quantmod | Quantitative Financial Modelling Framework | Cryptocurrency library
kandi X-RAY | quantmod Summary
kandi X-RAY | quantmod Summary
quantmod is an R package that provides a framework for quantitative financial modeling and trading. It provides a rapid prototyping environment that makes modeling easier by removing the repetitive workflow issues surrounding data management and visualization.
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Community Discussions
Trending Discussions on quantmod
QUESTION
So I'm relatively new in R and I was wondering what's wrong with my loop forecasting multi-step time series.
I first have this loop to mimic the information set at time τ and estimate the models based on a rolling window of 1000 observation and make a one-step-ahead out-of-sample forecast with 726 out-of-sample observations.
...ANSWER
Answered 2022-Apr-05 at 01:12I finally found the solution by myself, here it is for those who will encounter this problem :
QUESTION
I am beginner to R and was hoping to have ideas for making a loop.
I would like to automate the following for each observation out of 726 observation making a 5 ahead out-of-sample forecast based on a rolling window of 1000 obsv, storing only the t+5 in the "pred" column and then reset the "VIX.Close" column to his original values.
...ANSWER
Answered 2022-Apr-03 at 14:39My understanding is the following:
you first run the loop on each of the five sets of observations, with an IF statement for when you reach the final iteration which goes into the
pred
column instead ofVIX.close
you keep the reset of VIX.close outside of the for loop, otherwise it would have reset with each iteration
QUESTION
I'm running the Getting options chain for multiple tickers but something is wrong with the expiration date for multiple tickers.
Here's a sample code:
...ANSWER
Answered 2022-Mar-31 at 17:20You need to provide the expiry date for each one of your tickers. The following code works:
QUESTION
I have a 10 year dataset from Tesla returns (2 day difference percentage)
...ANSWER
Answered 2022-Mar-12 at 16:10Use na.locf0 which stands for last occurrence carried forward. Below we have simplified the code. Omit facet = NULL if you want separate panels. The code below does not use dplyr so you can write just lag in place of stats::lag if you don't have dplyr loaded. (dplyr clobbers R's lag with its own incompatible version.)
QUESTION
I am having difficulty understanding why the apply.quarterly()
function is not really giving me the quarterly returns and returning NA and why my diff(log())
function is also not working with FRED data. Perhaps I am doing something wrong but I cannot really understand what. Could someone help me understand or fix this issue?
The code I use:
...ANSWER
Answered 2022-Feb-14 at 22:07Make these changes:
- do not convert the xts objects to data frames
- suggest not using setDefaults
- n, ns and nd are not used and those lines are dropped.
- add na.rm = TRUE to mean
- use Ad(...) to extract the adjusted column
- have cleaned up formatting
This gives
QUESTION
How do I add legends to my plot below?
...ANSWER
Answered 2021-Dec-17 at 02:53If you convert portfolioPrices to a dataframe then add each line separately you can add a legend.
The following code doesn't create the best looking plot/legend but you could improve it by playing about with the legend/plot arguments.
Also, the lines could be added using a loop rather than being hard-coded.
QUESTION
I have a data set something like this:
value <- data.frame(Country = c('AUS', 'AUT', 'GBR'), amount = c(200, 150, 300))
every amount is given in the respectives country currency. So 200 in Aus. Dollar, 150 in Euro and 300 in Pound. What I want at the end is every number converted to the same currency, let's say Euro.
I already found something like library(quantmod)
but this only helps with conversion. So I would need to get the currency first only from the country code.
Any Ideas?
...ANSWER
Answered 2022-Jan-18 at 16:46We can use the countrycode
package to convert ISO3 country codes into the relevant ISO4217 currency codes, then use priceR
to use that to convert each currency to a single one, Euros in this example.
Let's first get the currency code.
QUESTION
I am trying to build a candlestick chart with quantmod and highcharter package. Building the chart is super easy.
...ANSWER
Answered 2022-Jan-16 at 05:15Found the solution. I need to use the upColor
argument.
QUESTION
I have the following data frame, and try to calculate the returns for each company by using Delt(Adjusted). I have to group by company, so the returns are correct when the row switches to another company and another adjusted price.
I try this code:
...ANSWER
Answered 2021-Oct-21 at 08:48You cannot use all functions in a pipe. If you want to calculate returns use either:
QUESTION
"Method" getSymbols.yahoo
allows putting a vector in lieu of the Symbols
argument allowing the download of several tickers without using a loop:
ANSWER
Answered 2021-Oct-06 at 15:14Use Map
to pass one element at a time from each vector to the function.
Community Discussions, Code Snippets contain sources that include Stack Exchange Network
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Install quantmod
Windows
MacOS (the R for Mac OS X Developer's Page might also be helpful)
Unix-alike
It is possible to import data from a variety of sources with one quantmod function: getSymbols(). For example:.
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