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《【原创】r语言基于技术分析的关注度交易策略报告论文(附代码数据)》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、基于技术分析的关注度交易策略结果展现：策略1项目收益均值收益为正次数平均交易次数收益与最大回撤比值均值数值9.916474.562586.9%策略2项目收益均值收益为正次数平均交易次数收益与最大回撤比值均值数值11.047433.962478.9%策略3项目收益均值收益为正次数平均交易次数收益与最大回撤比值均值数值13.249493.1198.9%Code:#用paste命令构建路径变量dir##筛选出股票数据index=which(substr(a,1,4)=="SH60"
2、substr(a,1,4)=="SZ00");##
3、选取500支股票#关注度数据length(focus$yy)mas=240#设置时间为5天#读取收盘价数据par(mfrow=c(5,5))profitlist=list(0);##计算收益率dflist=list(0);##计算最大回撤maxbacklist=list(0);##计算夏普比率for(stockindexin3:30){cdata=merge.data[1:3000,stockindex]ldata=focus$AT#plot(cdata,type="l")#日收盘价Cash=0;#初始化资金Cash[star
4、tdate]=10000;price=0;#初始化总资金stockprice=0;#初始化股市投资stockprice=0;n=0profit=numeric(0);#初始化收益profit[startdate-1]=0;#i=475Cash[startdate+1]=Cash[startdate]for(iin(startdate+1):length(cdata)){stockprice[i]=n*(cdata[i]);profit[i]=stockprice[i]-stockprice[i-1]+Cash[i]-Cash[
5、i-1]#收益price[i]=stockprice[i]+Cash[i]#总资产if(is.na(ldata[i]))next;if(ldata[i]q_80){p=0.3;#如果高于关注度，设置买入股数的比率up=(cdata[i]-cdata[i-1])/(cdata[i-1])#计算涨幅if(up>=0.15)p=0.5if(up>=0.2)p
6、=1stockprice[i]=stockprice[i-1]+Cash[i]*p;#更新股价Cash[i+1]=Cash[i]-Cash[i]*p;#更新现金n=ceiling(stockprice[i]/cdata[i])#计算股数}else{stockprice[i]=stockprice[i-1]Cash[i+1]=Cash[i]n=ceiling(stockprice[i]/cdata[i])#计算股数}}}#绘制收益大于0的曲线profitindex=which(profit>0)#关注度曲线plot(ldata[
7、(startdate+1):length(cdata)],type="l")points(profitindex,ldata[sort(profitindex)],col="green")#5日均线lines(cdata[(startdate+1):length(cdata)]/10,col="red")#绘制收益曲线#plot(profit,type="b")profitlist[[stockindex-2]]=profit;#平均收益mean(na.omit(profit))#收益为正次数length(profitinde
8、x)#平均交易次数length(profit)/length(profitindex)#收益与最大回撤比值abs(mean((na.omit(profit))/(maxhc(cdata)*100)))#计算累计收益dflist[[stockindex-2]]=df(cdata)#最大回撤maxbacklist[[stockindex-2]]=maxhc(cdata)#夏普比率srv[[stockindex-2]]=sr(cdata,0.01)pricelist[[stockindex-2]]=price}#查看结果#绘制收益大
9、于0的曲线profitindex=which(profit>0)#关注度曲线plot(ldata[(startdate+1):length(cdata)],type="l")points(profitindex,ldata[sort(profitindex)],col="gr
