In chriszheng2016/ZStockModels: ZStockModels - Stock factors Models for China Stock Market Investment

library(tidyverse)
library(lubridate)
library(stringr)
library(fPortfolio)
library(ZStockModels)

# Set global options for knitr 
knitr::opts_chunk$set(
comment = "#>",
echo = FALSE,
warning = FALSE,
message = FALSE,
collapse = TRUE
)

options(tibble.print_min = 10L, tibble.print_max = 20L)

Data Preparation(数据准备)

Data tables in database(数据库所包含数据表)

# Open gta stock databse
stock_db <- stock_db(gta_db, "GTA_SQLData")
open_stock_db(stock_db)

# Initate the stock database
invisible(init_stock_db(stock_db))
stock_name_list  <- stock_name_list(stock_db)
stock_field_list <- stock_field_list(stock_db)

# Get names of all stock table from database   
 db_tables <- list_stock_tables(stock_db)
 knitr::kable(
  x = db_tables,
  caption = "Tables in GTA Stock Database",
  align = "l"
 )

Load return timeseris of market and stocks(加载市场与个股回报时间序列)

# load monthly return of stocks
ds_trd_mnth.df <- get_table_dataset(stock_db, 
                                    table_name = "TRD_Mnth_月个股回报率")
ds_stocks_mretwd.fts <- fetch_stock_field_dataset(ds_source.df = ds_trd_mnth.df,
                                                  stock_cd_list = stock_cd_list, 
                                                  replaceNA = "zeros",
                                                  target_field = "mretwd", 
                                                  date_field = "trdmnt")


# load montly return of market
ds_trd_cnmont.df <- get_table_dataset(stock_db, 
                                    table_name = "TRD_Cnmont_综合市场月度回报")
ds_market_cmretwdtl.fts <- fetch_stock_field_dataset(ds_source.df = ds_trd_cnmont.df,
                                                  stock_cd_list = stock_cd_list, 
                                                  replaceNA = "zeros",
                                                  target_field = "cmretwdtl", 
                                                  date_field = "trdmnt")

Build Portfolio(构建组合)

Backtest Portfolio(组合回测)

chriszheng2016/ZStockModels documentation built on May 11, 2019, 6:26 p.m.