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20130506 mldm monday intorduction to quantmod package
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20130506 mldm monday intorduction to quantmod package
1.
20130506 MLDM Monday Intorduction
to quantmod package by c3h3
2.
TW useR Group
& MLDM Monday ● http://www.meetup.com/Taiwan-useR-Group/ ● http://www.facebook.com/TaiwanUseRGroup/ ● http://www.youtube.com/user/TWuseRGroup/ ● http://tw.use-r.net/
3.
講題大綱 ● quantmod 基本元件 ●
quantmod 基本技巧 ● Visualization 小技巧 ● 交易系統簡介 ● 簡單的 MLDM 技巧運用
4.
本次演講適合初學者 請各位高手們忍耐一下囉!
5.
quantmod 基本元件
6.
quantmod 基本元件 ● zoo ●
xts ● TTR REF: http://www.rinfinance.com/RinFinance2009/pr esentations/xts_quantmod_workshop.pdf
7.
[Example1] 資料來源與畫圖:
8.
使用技術 ● Example1_getSymbols.R ● R ○
quantmod::getSymbols ○ quantmod::chartSeries ● Reference: ○ http://finance.yahoo.com/q?s=^gspc ○ http://www.quantmod.com/documentation /00Index.html
9.
Example1 ● 抓資料畫圖 ● 抓取台股資料遇到的問題 ●
指定變數 ● 存取 MySQL 中的資料 ○ 存入 MySQL ○ 讀取 MySQL ● 其他金融資料的取得 (費半指數,台幣.....)
10.
[Example2] 基本技術分析工具 ● REF: ○
http://cran.r-project.org/web/package s/TTR/TTR.pdf ○ http://cran.r-project.org/web/package s/xts/xts.pdf
11.
[Example2] 基本技術分析工具 ● Example2_TTR_demo.R ●
to.period (to.monthly ... ) ● addXXX ● runXXX
12.
[Example3] 事件標記 ● Example3_Cross_BBand_and_MA.R ○
diff ○ addTA
13.
[Example4] Find Max
and Min ● Example4_Find_Max_and_Min.R ○ addTA ○ Get_XTS_Local_Max ○ Get_XTS_Local_Min
14.
[Example5] K-means Clustering ●
行情分類 ● Example5_Kmeans.R ○ kmeans ○ layout ○ SubWin_Samplers.Forward_ Samplor
15.
[Example6] multiple plots ●
Example6_multiple_plots.R ○ 多圖作圖 ○ 作圖存檔
16.
預測事件: ● Labeling Events ●
Taking Features ● Make Predictions ● Re-search Labelers and Features
17.
交易之前......問問自己: ● 能操作的頻率 ● 想要作的行情類型 ●
能夠接受的風險 ● 自己是如何評估風險的? ● 自己評估的風險 VS 真實的風險
18.
自訂.....回家作業.....
19.
Q & A
20.
感謝大家
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