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一个典型的分析流程 | ||||||||||
| Manage Data | Evaluate Data | Determine Trades | Size Trades | Calculate Performance | Analyze Performance | |||||
| 管理数据 | 评估数据 | 确定交易 | 交易大小 | 计算性能 | 分析性能 | |||||
| Types of Activities | ||||||||||
| 活动类型 | ||||||||||
| Connect to database | Calculate indicators | Estimate pretrade pricing | Optimize portfolio | Specify contract specs | Calculate returns and risk | |||||
| 连接到数据库 | 计算各项指标 | 估计交易前定价 | 优化投资组合 | 指定合同规范 | 计算首义和风险 | |||||
| Download historical data | Transform prices | Forecast return | Budget risk | Capture trades | Compare to benchmarks | |||||
| 下载历史数据 | 转换数据 | 预测回报 | 预测风险 | 采集交易 | 比较基准 | |||||
| Clean and align data | Estimate volatility | Evaluate rules | Calculate target position | Calculate positions | Provide attribution | |||||
| 清理和调整数据 | 估计波动 | 评估规则 | 计算目标位置 | 计算位置 | 提供归属 | |||||
| Graph prices and indicator | Calculate trailing volume | Generate signals | Calculate trade size | Calculate P&L | Analyze risk | |||||
| 图形数据和指标 | 计算尾随量 | 生成信号 | 计算交易规模 | 计算P&L | 风险分析 | |||||
| Evaluate trading costs | Aggregate portfolio | |||||||||
| 评估交易成本 | 聚合投资组合 | |||||||||
| Example R Packages | ||||||||||
| R语言程序包 | ||||||||||
| quantmod | TTR | quantstrat | lspm | blotter | Performance Analytics | |||||
| indexes | signal extraction | quantmod | Portfolio Analytics | Financial Instrument | ||||||
| RTAQ | … | |||||||||
| xts | ||||||||||
| … | ||||||||||
一个典型的分析流程.xlsx
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