
## 2014-03-26 NA
## 2014-03-27 NA
## 2014-03-28 NA
## 2014-03-31 NA
## 2014-04-01 NA
## 2014-04-02 NA
## 2014-04-03 NA
## 2014-04-07 NA
## 2014-04-08 NA
## 2014-04-09 NA
## 2014-04-10 NA
## 2014-04-11 NA
## 2014-04-14 NA
## 2014-04-15 NA
## 2014-04-16 NA
## 2014-04-17 NA
## 2014-04-18 NA
## 2014-04-21 NA
## 2014-04-22 NA
## 2014-04-23 NA
## 2014-04-24 NA
## 2014-04-25 NA
## 2014-04-28 NA
## 2014-04-29 NA
## 2014-04-30 NA
## 2014-05-02 NA
## 2014-05-05 NA
## 2014-05-06 NA
## 2014-05-07 NA
## 2014-05-08 NA
## 2014-05-09 NA
## 2014-05-12 NA
## 2014-05-13 NA
## 2014-05-14 NA
## 2014-05-15 NA
## 2014-05-16 NA
## 2014-05-19 NA
## 2014-05-20 38.13300
## 2014-05-21 38.11222data1$weight[] <- iif(prices >= sma1216, 1, 0)
sma90.1216 <- bt.run(data1, trade.summary=T)## Latest weights :
## prices
## 2018-12-28 0
##
## Performance summary :
## CAGR Best Worst
## 6 5.1 -6.8 data1$weight[] <- iif(prices >= sma1216, 1, -1)
sma90.1216.short <- bt.run(data1, trade.summary=T)## Latest weights :
## prices
## 2018-12-28 -100
##
## Performance summary :
## CAGR Best Worst
## -1.2 7 -6.9 models.1<-list("SMA1216"= sma90.1216,
"SMA1216_short" = sma90.1216.short,
"BH 1216" = buy.hold.1216)第一、二張圖：
黑色線為SMA1216 1.34，紅色線為SMA1216_short 0.94，綠色線為BH 1216 1.73。並顯示出表格。
strategy.performance.snapshoot(models.1, T)
## NULL第三張圖：
顯示出Sharpe、DVR、Cagr、MaxDD四個的長條圖。
strategy.performance.snapshoot(models.1, control=list(comparison=T), sort.performance=T)
第四張圖：
顯示為表格。
plotbt.strategy.sidebyside(models.1, return.table=T)
## SMA1216 SMA1216_short
## Period "一月2014 - 十二月2018" "一月2014 - 十二月2018"
## Cagr "5.96" "-1.24"
## Sharpe "0.43" "0.05"
## DVR "0.3" "0"
## Volatility "16.93" "21.89"
## MaxDD "-18.31" "-32.56"
## AvgDD "-3.78" "-6.11"
## VaR "-1.69" "-2.18"
## CVaR "-2.49" "-3.12"
## Exposure "66.72" "99.92"
## BH 1216
## Period "一月2014 - 十二月2018"
## Cagr "11.58"
## Sharpe "0.62"
## DVR "0.54"
## Volatility "21.88"
## MaxDD "-19.9"
## AvgDD "-4.09"
## VaR "-2.09"
## CVaR "-2.98"
## Exposure "99.92"library(ggplot2)
all.1216<-merge.xts(sma90.1216$equity,
sma90.1216.short$equity,
buy.hold.1216$equity)
colnames(all.1216)<-c("sma1216", "sma1216 short", "BH")
head(all.1216)## sma1216 sma1216 short BH
## 2014-01-02 1 1.000000 1.0000000
## 2014-01-03 1 1.009156 0.9908439
## 2014-01-06 1 1.009156 0.9908439
## 2014-01-07 1 1.011172 0.9888641
## 2014-01-08 1 1.014968 0.9851522
## 2014-01-09 1 1.032050 0.9685721all.1216.long<-fortify(all.1216, melt=T)
head(all.1216.long)## Index Series Value
## 1 2014-01-02 sma1216 1
## 2 2014-01-03 sma1216 1
## 3 2014-01-06 sma1216 1
## 4 2014-01-07 sma1216 1
## 5 2014-01-08 sma1216 1
## 6 2014-01-09 sma1216 1圖的標題為Cumulative returns of 1216s。
X軸為year，Y軸為cumulative returns。
粉紅色線為sma1216，綠色線為sma1216 short，藍色線為BH。
title = "Cumulative returns of 1216s"
p1 = ggplot(all.1216.long, aes(x = Index, y = Value)) +
geom_line(aes(linetype = Series, color = Series)) +
#geom_point(aes(shape = Series))+
xlab("year") + ylab("cumulative returns")+
ggtitle(title)
p1
1301
讀取1301的資料。
library(xts)
data1<-new.env()
data1$prices<-tw20.all.1$'1301'
prices<-data1$prices
sma1301<-SMA(prices, 90)
head(sma1301, 91)## SMA
## 2014-01-02 NA
## 2014-01-03 NA
## 2014-01-06 NA
## 2014-01-07 NA
## 2014-01-08 NA
## 2014-01-09 NA
## 2014-01-10 NA
## 2014-01-13 NA
## 2014-01-14 NA
## 2014-01-15 NA
## 2014-01-16 NA
## 2014-01-17 NA
## 2014-01-20 NA
## 2014-01-21 NA
## 2014-01-22 NA
## 2014-01-23 NA
## 2014-01-24 NA
## 2014-01-27 NA
## 2014-02-05 NA
## 2014-02-06 NA
## 2014-02-07 NA
## 2014-02-10 NA
## 2014-02-11 NA
## 2014-02-12 NA
## 2014-02-13 NA
## 2014-02-14 NA
## 2014-02-17 NA
## 2014-02-18 NA
## 2014-02-19 NA
## 2014-02-20 NA
## 2014-02-21 NA
## 2014-02-24 NA
## 2014-02-25 NA
## 2014-02-26 NA
## 2014-02-27 NA
## 2014-03-03 NA
## 2014-03-04 NA
## 2014-03-05 NA
## 2014-03-06 NA
## 2014-03-07 NA
## 2014-03-10 NA
## 2014-03-11 NA
## 2014-03-12 NA
## 2014-03-13 NA
## 2014-03-14 NA
## 2014-03-17 NA
## 2014-03-18 NA
## 2014-03-19 NA
## 2014-03-20 NA
## 2014-03-21 NA
## 2014-03-24 NA
## 2014-03-25 NA
## 2014-03-26 NA
## 2014-03-27 NA
## 2014-03-28 NA
## 2014-03-31 NA
## 2014-04-01 NA
## 2014-04-02 NA
## 2014-04-03 NA
## 2014-04-07 NA
## 2014-04-08 NA
## 2014-04-09 NA
## 2014-04-10 NA
## 2014-04-11 NA
## 2014-04-14 NA
## 2014-04-15 NA
## 2014-04-16 NA
## 2014-04-17 NA
## 2014-04-18 NA
## 2014-04-21 NA
## 2014-04-22 NA
## 2014-04-23 NA
## 2014-04-24 NA
## 2014-04-25 NA
## 2014-04-28 NA
## 2014-04-29 NA
## 2014-04-30 NA
## 2014-05-02 NA
## 2014-05-05 NA
## 2014-05-06 NA
## 2014-05-07 NA
## 2014-05-08 NA
## 2014-05-09 NA
## 2014-05-12 NA
## 2014-05-13 NA
## 2014-05-14 NA
## 2014-05-15 NA
## 2014-05-16 NA
## 2014-05-19 NA
## 2014-05-20 63.12522
## 2014-05-21 63.09878分別看日期、價錢。
bt.prep(data1, align='keep.all')
names(data1)## [1] "prices" "dates" "weight" "symbolnames"
## [5] "execution.price"data1$dates## [1] "2014-01-02" "2014-01-03" "2014-01-06" "2014-01-07" "2014-01-08"
## [6] "2014-01-09" "2014-01-10" "2014-01-13" "2014-01-14" "2014-01-15"
## [11] "2014-01-16" "2014-01-17" "2014-01-20" "2014-01-21" "2014-01-22"
## [16] "2014-01-23" "2014-01-24" "2014-01-27" "2014-02-05" "2014-02-06"
## [21] "2014-02-07" "2014-02-10" "2014-02-11" "2014-02-12" "2014-02-13"
## [26] "2014-02-14" "2014-02-17" "2014-02-18" "2014-02-19" "2014-02-20"
## [31] "2014-02-21" "2014-02-24" "2014-02-25" "2014-02-26" "2014-02-27"
## [36] "2014-03-03" "2014-03-04" "2014-03-05" "2014-03-06" "2014-03-07"
## [41] "2014-03-10" "2014-03-11" "2014-03-12" "2014-03-13" "2014-03-14"
## [46] "2014-03-17" "2014-03-18" "2014-03-19" "2014-03-20" "2014-03-21"
## [51] "2014-03-24" "2014-03-25" "2014-03-26" "2014-03-27" "2014-03-28"
## [56] "2014-03-31" "2014-04-01" "2014-04-02" "2014-04-03" "2014-04-07"
## [61] "2014-04-08" "2014-04-09" "2014-04-10" "2014-04-11" "2014-04-14"
## [66] "2014-04-15" "2014-04-16" "2014-04-17" "2014-04-18" "2014-04-21"
## [71] "2014-04-22" "2014-04-23" "2014-04-24" "2014-04-25" "2014-04-28"
## [76] "2014-04-29" "2014-04-30" "2014-05-02" "2014-05-05" "2014-05-06"
## [81] "2014-05-07" "2014-05-08" "2014-05-09" "2014-05-12" "2014-05-13"
## [86] "2014-05-14" "2014-05-15" "2014-05-16" "2014-05-19" "2014-05-20"
## [91] "2014-05-21" "2014-05-22" "2014-05-23" "2014-05-26" "2014-05-27"
## [96] "2014-05-28" "2014-05-29" "2014-05-30" "2014-06-03" "2014-06-04"
## [101] "2014-06-05" "2014-06-06" "2014-06-09" "2014-06-10" "2014-06-11"
## [106] "2014-06-12" "2014-06-13" "2014-06-16" "2014-06-17" "2014-06-18"
## [111] "2014-06-19" "2014-06-20" "2014-06-23" "2014-06-24" "2014-06-25"
## [116] "2014-06-26" "2014-06-27" "2014-06-30" "2014-07-01" "2014-07-02"
## [121] "2014-07-03" "2014-07-04" "2014-07-07" "2014-07-08" "2014-07-09"
## [126] "2014-07-10" "2014-07-11" "2014-07-14" "2014-07-15" "2014-07-16"
## [131] "2014-07-17" "2014-07-18" "2014-07-21" "2014-07-22" "2014-07-24"
## [136] "2014-07-25" "2014-07-28" "2014-07-29" "2014-07-30" "2014-07-31"
## [141] "2014-08-01" "2014-08-04" "2014-08-05" "2014-08-06" "2014-08-07"
## [146] "2014-08-08" "2014-08-11" "2014-08-12" "2014-08-13" "2014-08-14"
## [151] "2014-08-15" "2014-08-18" "2014-08-19" "2014-08-20" "2014-08-21"
## [156] "2014-08-22" "2014-08-25" "2014-08-26" "2014-08-27" "2014-08-28"
## [161] "2014-08-29" "2014-09-01" "2014-09-02" "2014-09-03" "2014-09-04"
## [166] "2014-09-05" "2014-09-09" "2014-09-10" "2014-09-11" "2014-09-12"
## [171] "2014-09-15" "2014-09-16" "2014-09-17" "2014-09-18" "2014-09-19"
## [176] "2014-09-22" "2014-09-23" "2014-09-24" "2014-09-25" "2014-09-26"
## [181] "2014-09-29" "2014-09-30" "2014-10-01" "2014-10-02" "2014-10-03"
## [186] "2014-10-06" "2014-10-07" "2014-10-08" "2014-10-09" "2014-10-13"
## [191] "2014-10-14" "2014-10-15" "2014-10-16" "2014-10-17" "2014-10-20"
## [196] "2014-10-21" "2014-10-22" "2014-10-23" "2014-10-24" "2014-10-27"
## [201] "2014-10-28" "2014-10-29" "2014-10-30" "2014-10-31" "2014-11-03"
## [206] "2014-11-04" "2014-11-05" "2014-11-06" "2014-11-07" "2014-11-10"
## [211] "2014-11-11" "2014-11-12" "2014-11-13" "2014-11-14" "2014-11-17"
## [216] "2014-11-18" "2014-11-19" "2014-11-20" "2014-11-21" "2014-11-24"
## [221] "2014-11-25" "2014-11-26" "2014-11-27" "2014-11-28" "2014-12-01"
## [226] "2014-12-02" "2014-12-03" "2014-12-04" "2014-12-05" "2014-12-08"
## [231] "2014-12-09" "2014-12-10" "2014-12-11" "2014-12-12" "2014-12-15"
## [236] "2014-12-16" "2014-12-17" "2014-12-18" "2014-12-19" "2014-12-22"
## [241] "2014-12-23" "2014-12-24" "2014-12-25" "2014-12-26" "2014-12-27"
## [246] "2014-12-29" "2014-12-30" "2014-12-31" "2015-01-05" "2015-01-06"
## [251] "2015-01-07" "2015-01-08" "2015-01-09" "2015-01-12" "2015-01-13"
## [256] "2015-01-14" "2015-01-15" "2015-01-16" "2015-01-19" "2015-01-20"
## [261] "2015-01-21" "2015-01-22" "2015-01-23" "2015-01-26" "2015-01-27"
## [266] "2015-01-28" "2015-01-29" "2015-01-30" "2015-02-02" "2015-02-03"
## [271] "2015-02-04" "2015-02-05" "2015-02-06" "2015-02-09" "2015-02-10"
## [276] "2015-02-11" "2015-02-12" "2015-02-13" "2015-02-24" "2015-02-25"
## [281] "2015-02-26" "2015-03-02" "2015-03-03" "2015-03-04" "2015-03-05"
## [286] "2015-03-06" "2015-03-09" "2015-03-10" "2015-03-11" "2015-03-12"
## [291] "2015-03-13" "2015-03-16" "2015-03-17" "2015-03-18" "2015-03-19"
## [296] "2015-03-20" "2015-03-23" "2015-03-24" "2015-03-25" "2015-03-26"
## [301] "2015-03-27" "2015-03-30" "2015-03-31" "2015-04-01" "2015-04-02"
## [306] "2015-04-07" "2015-04-08" "2015-04-09" "2015-04-10" "2015-04-13"
## [311] "2015-04-14" "2015-04-15" "2015-04-16" "2015-04-17" "2015-04-20"
## [316] "2015-04-21" "2015-04-22" "2015-04-23" "2015-04-24" "2015-04-27"
## [321] "2015-04-28" "2015-04-29" "2015-04-30" "2015-05-04" "2015-05-05"
## [326] "2015-05-06" "2015-05-07" "2015-05-08" "2015-05-11" "2015-05-12"
## [331] "2015-05-13" "2015-05-14" "2015-05-15" "2015-05-18" "2015-05-19"
## [336] "2015-05-20" "2015-05-21" "2015-05-22" "2015-05-25" "2015-05-26"
## [341] "2015-05-27" "2015-05-28" "2015-05-29" "2015-06-01" "2015-06-02"
## [346] "2015-06-03" "2015-06-04" "2015-06-05" "2015-06-08" "2015-06-09"
## [351] "2015-06-10" "2015-06-11" "2015-06-12" "2015-06-15" "2015-06-16"
## [356] "2015-06-17" "2015-06-18" "2015-06-22" "2015-06-23" "2015-06-24"
## [361] "2015-06-25" "2015-06-26" "2015-06-29" "2015-06-30" "2015-07-01"
## [366] "2015-07-02" "2015-07-03" "2015-07-06" "2015-07-07" "2015-07-08"
## [371] "2015-07-09" "2015-07-13" "2015-07-14" "2015-07-15" "2015-07-16"
## [376] "2015-07-17" "2015-07-20" "2015-07-21" "2015-07-22" "2015-07-23"
## [381] "2015-07-24" "2015-07-27" "2015-07-28" "2015-07-29" "2015-07-30"
## [386] "2015-07-31" "2015-08-03" "2015-08-04" "2015-08-05" "2015-08-06"
## [391] "2015-08-07" "2015-08-10" "2015-08-11" "2015-08-12" "2015-08-13"
## [396] "2015-08-14" "2015-08-17" "2015-08-18" "2015-08-19" "2015-08-20"
## [401] "2015-08-21" "2015-08-24" "2015-08-25" "2015-08-26" "2015-08-27"
## [406] "2015-08-28" "2015-08-31" "2015-09-01" "2015-09-02" "2015-09-03"
## [411] "2015-09-04" "2015-09-07" "2015-09-08" "2015-09-09" "2015-09-10"
## [416] "2015-09-11" "2015-09-14" "2015-09-15" "2015-09-16" "2015-09-17"
## [421] "2015-09-18" "2015-09-21" "2015-09-22" "2015-09-23" "2015-09-24"
## [426] "2015-09-25" "2015-09-30" "2015-10-01" "2015-10-02" "2015-10-05"
## [431] "2015-10-06" "2015-10-07" "2015-10-08" "2015-10-12" "2015-10-13"
## [436] "2015-10-14" "2015-10-15" "2015-10-16" "2015-10-19" "2015-10-20"
## [441] "2015-10-21" "2015-10-22" "2015-10-23" "2015-10-26" "2015-10-27"
## [446] "2015-10-28" "2015-10-29" "2015-10-30" "2015-11-02" "2015-11-03"
## [451] "2015-11-04" "2015-11-05" "2015-11-06" "2015-11-09" "2015-11-10"
## [456] "2015-11-11" "2015-11-12" "2015-11-13" "2015-11-16" "2015-11-17"
## [461] "2015-11-18" "2015-11-19" "2015-11-20" "2015-11-23" "2015-11-24"
## [466] "2015-11-25" "2015-11-26" "2015-11-27" "2015-11-30" "2015-12-01"
## [471] "2015-12-02" "2015-12-03" "2015-12-04" "2015-12-07" "2015-12-08"
## [476] "2015-12-09" "2015-12-10" "2015-12-11" "2015-12-14" "2015-12-15"
## [481] "2015-12-16" "2015-12-17" "2015-12-18" "2015-12-21" "2015-12-22"
## [486] "2015-12-23" "2015-12-24" "2015-12-25" "2015-12-28" "2015-12-29"
## [491] "2015-12-30" "2015-12-31" "2016-01-04" "2016-01-05" "2016-01-06"
## [496] "2016-01-07" "2016-01-08" "2016-01-11" "2016-01-12" "2016-01-13"
## [501] "2016-01-14" "2016-01-15" "2016-01-18" "2016-01-19" "2016-01-20"
## [506] "2016-01-21" "2016-01-22" "2016-01-25" "2016-01-26" "2016-01-27"
## [511] "2016-01-28" "2016-01-29" "2016-01-30" "2016-02-01" "2016-02-02"
## [516] "2016-02-03" "2016-02-15" "2016-02-16" "2016-02-17" "2016-02-18"
## [521] "2016-02-19" "2016-02-22" "2016-02-23" "2016-02-24" "2016-02-25"
## [526] "2016-02-26" "2016-03-01" "2016-03-02" "2016-03-03" "2016-03-04"
## [531] "2016-03-07" "2016-03-08" "2016-03-09" "2016-03-10" "2016-03-11"
## [536] "2016-03-14" "2016-03-15" "2016-03-16" "2016-03-17" "2016-03-18"
## [541] "2016-03-21" "2016-03-22" "2016-03-23" "2016-03-24" "2016-03-25"
## [546] "2016-03-28" "2016-03-29" "2016-03-30" "2016-03-31" "2016-04-01"
## [551] "2016-04-06" "2016-04-07" "2016-04-08" "2016-04-11" "2016-04-12"
## [556] "2016-04-13" "2016-04-14" "2016-04-15" "2016-04-18" "2016-04-19"
## [561] "2016-04-20" "2016-04-21" "2016-04-22" "2016-04-25" "2016-04-26"
## [566] "2016-04-27" "2016-04-28" "2016-04-29" "2016-05-03" "2016-05-04"
## [571] "2016-05-05" "2016-05-06" "2016-05-09" "2016-05-10" "2016-05-11"
## [576] "2016-05-12" "2016-05-13" "2016-05-16" "2016-05-17" "2016-05-18"
## [581] "2016-05-19" "2016-05-20" "2016-05-23" "2016-05-24" "2016-05-25"
## [586] "2016-05-26" "2016-05-27" "2016-05-30" "2016-05-31" "2016-06-01"
## [591] "2016-06-02" "2016-06-03" "2016-06-04" "2016-06-06" "2016-06-07"
## [596] "2016-06-08" "2016-06-13" "2016-06-14" "2016-06-15" "2016-06-16"
## [601] "2016-06-17" "2016-06-20" "2016-06-21" "2016-06-22" "2016-06-23"
## [606] "2016-06-24" "2016-06-27" "2016-06-28" "2016-06-29" "2016-06-30"
## [611] "2016-07-01" "2016-07-04" "2016-07-05" "2016-07-06" "2016-07-07"
## [616] "2016-07-11" "2016-07-12" "2016-07-13" "2016-07-14" "2016-07-15"
## [621] "2016-07-18" "2016-07-19" "2016-07-20" "2016-07-21" "2016-07-22"
## [626] "2016-07-25" "2016-07-26" "2016-07-27" "2016-07-28" "2016-07-29"
## [631] "2016-08-01" "2016-08-02" "2016-08-03" "2016-08-04" "2016-08-05"
## [636] "2016-08-08" "2016-08-09" "2016-08-10" "2016-08-11" "2016-08-12"
## [641] "2016-08-15" "2016-08-16" "2016-08-17" "2016-08-18" "2016-08-19"
## [646] "2016-08-22" "2016-08-23" "2016-08-24" "2016-08-25" "2016-08-26"
## [651] "2016-08-29" "2016-08-30" "2016-08-31" "2016-09-01" "2016-09-02"
## [656] "2016-09-05" "2016-09-06" "2016-09-07" "2016-09-08" "2016-09-09"
## [661] "2016-09-10" "2016-09-12" "2016-09-13" "2016-09-14" "2016-09-19"
## [666] "2016-09-20" "2016-09-21" "2016-09-22" "2016-09-23" "2016-09-26"
## [671] "2016-09-29" "2016-09-30" "2016-10-03" "2016-10-04" "2016-10-05"
## [676] "2016-10-06" "2016-10-07" "2016-10-11" "2016-10-12" "2016-10-13"
## [681] "2016-10-14" "2016-10-17" "2016-10-18" "2016-10-19" "2016-10-20"
## [686] "2016-10-21" "2016-10-24" "2016-10-25" "2016-10-26" "2016-10-27"
## [691] "2016-10-28" "2016-10-31" "2016-11-01" "2016-11-02" "2016-11-03"
## [696] "2016-11-04" "2016-11-07" "2016-11-08" "2016-11-09" "2016-11-10"
## [701] "2016-11-11" "2016-11-14" "2016-11-15" "2016-11-16" "2016-11-17"
## [706] "2016-11-18" "2016-11-21" "2016-11-22" "2016-11-23" "2016-11-24"
## [711] "2016-11-25" "2016-11-28" "2016-11-29" "2016-11-30" "2016-12-01"
## [716] "2016-12-02" "2016-12-05" "2016-12-06" "2016-12-07" "2016-12-08"
## [721] "2016-12-09" "2016-12-12" "2016-12-13" "2016-12-14" "2016-12-15"
## [726] "2016-12-16" "2016-12-19" "2016-12-20" "2016-12-21" "2016-12-22"
## [731] "2016-12-23" "2016-12-26" "2016-12-27" "2016-12-28" "2016-12-29"
## [736] "2016-12-30" "2017-01-03" "2017-01-04" "2017-01-05" "2017-01-06"
## [741] "2017-01-09" "2017-01-10" "2017-01-11" "2017-01-12" "2017-01-13"
## [746] "2017-01-16" "2017-01-17" "2017-01-18" "2017-01-19" "2017-01-20"
## [751] "2017-01-23" "2017-01-24" "2017-02-02" "2017-02-03" "2017-02-06"
## [756] "2017-02-07" "2017-02-08" "2017-02-09" "2017-02-10" "2017-02-13"
## [761] "2017-02-14" "2017-02-15" "2017-02-16" "2017-02-17" "2017-02-18"
## [766] "2017-02-20" "2017-02-21" "2017-02-22" "2017-02-23" "2017-02-24"
## [771] "2017-03-01" "2017-03-02" "2017-03-03" "2017-03-06" "2017-03-07"
## [776] "2017-03-08" "2017-03-09" "2017-03-10" "2017-03-13" "2017-03-14"
## [781] "2017-03-15" "2017-03-16" "2017-03-17" "2017-03-20" "2017-03-21"
## [786] "2017-03-22" "2017-03-23" "2017-03-24" "2017-03-27" "2017-03-28"
## [791] "2017-03-29" "2017-03-30" "2017-03-31" "2017-04-05" "2017-04-06"
## [796] "2017-04-07" "2017-04-10" "2017-04-11" "2017-04-12" "2017-04-13"
## [801] "2017-04-14" "2017-04-17" "2017-04-18" "2017-04-19" "2017-04-20"
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## 2016-01-21 NA
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## 2016-01-25 NA
## 2016-01-26 NA
## 2016-01-27 NA
## 2016-01-28 NA
## 2016-01-29 NA
## 2016-01-30 NA
## 2016-02-01 NA
## 2016-02-02 NA
## 2016-02-03 NA
## 2016-02-15 NA
## 2016-02-16 NA
## 2016-02-17 NA
## 2016-02-18 NA
## 2016-02-19 NA
## 2016-02-22 NA
## 2016-02-23 NA
## 2016-02-24 NA
## 2016-02-25 NA
## 2016-02-26 NA
## 2016-03-01 NA
## 2016-03-02 NA
## 2016-03-03 NA
## 2016-03-04 NA
## 2016-03-07 NA
## 2016-03-08 NA
## 2016-03-09 NA
## 2016-03-10 NA
## 2016-03-11 NA
## 2016-03-14 NA
## 2016-03-15 NA
## 2016-03-16 NA
## 2016-03-17 NA
## 2016-03-18 NA
## 2016-03-21 NA
## 2016-03-22 NA
## 2016-03-23 NA
## 2016-03-24 NA
## 2016-03-25 NA
## 2016-03-28 NA
## 2016-03-29 NA
## 2016-03-30 NA
## 2016-03-31 NA
## 2016-04-01 NA
## 2016-04-06 NA
## 2016-04-07 NA
## 2016-04-08 NA
## 2016-04-11 NA
## 2016-04-12 NA
## 2016-04-13 NA
## 2016-04-14 NA
## 2016-04-15 NA
## 2016-04-18 NA
## 2016-04-19 NA
## 2016-04-20 NA
## 2016-04-21 NA
## 2016-04-22 NA
## 2016-04-25 NA
## 2016-04-26 NA
## 2016-04-27 NA
## 2016-04-28 NA
## 2016-04-29 NA
## 2016-05-03 NA
## 2016-05-04 NA
## 2016-05-05 NA
## 2016-05-06 NA
## 2016-05-09 NA
## 2016-05-10 NA
## 2016-05-11 NA
## 2016-05-12 NA
## 2016-05-13 NA
## 2016-05-16 NA
## 2016-05-17 NA
## 2016-05-18 NA
## 2016-05-19 NA
## 2016-05-20 NA
## 2016-05-23 NA
## 2016-05-24 NA
## 2016-05-25 NA
## 2016-05-26 NA
## 2016-05-27 NA
## 2016-05-30 NA
## 2016-05-31 NA
## 2016-06-01 NA
## 2016-06-02 NA
## 2016-06-03 NA
## 2016-06-04 NA
## 2016-06-06 NA
## 2016-06-07 NA
## 2016-06-08 NA
## 2016-06-13 NA
## 2016-06-14 NA
## 2016-06-15 NA
## 2016-06-16 NA
## 2016-06-17 NA
## 2016-06-20 NA
## 2016-06-21 NA
## 2016-06-22 NA
## 2016-06-23 NA
## 2016-06-24 NA
## 2016-06-27 NA
## 2016-06-28 NA
## 2016-06-29 NA
## 2016-06-30 NA
## 2016-07-01 NA
## 2016-07-04 NA
## 2016-07-05 NA
## 2016-07-06 NA
## 2016-07-07 NA
## 2016-07-11 NA
## 2016-07-12 NA
## 2016-07-13 NA
## 2016-07-14 NA
## 2016-07-15 NA
## 2016-07-18 NA
## 2016-07-19 NA
## 2016-07-20 NA
## 2016-07-21 NA
## 2016-07-22 NA
## 2016-07-25 NA
## 2016-07-26 NA
## 2016-07-27 NA
## 2016-07-28 NA
## 2016-07-29 NA
## 2016-08-01 NA
## 2016-08-02 NA
## 2016-08-03 NA
## 2016-08-04 NA
## 2016-08-05 NA
## 2016-08-08 NA
## 2016-08-09 NA
## 2016-08-10 NA
## 2016-08-11 NA
## 2016-08-12 NA
## 2016-08-15 NA
## 2016-08-16 NA
## 2016-08-17 NA
## 2016-08-18 NA
## 2016-08-19 NA
## 2016-08-22 NA
## 2016-08-23 NA
## 2016-08-24 NA
## 2016-08-25 NA
## 2016-08-26 NA
## 2016-08-29 NA
## 2016-08-30 NA
## 2016-08-31 NA
## 2016-09-01 NA
## 2016-09-02 NA
## 2016-09-05 NA
## 2016-09-06 NA
## 2016-09-07 NA
## 2016-09-08 NA
## 2016-09-09 NA
## 2016-09-10 NA
## 2016-09-12 NA
## 2016-09-13 NA
## 2016-09-14 NA
## 2016-09-19 NA
## 2016-09-20 NA
## 2016-09-21 NA
## 2016-09-22 NA
## 2016-09-23 NA
## 2016-09-26 NA
## 2016-09-29 NA
## 2016-09-30 NA
## 2016-10-03 NA
## 2016-10-04 NA
## 2016-10-05 NA
## 2016-10-06 NA
## 2016-10-07 NA
## 2016-10-11 NA
## 2016-10-12 NA
## 2016-10-13 NA
## 2016-10-14 NA
## 2016-10-17 NA
## 2016-10-18 NA
## 2016-10-19 NA
## 2016-10-20 NA
## 2016-10-21 NA
## 2016-10-24 NA
## 2016-10-25 NA
## 2016-10-26 NA
## 2016-10-27 NA
## 2016-10-28 NA
## 2016-10-31 NA
## 2016-11-01 NA
## 2016-11-02 NA
## 2016-11-03 NA
## 2016-11-04 NA
## 2016-11-07 NA
## 2016-11-08 NA
## 2016-11-09 NA
## 2016-11-10 NA
## 2016-11-11 NA
## 2016-11-14 NA
## 2016-11-15 NA
## 2016-11-16 NA
## 2016-11-17 NA
## 2016-11-18 NA
## 2016-11-21 NA
## 2016-11-22 NA
## 2016-11-23 NA
## 2016-11-24 NA
## 2016-11-25 NA
## 2016-11-28 NA
## 2016-11-29 NA
## 2016-11-30 NA
## 2016-12-01 NA
## 2016-12-02 NA
## 2016-12-05 NA
## 2016-12-06 NA
## 2016-12-07 NA
## 2016-12-08 NA
## 2016-12-09 NA
## 2016-12-12 NA
## 2016-12-13 NA
## 2016-12-14 NA
## 2016-12-15 NA
## 2016-12-16 NA
## 2016-12-19 NA
## 2016-12-20 NA
## 2016-12-21 NA
## 2016-12-22 NA
## 2016-12-23 NA
## 2016-12-26 NA
## 2016-12-27 NA
## 2016-12-28 NA
## 2016-12-29 NA
## 2016-12-30 NA
## 2017-01-03 NA
## 2017-01-04 NA
## 2017-01-05 NA
## 2017-01-06 NA
## 2017-01-09 NA
## 2017-01-10 NA
## 2017-01-11 NA
## 2017-01-12 NA
## 2017-01-13 NA
## 2017-01-16 NA
## 2017-01-17 NA
## 2017-01-18 NA
## 2017-01-19 NA
## 2017-01-20 NA
## 2017-01-23 NA
## 2017-01-24 NA
## 2017-02-02 NA
## 2017-02-03 NA
## 2017-02-06 NA
## 2017-02-07 NA
## 2017-02-08 NA
## 2017-02-09 NA
## 2017-02-10 NA
## 2017-02-13 NA
## 2017-02-14 NA
## 2017-02-15 NA
## 2017-02-16 NA
## 2017-02-17 NA
## 2017-02-18 NA
## 2017-02-20 NA
## 2017-02-21 NA
## 2017-02-22 NA
## 2017-02-23 NA
## 2017-02-24 NA
## 2017-03-01 NA
## 2017-03-02 NA
## 2017-03-03 NA
## 2017-03-06 NA
## 2017-03-07 NA
## 2017-03-08 NA
## 2017-03-09 NA
## 2017-03-10 NA
## 2017-03-13 NA
## 2017-03-14 NA
## 2017-03-15 NA
## 2017-03-16 NA
## 2017-03-17 NA
## 2017-03-20 NA
## 2017-03-21 NA
## 2017-03-22 NA
## 2017-03-23 NA
## 2017-03-24 NA
## 2017-03-27 NA
## 2017-03-28 NA
## 2017-03-29 NA
## 2017-03-30 NA
## 2017-03-31 NA
## 2017-04-05 NA
## 2017-04-06 NA
## 2017-04-07 NA
## 2017-04-10 NA
## 2017-04-11 NA
## 2017-04-12 NA
## 2017-04-13 NA
## 2017-04-14 NA
## 2017-04-17 NA
## 2017-04-18 NA
## 2017-04-19 NA
## 2017-04-20 NA
## 2017-04-21 NA
## 2017-04-24 NA
## 2017-04-25 NA
## 2017-04-26 NA
## 2017-04-27 NA
## 2017-04-28 NA
## 2017-05-02 NA
## 2017-05-03 NA
## 2017-05-04 NA
## 2017-05-05 NA
## 2017-05-08 NA
## 2017-05-09 NA
## 2017-05-10 NA
## 2017-05-11 NA
## 2017-05-12 NA
## 2017-05-15 NA
## 2017-05-16 NA
## 2017-05-17 NA
## 2017-05-18 NA
## 2017-05-19 NA
## 2017-05-22 NA
## 2017-05-23 NA
## 2017-05-24 NA
## 2017-05-25 NA
## 2017-05-26 NA
## 2017-05-31 NA
## 2017-06-01 NA
## 2017-06-02 NA
## 2017-06-03 NA
## 2017-06-05 NA
## 2017-06-06 NA
## 2017-06-07 NA
## 2017-06-08 NA
## 2017-06-09 NA
## 2017-06-12 NA
## 2017-06-13 NA
## 2017-06-14 NA
## 2017-06-15 NA
## 2017-06-16 NA
## 2017-06-19 NA
## 2017-06-20 NA
## 2017-06-21 NA
## 2017-06-22 NA
## 2017-06-23 NA
## 2017-06-26 NA
## 2017-06-27 NA
## 2017-06-28 NA
## 2017-06-29 NA
## 2017-06-30 NA
## 2017-07-03 NA
## 2017-07-04 NA
## 2017-07-05 NA
## 2017-07-06 NA
## 2017-07-07 NA
## 2017-07-10 NA
## 2017-07-11 NA
## 2017-07-12 NA
## 2017-07-13 NA
## 2017-07-14 NA
## 2017-07-17 NA
## 2017-07-18 NA
## 2017-07-19 NA
## 2017-07-20 NA
## 2017-07-21 NA
## 2017-07-24 NA
## 2017-07-25 NA
## 2017-07-26 NA
## 2017-07-27 NA
## 2017-07-28 NA
## 2017-07-31 NA
## 2017-08-01 NA
## 2017-08-02 NA
## 2017-08-03 NA
## 2017-08-04 NA
## 2017-08-07 NA
## 2017-08-08 NA
## 2017-08-09 NA
## 2017-08-10 NA
## 2017-08-11 NA
## 2017-08-14 NA
## 2017-08-15 NA
## 2017-08-16 NA
## 2017-08-17 NA
## 2017-08-18 NA
## 2017-08-21 NA
## 2017-08-22 NA
## 2017-08-23 NA
## 2017-08-24 NA
## 2017-08-25 NA
## 2017-08-28 NA
## 2017-08-29 NA
## 2017-08-30 NA
## 2017-08-31 NA
## 2017-09-01 NA
## 2017-09-04 NA
## 2017-09-05 NA
## 2017-09-06 NA
## 2017-09-07 NA
## 2017-09-08 NA
## 2017-09-11 NA
## 2017-09-12 NA
## 2017-09-13 NA
## 2017-09-14 NA
## 2017-09-15 NA
## 2017-09-18 NA
## 2017-09-19 NA
## 2017-09-20 NA
## 2017-09-21 NA
## 2017-09-22 NA
## 2017-09-25 NA
## 2017-09-26 NA
## 2017-09-27 NA
## 2017-09-28 NA
## 2017-09-29 NA
## 2017-09-30 NA
## 2017-10-02 NA
## 2017-10-03 NA
## 2017-10-05 NA
## 2017-10-06 NA
## 2017-10-11 NA
## 2017-10-12 NA
## 2017-10-13 NA
## 2017-10-16 NA
## 2017-10-17 NA
## 2017-10-18 NA
## 2017-10-19 NA
## 2017-10-20 NA
## 2017-10-23 NA
## 2017-10-24 NA
## 2017-10-25 NA
## 2017-10-26 NA
## 2017-10-27 NA
## 2017-10-30 NA
## 2017-10-31 NA
## 2017-11-01 NA
## 2017-11-02 NA
## 2017-11-03 NA
## 2017-11-06 NA
## 2017-11-07 NA
## 2017-11-08 NA
## 2017-11-09 NA
## 2017-11-10 NA
## 2017-11-13 NA
## 2017-11-14 NA
## 2017-11-15 NA
## 2017-11-16 NA
## 2017-11-17 NA
## 2017-11-20 NA
## 2017-11-21 NA
## 2017-11-22 NA
## 2017-11-23 NA
## 2017-11-24 NA
## 2017-11-27 NA
## 2017-11-28 NA
## 2017-11-29 NA
## 2017-11-30 NA
## 2017-12-01 NA
## 2017-12-04 NA
## 2017-12-05 NA
## 2017-12-06 NA
## 2017-12-07 NA
## 2017-12-08 NA
## 2017-12-11 NA
## 2017-12-12 NA
## 2017-12-13 NA
## 2017-12-14 NA
## 2017-12-15 NA
## 2017-12-18 NA
## 2017-12-19 NA
## 2017-12-20 NA
## 2017-12-21 NA
## 2017-12-22 NA
## 2017-12-25 NA
## 2017-12-26 NA
## 2017-12-27 NA
## 2017-12-28 NA
## 2017-12-29 NA
## 2018-01-02 NA
## 2018-01-03 NA
## 2018-01-04 NA
## 2018-01-05 NA
## 2018-01-08 NA
## 2018-01-09 NA
## 2018-01-10 NA
## 2018-01-11 NA
## 2018-01-12 NA
## 2018-01-15 NA
## 2018-01-16 NA
## 2018-01-17 NA
## 2018-01-18 NA
## 2018-01-19 NA
## 2018-01-22 NA
## 2018-01-23 NA
## 2018-01-24 NA
## 2018-01-25 NA
## 2018-01-26 NA
## 2018-01-29 NA
## 2018-01-30 NA
## 2018-01-31 NA
## 2018-02-01 NA
## 2018-02-02 NA
## 2018-02-05 NA
## 2018-02-06 NA
## 2018-02-07 NA
## 2018-02-08 NA
## 2018-02-09 NA
## 2018-02-12 NA
## 2018-02-21 NA
## 2018-02-22 NA
## 2018-02-23 NA
## 2018-02-26 NA
## 2018-02-27 NA
## 2018-03-01 NA
## 2018-03-02 NA
## 2018-03-05 NA
## 2018-03-06 NA
## 2018-03-07 NA
## 2018-03-08 NA
## 2018-03-09 NA
## 2018-03-12 NA
## 2018-03-13 NA
## 2018-03-14 NA
## 2018-03-15 NA
## 2018-03-16 NA
## 2018-03-19 NA
## 2018-03-20 NA
## 2018-03-21 NA
## 2018-03-22 NA
## 2018-03-23 NA
## 2018-03-26 NA
## 2018-03-27 NA
## 2018-03-28 NA
## 2018-03-29 NA
## 2018-03-30 NA
## 2018-03-31 NA
## 2018-04-02 NA
## 2018-04-03 NA
## 2018-04-09 NA
## 2018-04-10 NA
## 2018-04-11 NA
## 2018-04-12 NA
## 2018-04-13 NA
## 2018-04-16 NA
## 2018-04-17 NA
## 2018-04-18 NA
## 2018-04-19 NA
## 2018-04-20 NA
## 2018-04-23 NA
## 2018-04-24 NA
## 2018-04-25 NA
## 2018-04-26 NA
## 2018-04-27 NA
## 2018-04-30 NA
## 2018-05-02 NA
## 2018-05-03 NA
## 2018-05-04 NA
## 2018-05-07 NA
## 2018-05-08 NA
## 2018-05-09 NA
## 2018-05-10 NA
## 2018-05-11 NA
## 2018-05-14 NA
## 2018-05-15 NA
## 2018-05-16 NA
## 2018-05-17 NA
## 2018-05-18 NA
## 2018-05-21 NA
## 2018-05-22 NA
## 2018-05-23 NA
## 2018-05-24 NA
## 2018-05-25 NA
## 2018-05-28 NA
## 2018-05-29 NA
## 2018-05-30 NA
## 2018-05-31 NA
## 2018-06-01 NA
## 2018-06-04 NA
## 2018-06-05 NA
## 2018-06-06 NA
## 2018-06-07 NA
## 2018-06-08 NA
## 2018-06-11 NA
## 2018-06-12 NA
## 2018-06-13 NA
## 2018-06-14 NA
## 2018-06-15 NA
## 2018-06-19 NA
## 2018-06-20 NA
## 2018-06-21 NA
## 2018-06-22 NA
## 2018-06-25 NA
## 2018-06-26 NA
## 2018-06-27 NA
## 2018-06-28 NA
## 2018-06-29 NA
## 2018-07-02 NA
## 2018-07-03 NA
## 2018-07-04 NA
## 2018-07-05 NA
## 2018-07-06 NA
## 2018-07-09 NA
## 2018-07-10 NA
## 2018-07-11 NA
## 2018-07-12 NA
## 2018-07-13 NA
## 2018-07-16 NA
## 2018-07-17 NA
## 2018-07-18 NA
## 2018-07-19 NA
## 2018-07-20 NA
## 2018-07-23 NA
## 2018-07-24 NA
## 2018-07-25 NA
## 2018-07-26 NA
## 2018-07-27 NA
## 2018-07-30 NA
## 2018-07-31 NA
## 2018-08-01 NA
## 2018-08-02 NA
## 2018-08-03 NA
## 2018-08-06 NA
## 2018-08-07 NA
## 2018-08-08 NA
## 2018-08-09 NA
## 2018-08-10 NA
## 2018-08-13 NA
## 2018-08-14 NA
## 2018-08-15 NA
## 2018-08-16 NA
## 2018-08-17 NA
## 2018-08-20 NA
## 2018-08-21 NA
## 2018-08-22 NA
## 2018-08-23 NA
## 2018-08-24 NA
## 2018-08-27 NA
## 2018-08-28 NA
## 2018-08-29 NA
## 2018-08-30 NA
## 2018-08-31 NA
## 2018-09-03 NA
## 2018-09-04 NA
## 2018-09-05 NA
## 2018-09-06 NA
## 2018-09-07 NA
## 2018-09-10 NA
## 2018-09-11 NA
## 2018-09-12 NA
## 2018-09-13 NA
## 2018-09-14 NA
## 2018-09-17 NA
## 2018-09-18 NA
## 2018-09-19 NA
## 2018-09-20 NA
## 2018-09-21 NA
## 2018-09-25 NA
## 2018-09-26 NA
## 2018-09-27 NA
## 2018-09-28 NA
## 2018-10-01 NA
## 2018-10-02 NA
## 2018-10-03 NA
## 2018-10-04 NA
## 2018-10-05 NA
## 2018-10-08 NA
## 2018-10-09 NA
## 2018-10-11 NA
## 2018-10-12 NA
## 2018-10-15 NA
## 2018-10-16 NA
## 2018-10-17 NA
## 2018-10-18 NA
## 2018-10-19 NA
## 2018-10-22 NA
## 2018-10-23 NA
## 2018-10-24 NA
## 2018-10-25 NA
## 2018-10-26 NA
## 2018-10-29 NA
## 2018-10-30 NA
## 2018-10-31 NA
## 2018-11-01 NA
## 2018-11-02 NA
## 2018-11-05 NA
## 2018-11-06 NA
## 2018-11-07 NA
## 2018-11-08 NA
## 2018-11-09 NA
## 2018-11-12 NA
## 2018-11-13 NA
## 2018-11-14 NA
## 2018-11-15 NA
## 2018-11-16 NA
## 2018-11-19 NA
## 2018-11-20 NA
## 2018-11-21 NA
## 2018-11-22 NA
## 2018-11-23 NA
## 2018-11-26 NA
## 2018-11-27 NA
## 2018-11-28 NA
## 2018-11-29 NA
## 2018-11-30 NA
## 2018-12-03 NA
## 2018-12-04 NA
## 2018-12-05 NA
## 2018-12-06 NA
## 2018-12-07 NA
## 2018-12-10 NA
## 2018-12-11 NA
## 2018-12-12 NA
## 2018-12-13 NA
## 2018-12-14 NA
## 2018-12-17 NA
## 2018-12-18 NA
## 2018-12-19 NA
## 2018-12-20 NA
## 2018-12-21 NA
## 2018-12-22 NA
## 2018-12-24 NA
## 2018-12-25 NA
## 2018-12-26 NA
## 2018-12-27 NA
## 2018-12-28 NAdata1$prices<-prices
class(data1$dates)## [1] "Date"data1$execution.price = prices
data1$weight[] = 1
buy.hold.1301 <- bt.run.share(data1, clean.signal=F, trade.summary = TRUE)## Latest weights :
## prices
## 2018-12-28 100
##
## Performance summary :
## CAGR Best Worst
## 9.1 5.4 -9.3 buy.hold.1301 <-bt.run(data1)## Latest weights :
## prices
## 2018-12-28 100
##
## Performance summary :
## CAGR Best Worst
## 9.1 5.4 -9.3 讀取sma 90天的資料。
sma1301<-SMA(prices, 90)
head(sma1301, 91)## SMA
## 2014-01-02 NA
## 2014-01-03 NA
## 2014-01-06 NA
## 2014-01-07 NA
## 2014-01-08 NA
## 2014-01-09 NA
## 2014-01-10 NA
## 2014-01-13 NA
## 2014-01-14 NA
## 2014-01-15 NA
## 2014-01-16 NA
## 2014-01-17 NA
## 2014-01-20 NA
## 2014-01-21 NA
## 2014-01-22 NA
## 2014-01-23 NA
## 2014-01-24 NA
## 2014-01-27 NA
## 2014-02-05 NA
## 2014-02-06 NA
## 2014-02-07 NA
## 2014-02-10 NA
## 2014-02-11 NA
## 2014-02-12 NA
## 2014-02-13 NA
## 2014-02-14 NA
## 2014-02-17 NA
## 2014-02-18 NA
## 2014-02-19 NA
## 2014-02-20 NA
## 2014-02-21 NA
## 2014-02-24 NA
## 2014-02-25 NA
## 2014-02-26 NA
## 2014-02-27 NA
## 2014-03-03 NA
## 2014-03-04 NA
## 2014-03-05 NA
## 2014-03-06 NA
## 2014-03-07 NA
## 2014-03-10 NA
## 2014-03-11 NA
## 2014-03-12 NA
## 2014-03-13 NA
## 2014-03-14 NA
## 2014-03-17 NA
## 2014-03-18 NA
## 2014-03-19 NA
## 2014-03-20 NA
## 2014-03-21 NA
## 2014-03-24 NA
## 2014-03-25 NA
## 2014-03-26 NA
## 2014-03-27 NA
## 2014-03-28 NA
## 2014-03-31 NA
## 2014-04-01 NA
## 2014-04-02 NA
## 2014-04-03 NA
## 2014-04-07 NA
## 2014-04-08 NA
## 2014-04-09 NA
## 2014-04-10 NA
## 2014-04-11 NA
## 2014-04-14 NA
## 2014-04-15 NA
## 2014-04-16 NA
## 2014-04-17 NA
## 2014-04-18 NA
## 2014-04-21 NA
## 2014-04-22 NA
## 2014-04-23 NA
## 2014-04-24 NA
## 2014-04-25 NA
## 2014-04-28 NA
## 2014-04-29 NA
## 2014-04-30 NA
## 2014-05-02 NA
## 2014-05-05 NA
## 2014-05-06 NA
## 2014-05-07 NA
## 2014-05-08 NA
## 2014-05-09 NA
## 2014-05-12 NA
## 2014-05-13 NA
## 2014-05-14 NA
## 2014-05-15 NA
## 2014-05-16 NA
## 2014-05-19 NA
## 2014-05-20 63.12522
## 2014-05-21 63.09878data1$weight[] <- iif(prices >= sma1301, 1, 0)
sma90.1301 <- bt.run(data1, trade.summary=T)## Latest weights :
## prices
## 2018-12-28 0
##
## Performance summary :
## CAGR Best Worst
## 4.1 4.8 -9.3 data1$weight[] <- iif(prices >= sma1301, 1, -1)
sma90.1301.short <- bt.run(data1, trade.summary=T)## Latest weights :
## prices
## 2018-12-28 -100
##
## Performance summary :
## CAGR Best Worst
## -2 6 -9.3 models.2<-list("SMA1301"= sma90.1301,
"SMA1301_short" = sma90.1301.short,
"BH 1301" = buy.hold.1301)第一、二張圖：
黑色線為SMA1301 1.22，紅色線為SMA1301_short 0.90，綠色線為BH 1301 1.54。並顯示出表格。
strategy.performance.snapshoot(models.2, T)
## NULL第三張圖：
顯示出Sharpe、DVR、Cagr、MaxDD四個的長條圖。
strategy.performance.snapshoot(models.2, control=list(comparison=T), sort.performance=T)
第四張圖：
顯示為表格。
plotbt.strategy.sidebyside(models.2, return.table=T)
## SMA1301 SMA1301_short
## Period "一月2014 - 十二月2018" "一月2014 - 十二月2018"
## Cagr "4.05" "-2"
## Sharpe "0.34" "-0.01"
## DVR "0.21" "0"
## Volatility "15.65" "19.45"
## MaxDD "-13.65" "-30.83"
## AvgDD "-3.98" "-12.17"
## VaR "-1.47" "-1.89"
## CVaR "-2.36" "-2.86"
## Exposure "64.77" "99.92"
## BH 1301
## Period "一月2014 - 十二月2018"
## Cagr "9.06"
## Sharpe "0.55"
## DVR "0.47"
## Volatility "19.44"
## MaxDD "-21.37"
## AvgDD "-4.05"
## VaR "-1.85"
## CVaR "-2.71"
## Exposure "99.92"library(ggplot2)
all.1301<-merge.xts(sma90.1301$equity,
sma90.1301.short$equity,
buy.hold.1301$equity)
colnames(all.1301)<-c("sma1301", "sma1301 short", "BH")
head(all.1301)## sma1301 sma1301 short BH
## 2014-01-02 1 1.000000 1.0000000
## 2014-01-03 1 1.003815 0.9961850
## 2014-01-06 1 1.010120 0.9899283
## 2014-01-07 1 1.017750 0.9824508
## 2014-01-08 1 1.022966 0.9774149
## 2014-01-09 1 1.012425 0.9874866all.1301.long<-fortify(all.1301, melt=T)
head(all.1301.long)## Index Series Value
## 1 2014-01-02 sma1301 1
## 2 2014-01-03 sma1301 1
## 3 2014-01-06 sma1301 1
## 4 2014-01-07 sma1301 1
## 5 2014-01-08 sma1301 1
## 6 2014-01-09 sma1301 1圖的標題為Cumulative returns of 1301s。
X軸為year，Y軸為cumulative returns。
粉紅色線為sma1301，綠色線為sma1301 short，藍色線為BH。
title = "Cumulative returns of 1301s"
p2 = ggplot(all.1301.long, aes(x = Index, y = Value)) +
geom_line(aes(linetype = Series, color = Series)) +
#geom_point(aes(shape = Series))+
xlab("year") + ylab("cumulative returns")+
ggtitle(title)
p2