期末报告第3题
郑晗昕
2022-06-24
read.csv(file = "BABA.csv", header = TRUE)## Date Open High Low Close Adj.Close Volume
## 1 2021/6/7 218.000 218.400 215.690 216.90 216.90 9928600
## 2 2021/6/8 217.290 218.230 214.740 215.82 215.82 9443000
## 3 2021/6/9 215.210 216.570 213.310 213.32 213.32 10233600
## 4 2021/6/10 213.500 214.800 212.210 213.07 213.07 10735900
## 5 2021/6/11 213.450 213.460 211.000 211.64 211.64 12276600
## 6 2021/6/14 212.250 215.165 212.244 213.94 213.94 10773100
## 7 2021/6/15 214.170 214.490 209.640 210.06 210.06 12167000
## 8 2021/6/16 209.750 211.620 208.226 209.32 209.32 10917800
## 9 2021/6/17 209.900 212.490 209.770 211.60 211.60 11233700
## 10 2021/6/18 212.010 213.840 210.590 212.30 212.30 13724600
## 11 2021/6/21 210.550 211.780 208.990 211.06 211.06 9273800
## 12 2021/6/22 210.420 211.660 209.860 211.32 211.32 11092100
## 13 2021/6/23 214.190 216.330 213.130 214.86 214.86 13785800
## 14 2021/6/24 216.990 219.580 215.560 218.38 218.38 13488200
## 15 2021/6/25 221.710 230.250 221.100 228.50 228.50 27383900
## 16 2021/6/28 229.500 230.890 226.720 228.59 228.59 13564900
## 17 2021/6/29 226.700 229.640 225.602 229.44 229.44 10273800
## 18 2021/6/30 226.990 227.980 225.680 226.78 226.78 9348600
## 19 2021/7/1 228.070 228.850 221.550 221.87 221.87 13316400
## 20 2021/7/2 219.160 219.500 216.460 217.75 217.75 12989200
## 21 2021/7/6 215.320 215.400 209.373 211.60 211.60 23719900
## 22 2021/7/7 211.610 212.050 207.820 208.00 208.00 18340400
## 23 2021/7/8 201.710 202.280 198.260 199.85 199.85 33992500
## 24 2021/7/9 202.050 207.268 201.500 205.94 205.94 16911300
## 25 2021/7/12 203.900 206.455 203.020 205.48 205.48 11259500
## 26 2021/7/13 209.230 212.810 208.190 209.51 209.51 17375900
## 27 2021/7/14 215.500 216.350 211.030 211.50 211.50 19484200
## 28 2021/7/15 215.110 216.600 213.161 214.76 214.76 14283600
## 29 2021/7/16 214.850 215.200 211.460 212.10 212.10 11150200
## 30 2021/7/19 206.100 209.080 203.240 208.91 208.91 15865800
## 31 2021/7/20 209.000 211.500 207.467 210.59 210.59 9986800
## 32 2021/7/21 209.150 211.850 208.420 211.08 211.08 7650300
## 33 2021/7/22 212.640 216.390 212.600 214.04 214.04 10563100
## 34 2021/7/23 206.290 206.890 203.560 206.53 206.53 25539900
## 35 2021/7/26 198.370 198.575 190.880 191.76 191.76 55736800
## 36 2021/7/27 183.590 186.900 179.670 186.07 186.07 59265700
## 37 2021/7/28 190.230 198.000 189.760 196.01 196.01 34535200
## 38 2021/7/29 201.045 201.140 194.910 197.54 197.54 23363200
## 39 2021/7/30 190.580 196.045 190.490 195.19 195.19 17250600
## 40 2021/8/2 196.270 202.070 196.250 200.09 200.09 17889200
## 41 2021/8/3 195.010 197.440 192.000 197.38 197.38 20115900
## 42 2021/8/4 197.490 203.275 196.910 200.71 200.71 22327300
## 43 2021/8/5 199.270 200.290 197.640 199.28 199.28 9881400
## 44 2021/8/6 199.250 199.320 195.680 196.39 196.39 11967700
## 45 2021/8/9 194.580 195.500 192.820 195.25 195.25 14657200
## 46 2021/8/10 197.270 198.450 195.073 195.73 195.73 9983700
## 47 2021/8/11 196.600 196.920 194.730 194.86 194.86 8985100
## 48 2021/8/12 191.170 192.980 189.685 191.66 191.66 12873400
## 49 2021/8/13 188.610 189.260 186.710 188.62 188.62 15377000
## 50 2021/8/16 185.000 186.260 181.510 182.71 182.71 21020700
## 51 2021/8/17 175.920 177.890 173.150 173.73 173.73 40558000
## 52 2021/8/18 174.100 175.360 172.110 172.35 172.35 34339800
## 53 2021/8/19 166.700 167.264 159.510 160.55 160.55 66663000
## 54 2021/8/20 164.120 166.930 155.500 157.96 157.96 75948900
## 55 2021/8/23 159.280 161.470 152.800 161.06 161.06 88699200
## 56 2021/8/24 169.040 174.152 168.158 171.70 171.70 62786400
## 57 2021/8/25 168.700 169.610 166.080 169.10 169.10 26055400
## 58 2021/8/26 167.460 168.450 164.820 165.24 165.24 18816500
## 59 2021/8/27 159.990 161.770 158.550 159.47 159.47 31718100
## 60 2021/8/30 160.170 163.290 158.230 162.29 162.29 23769400
## 61 2021/8/31 167.700 169.000 166.140 166.99 166.99 24629100
## 62 2021/9/1 169.560 174.790 169.330 173.28 173.28 29550200
## 63 2021/9/2 178.010 178.180 171.670 172.00 172.00 29302400
## 64 2021/9/3 169.525 172.060 168.880 170.30 170.30 16423500
## 65 2021/9/7 174.150 176.840 173.370 175.16 175.16 24608500
## 66 2021/9/8 174.250 174.370 169.260 170.71 170.71 18993000
## 67 2021/9/9 167.300 169.040 165.580 167.32 167.32 17295800
## 68 2021/9/10 171.200 171.640 167.610 168.10 168.10 15064300
## 69 2021/9/13 164.490 166.862 163.020 165.41 165.41 15458600
## 70 2021/9/14 162.860 163.069 159.480 160.15 160.15 20925900
## 71 2021/9/15 157.950 158.030 153.920 157.86 157.86 31796600
## 72 2021/9/16 154.920 157.639 153.670 156.26 156.26 24358900
## 73 2021/9/17 158.480 160.380 158.090 160.05 160.05 25489000
## 74 2021/9/20 154.400 155.140 149.090 151.49 151.49 36177500
## 75 2021/9/21 151.580 152.580 149.571 150.18 150.18 19494700
## 76 2021/9/22 151.470 154.000 151.020 151.89 151.89 19832000
## 77 2021/9/23 152.580 152.680 149.610 151.19 151.19 24707500
## 78 2021/9/24 147.710 148.000 144.570 145.08 145.08 32067400
## 79 2021/9/27 144.920 150.990 144.440 150.18 150.18 24287400
## 80 2021/9/28 152.160 153.730 148.860 152.39 152.39 26299600
## 81 2021/9/29 150.460 152.100 147.480 147.58 147.58 17361300
## 82 2021/9/30 147.030 149.580 146.864 148.05 148.05 14291500
## 83 2021/10/1 147.090 148.450 143.340 144.20 144.20 20211000
## 84 2021/10/4 141.700 141.900 138.430 139.63 139.63 25218500
## 85 2021/10/5 139.380 143.830 139.190 143.14 143.14 14032100
## 86 2021/10/6 140.560 144.892 139.960 144.10 144.10 14875900
## 87 2021/10/7 151.050 158.290 150.750 156.00 156.00 46035900
## 88 2021/10/8 159.860 162.780 157.910 161.52 161.52 33499200
## 89 2021/10/11 169.610 169.800 163.950 163.95 163.95 42193600
## 90 2021/10/12 163.825 165.730 162.240 163.00 163.00 24512700
## 91 2021/10/13 164.380 168.265 163.600 167.40 167.40 18595000
## 92 2021/10/14 168.260 168.990 164.460 166.78 166.78 17403700
## 93 2021/10/15 166.990 169.800 165.435 168.00 168.00 20762800
## 94 2021/10/18 166.580 169.250 166.580 166.82 166.82 18945900
## 95 2021/10/19 170.600 177.440 170.450 177.00 177.00 33538900
## 96 2021/10/20 180.950 182.090 176.130 177.18 177.18 33714400
## 97 2021/10/21 177.000 179.780 176.710 177.42 177.42 16444000
## 98 2021/10/22 179.080 182.090 175.810 177.70 177.70 20807300
## 99 2021/10/25 177.860 178.280 173.830 176.17 176.17 13119700
## 100 2021/10/26 174.480 174.900 167.480 169.99 169.99 17577000
## 101 2021/10/27 167.530 172.450 167.340 169.23 169.23 11801800
## 102 2021/10/28 168.490 170.350 166.770 169.79 169.79 12440100
## 103 2021/10/29 167.070 168.560 162.720 164.94 164.94 17155400
## 104 2021/11/1 165.840 171.895 165.800 170.17 170.17 17609500
## 105 2021/11/2 167.100 167.100 162.760 162.90 162.90 19072900
## 106 2021/11/3 165.360 166.650 163.110 166.24 166.24 13569700
## 107 2021/11/4 169.280 169.940 164.500 164.79 164.79 16669200
## 108 2021/11/5 164.795 164.795 158.300 158.73 158.73 22098200
## 109 2021/11/8 161.765 162.160 159.480 162.16 162.16 16223100
## 110 2021/11/9 162.160 164.480 159.540 160.19 160.19 14010100
## 111 2021/11/10 163.680 166.480 161.820 163.97 163.97 17216800
## 112 2021/11/11 166.560 169.630 166.560 167.85 167.85 16747500
## 113 2021/11/12 165.174 167.800 163.400 166.81 166.81 13741800
## 114 2021/11/15 167.220 168.460 165.670 166.54 166.54 9655700
## 115 2021/11/16 168.600 169.940 166.670 168.43 168.43 11887500
## 116 2021/11/17 168.020 168.300 161.135 161.58 161.58 18829500
## 117 2021/11/18 146.910 148.500 141.890 143.60 143.60 61571500
## 118 2021/11/19 143.040 145.060 140.000 140.34 140.34 28575700
## 119 2021/11/22 139.900 140.700 135.210 136.62 136.62 26390400
## 120 2021/11/23 136.032 136.850 133.310 133.66 133.66 24102900
## 121 2021/11/24 133.100 136.760 131.220 136.52 136.52 20010400
## 122 2021/11/26 132.930 133.980 131.220 133.35 133.35 14814900
## 123 2021/11/29 134.250 134.550 130.550 131.61 131.61 18648900
## 124 2021/11/30 129.901 131.320 126.130 127.53 127.53 32625400
## 125 2021/12/1 128.370 129.155 121.900 122.49 122.49 29203800
## 126 2021/12/2 123.020 125.000 119.340 122.00 122.00 34478600
## 127 2021/12/3 118.000 118.190 108.700 111.96 111.96 70266500
## 128 2021/12/6 113.640 123.820 113.430 123.60 123.60 43111400
## 129 2021/12/7 129.300 129.450 123.460 125.54 125.54 38542800
## 130 2021/12/8 123.210 126.970 121.320 125.08 125.08 22275000
## 131 2021/12/9 124.630 127.760 123.212 123.91 123.91 23499300
## 132 2021/12/10 123.220 125.210 122.780 125.06 125.06 15008300
## 133 2021/12/13 123.000 123.250 119.750 122.24 122.24 15820500
## 134 2021/12/14 120.930 127.650 120.300 126.58 126.58 17691500
## 135 2021/12/15 122.630 123.590 117.770 122.47 122.47 24893500
## 136 2021/12/16 122.320 125.690 118.900 120.25 120.25 22533400
## 137 2021/12/17 119.490 122.870 117.810 122.10 122.10 19781100
## 138 2021/12/20 118.500 118.830 113.695 115.00 115.00 23970500
## 139 2021/12/21 116.850 122.980 116.600 122.98 122.98 18036300
## 140 2021/12/22 117.090 118.660 115.150 117.81 117.81 24502000
## 141 2021/12/23 116.800 119.590 115.390 118.66 118.66 17563300
## 142 2021/12/27 117.800 121.800 116.102 116.59 116.59 17864400
## 143 2021/12/28 116.260 116.420 114.470 114.80 114.80 17052100
## 144 2021/12/29 113.800 114.200 110.380 112.09 112.09 21100500
## 145 2021/12/30 112.630 124.300 112.300 122.99 122.99 45437100
## 146 2021/12/31 121.230 122.910 118.590 118.79 118.79 24287000
## 147 2022/1/3 119.380 121.950 115.820 120.38 120.38 16775300
## 148 2022/1/4 119.530 120.870 115.770 119.56 119.56 20824000
## 149 2022/1/5 118.000 126.620 117.700 121.16 121.16 36651100
## 150 2022/1/6 124.260 128.400 123.465 126.63 126.63 32045800
## 151 2022/1/7 130.240 133.880 128.180 129.81 129.81 38113000
## 152 2022/1/10 131.990 132.600 126.230 128.30 128.30 23372200
## 153 2022/1/11 129.210 134.230 127.470 132.19 132.19 23616400
## 154 2022/1/12 136.020 138.700 135.585 137.41 137.41 25961100
## 155 2022/1/13 135.200 135.920 131.300 131.37 131.37 19887700
## 156 2022/1/14 132.810 134.360 129.350 131.57 131.57 18614900
## 157 2022/1/18 126.270 132.130 124.820 128.60 128.60 26122200
## 158 2022/1/19 128.100 130.860 127.130 127.74 127.74 14665200
## 159 2022/1/20 135.770 136.750 130.680 131.03 131.03 28966400
## 160 2022/1/21 128.230 128.960 122.521 123.23 123.23 26341400
## 161 2022/1/24 119.320 120.780 115.320 120.37 120.37 28509300
## 162 2022/1/25 119.910 122.460 118.040 119.14 119.14 22224100
## 163 2022/1/26 120.930 120.930 112.962 113.37 113.37 27513200
## 164 2022/1/27 113.110 114.540 110.270 111.79 111.79 21472700
## 165 2022/1/28 113.250 115.320 110.060 115.23 115.23 18892400
## 166 2022/1/31 118.170 125.870 117.500 125.79 125.79 20346500
## 167 2022/2/1 124.810 128.000 122.970 127.22 127.22 15036100
## 168 2022/2/2 127.630 127.630 121.170 122.88 122.88 14050100
## 169 2022/2/3 121.550 125.270 120.730 123.47 123.47 16651500
## 170 2022/2/4 121.270 123.940 119.660 122.22 122.22 13538200
## 171 2022/2/7 116.100 116.550 113.600 114.82 114.82 28589200
## 172 2022/2/8 118.160 122.240 116.800 121.90 121.90 22340500
## 173 2022/2/9 123.090 126.800 121.940 126.50 126.50 18253600
## 174 2022/2/10 124.110 128.340 123.400 123.98 123.98 16116600
## 175 2022/2/11 125.335 126.720 121.940 122.25 122.25 13889900
## 176 2022/2/14 120.560 122.384 119.370 121.92 121.92 13154900
## 177 2022/2/15 123.770 126.805 123.378 126.24 126.24 14634700
## 178 2022/2/16 125.610 127.580 124.510 125.56 125.56 17993300
## 179 2022/2/17 125.000 129.400 124.056 124.43 124.43 15906000
## 180 2022/2/18 120.880 120.880 117.200 118.99 118.99 21201400
## 181 2022/2/22 114.000 114.850 112.060 112.93 112.93 21755100
## 182 2022/2/23 115.100 115.400 109.600 109.72 109.72 24489200
## 183 2022/2/24 100.074 108.950 100.020 108.93 108.93 35294700
## 184 2022/2/25 107.890 108.550 104.000 107.94 107.94 21428400
## 185 2022/2/28 105.970 107.490 103.640 105.19 105.19 23063500
## 186 2022/3/1 105.850 111.250 105.850 107.09 107.09 21218500
## 187 2022/3/2 107.390 107.390 103.240 105.42 105.42 20791800
## 188 2022/3/3 106.030 106.630 101.070 102.05 102.05 21725900
## 189 2022/3/4 100.290 104.390 99.330 100.60 100.60 24574700
## 190 2022/3/7 99.560 103.360 98.600 98.66 98.66 20679400
## 191 2022/3/8 99.320 100.910 95.570 97.50 97.50 23275500
## 192 2022/3/9 100.260 100.970 98.320 100.93 100.93 20853600
## 193 2022/3/10 95.190 95.700 90.820 92.92 92.92 37671200
## 194 2022/3/11 93.260 93.950 86.680 86.71 86.71 39341800
## 195 2022/3/14 80.700 82.450 77.080 77.76 77.76 69992600
## 196 2022/3/15 75.100 80.140 73.280 76.76 76.76 86209300
## 197 2022/3/16 92.000 105.740 87.120 104.98 104.98 159834300
## 198 2022/3/17 99.140 101.890 95.770 100.37 100.37 80663200
## 199 2022/3/18 100.500 111.740 99.600 108.30 108.30 83781800
## 200 2022/3/21 102.810 105.680 98.700 103.59 103.59 58882900
## 201 2022/3/22 114.010 118.240 112.370 114.99 114.99 88193400
## 202 2022/3/23 115.700 124.111 112.680 117.24 117.24 81605700
## 203 2022/3/24 112.860 116.500 110.820 115.15 115.15 55850200
## 204 2022/3/25 110.530 113.860 109.400 112.99 112.99 42396500
## 205 2022/3/28 113.860 116.230 111.920 115.09 115.09 30168000
## 206 2022/3/29 118.360 119.600 115.740 116.71 116.71 28060900
## 207 2022/3/30 115.540 120.102 115.540 116.58 116.58 28381700
## 208 2022/3/31 115.030 115.090 108.710 108.80 108.80 31240200
## 209 2022/4/1 117.620 118.950 109.750 110.20 110.20 55873000
## 210 2022/4/4 115.700 118.220 113.375 117.50 117.50 39088500
## 211 2022/4/5 115.000 115.000 110.230 111.00 111.00 35226000
## 212 2022/4/6 109.240 109.470 106.120 107.68 107.68 23739800
## 213 2022/4/7 106.680 107.530 102.610 104.27 104.27 26814300
## 214 2022/4/8 104.480 106.470 103.329 103.53 103.53 20814900
## 215 2022/4/11 101.090 103.920 99.160 101.55 101.55 23504100
## 216 2022/4/12 101.180 102.330 99.390 99.75 99.75 23953600
## 217 2022/4/13 99.240 101.350 98.210 100.03 100.03 18330400
## 218 2022/4/14 97.290 99.271 95.305 95.49 95.49 20931200
## 219 2022/4/18 93.770 95.280 91.820 94.71 94.71 19159200
## 220 2022/4/19 92.290 93.950 90.950 93.50 93.50 23870000
## 221 2022/4/20 93.480 93.700 89.270 89.41 89.41 20949700
## 222 2022/4/21 89.550 90.010 85.400 85.99 85.99 25639000
## 223 2022/4/22 86.500 90.680 86.311 86.49 86.49 25130300
## 224 2022/4/25 82.700 86.170 81.800 85.84 85.84 24674000
## 225 2022/4/26 85.870 86.240 83.280 83.99 83.99 21194600
## 226 2022/4/27 85.320 89.410 84.780 88.32 88.32 29351600
## 227 2022/4/28 88.620 90.980 86.940 90.91 90.91 17707500
## 228 2022/4/29 101.530 103.520 96.660 97.09 97.09 44933400
## 229 2022/5/2 96.410 101.320 95.150 101.21 101.21 25479500
## 230 2022/5/3 100.130 102.690 99.430 100.38 100.38 15216100
## 231 2022/5/4 97.720 101.570 96.610 101.41 101.41 17740600
## 232 2022/5/5 97.940 98.470 94.050 94.64 94.64 18673100
## 233 2022/5/6 93.360 93.860 88.710 90.05 90.05 18568600
## 234 2022/5/9 86.955 88.600 84.430 84.84 84.84 23338600
## 235 2022/5/10 88.640 88.640 83.510 84.57 84.57 23400900
## 236 2022/5/11 85.510 87.520 81.470 81.73 81.73 24962400
## 237 2022/5/12 80.680 83.120 78.010 81.09 81.09 23833100
## 238 2022/5/13 82.120 88.360 82.000 87.99 87.99 20078400
## 239 2022/5/16 87.700 89.080 86.340 86.48 86.48 19644800
## 240 2022/5/17 92.750 94.480 89.540 91.99 91.99 27330300
## 241 2022/5/18 90.000 91.640 87.000 87.31 87.31 18991300
## 242 2022/5/19 86.180 90.090 85.740 87.69 87.69 20776400
## 243 2022/5/20 88.700 90.170 84.730 86.79 86.79 21020800
## 244 2022/5/23 87.060 87.415 84.760 87.23 87.23 13998200
## 245 2022/5/24 84.990 85.120 81.540 82.47 82.47 15214400
## 246 2022/5/25 83.720 84.070 81.070 82.31 82.31 23093700
## 247 2022/5/26 87.300 95.090 86.730 94.48 94.48 50825000
## 248 2022/5/27 92.210 94.500 90.370 93.41 93.41 26716000
## 249 2022/5/31 98.330 99.320 95.450 96.05 96.05 33790000
## 250 2022/6/1 95.900 96.930 91.880 93.38 93.38 23730900
## 251 2022/6/2 93.670 97.630 93.400 97.50 97.50 23228100
## 252 2022/6/3 95.150 96.000 93.023 93.21 93.21 15840000
## 253 2022/6/6 99.640 102.420 97.915 99.01 99.01 31847336R Markdown
This is an R Markdown document. Markdown is a simple formatting syntax for authoring HTML, PDF, and MS Word documents. For more details on using R Markdown see http://rmarkdown.rstudio.com.
When you click the Knit button a document will be generated that includes both content as well as the output of any embedded R code chunks within the document. You can embed an R code chunk like this:
evaluate <- function(PARAM, minVal = NA, maxVal = NA, y = 2014,
transform = FALSE, verbose = FALSE,
negative = FALSE, transformOnly = FALSE,
returnData = FALSE, accountParams = NULL){
# Step 1
# Convert and declare parameters if they exist on unbounded (-inf,inf) domain
if( transform | transformOnly ){
PARAM <- minVal +
(maxVal - minVal) * unlist(lapply( PARAM, function(v) (1 + exp(-v))^(-1) ))
if( transformOnly ){
}
}
return(PARAM)
} ## 修改
# Declare bounds and step size for optimization
lowerBound <- c(n1 = 5, nFact = 3, nSharpe = 22, shThresh = 0.05)
upperBound <- c(n1 = 80, nFact = 3, nSharpe = 22, shThresh = 0.95)
stepSize <- c(n1 = 5, nFact = 1, nSharpe = 1, shThresh = 0.05)
pnames <- names(stepSize)
np <- length(pnames)
# Declare list of all test points
POINTS <- list()
for( p in pnames ){
POINTS[[p]] <- seq(lowerBound[[p]], upperBound[[p]], stepSize[[p]])
}
OPTIM <- data.frame(matrix(NA, nrow = prod(unlist(lapply(POINTS, length))),
ncol = np + 1))
names(OPTIM)[1:np] <- names(POINTS)
names(OPTIM)[np+1] <- "obj"
# Store all possible combinations of parameters
for( i in 1:np ){
each <- prod(unlist(lapply(POINTS, length))[-(1:i)])
times <- prod(unlist(lapply(POINTS, length))[-(i:length(pnames))])
OPTIM[,i] <- rep(POINTS[[pnames[i]]], each = each, times = times)
}
# Test each row of OPTIM
timeLapse <- proc.time()[3]
for( i in 1:nrow(OPTIM) ){
OPTIM[i,np+1] <- evaluate(OPTIM[i,1:np], transform = FALSE, y = 2014)
cat(paste0("## ", floor( 100 * i / nrow(OPTIM)), "% complete\n"))
cat(paste0("## ",
round( ((proc.time()[3] - timeLapse) *
((nrow(OPTIM) - i)/ i))/60, 2),
" minutes remaining\n\n"))
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wireframe(obj ~ n1*shThresh, data = OPTIM,
xlab = "n1", ylab = "shThresh",
main = "Long-Only MACD Exhaustive Optimization",
drape = TRUE,
colorkey = TRUE,
screen = list(z = 15, x = -60)
)
levelplot(obj ~ n1*shThresh, data = OPTIM,
xlab = "n1", ylab = "shThresh",
main = "Long-Only MACD Exhaustive Optimization"
)