R：动量策略

 

 

szcode=read.table("clipboard",header=T)#上证代码
sccode=read.table("clipboard",header=T)#深证代码
zxcode=read.table("clipboard",header=T)#中小代码

code=paste0(szcode[,1],".ss")
Z=paste0("A",1:length(code))
price=list()
for(i in 1:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src='yahoo'))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i]]=monthlyReturn(Ad(na.approx(STOCK)))
}

for(i in 500:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src='yahoo'))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-1]]=monthlyReturn(Ad(na.approx(STOCK)))
}

for(i in 807:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src='yahoo'))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-2]]=monthlyReturn(Ad(na.approx(STOCK)))
}

for(i in 957:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src='yahoo'))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-4]]=monthlyReturn(Ad(na.approx(STOCK)))
}

for(i in 1123:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src='yahoo'))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-6]]=monthlyReturn(Ad(na.approx(STOCK)))
}

for(i in 1162:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src='yahoo'))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-7]]=monthlyReturn(Ad(na.approx(STOCK)))
}

for(i in 1259:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src='yahoo'))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-8]]=monthlyReturn(Ad(na.approx(STOCK)))
}

for(i in 1370:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src='yahoo'))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-9]]=monthlyReturn(Ad(na.approx(STOCK)))
}

for(i in 1440:length(code)){
  name=code[i]
  from=szcode[i,3]
  setSymbolLookup(STOCK=list(name=name,src='yahoo'))
  getSymbols("STOCK",from=from,to="2020-01-01")
  price[[i-11]]=monthlyReturn(Ad(na.approx(STOCK)))
}

p=price[[1]]
for(i in 2:length(price)){
  a=price[[i]]
  p=merge.xts(p,a,join="outer")
}

pp=tk_tbl(p)
ppp=tk_xts(pp,silent=T)
m=pp %>%
  tq_mutate(mutate_fun = rollapply,
            width      = 10,
            FUN        = sum,
            by.column  = TRUE,
            col_rename = paste0("history",1:1488))
mm=tk_xts(m,silent=T)
history=mm[,1489:2976]
return=mm[,1:1488]
nh=history-return
x=merge.xts(history,nh,type="outer")
xx=as.matrix(x)
h=na.approx(x[,1:1488])
r=na.approx(x[,1489:2976])
hh=na.approx(xx[,1:1488])
rr=na.approx(xx[,1489:2976])
for(i in 1:nrow(hh)){
  m=matrix(nrow=2,ncol=ncol(hh))
  m[1,]=rr[i,]
  m[2,]=hh[i,]
  mm=t(m)
  mm=tk_tbl(mm)
  colnames(mm)=c("returns","historyr")
  assign(paste0("perform",i),arrange(mm,desc(historyr)))
}

avr=vector(length=323)
num=vector(length=323)
for(j in 1:323){
  cr=0
  t=get(paste0("perform",j))
  t=as.matrix(t)
  numh=1488-sum(is.na(t[,2]))
  numr=1488-sum(is.na(t[,1]))
  for(i in 1:numh){
    num[j]=floor(numh/10)
    if(t[i,2]>quantile(t[1:numh,2],0.9)){
      cr=cr+t[i,1]
    }
    else{0}
  }
  avr[j]=cr/num[j]
}
avr=data.frame(avr)
num=data.frame(num)
ggplot(data = avr) +
  geom_line(mapping = aes(x=index(h),y = avr),color="blue")
ggplot(data = num) +
  geom_line(mapping = aes(x=index(h),y = num),color="blue")


avr=vector(length=323)
num=vector(length=323)
for(j in 1:323){
  t=get(paste0("perform",j))
  t=as.matrix(t)
  numh=1488-sum(is.na(t[,2]))
  numr=1488-sum(is.na(t[,1]))
  num[j]=floor(numh/10)
  cr=sum(t[1:num[j],1])
  avr[j]=cr/num[j]
}