README.md

In pawel-wieczynski/PolishStock: Analysis of WSE stocks and other assets.

WORK IN PROGRESS

Download and install package

if (!require('devtools')) install.packages('devtools')
devtools::install_git('https://github.com/TurboPavel/PolishStock')
library(PolishStock)

Example of use

stooq_download() - download historical data for indices WIG20 (Polish big-cap stocks), mWIG40 (Polish mid-cap stocks) and sWIG80 (Polish small-cap stocks) from https://stooq.pl/.

tickers <- c('wig20', 'mwig40', 'swig80')
sapply(tickers
       ,stooq_download
       ,start_date = 20190101
       ,end_date = 20211231
       ,destination = 'datasets\\')

##  wig20 mwig40 swig80 
##      0      0      0

df_prices() - create data frame of close prices

files <- list.files('datasets\\')
close_prices <- df_prices(files = files
                          ,source = 'datasets\\')
head(close_prices)

##            Date  MWIG40   SWIG80   WIG20
## 6942 2019-01-02 3947.26 10631.64 2301.62
## 6943 2019-01-03 3906.97 10576.79 2247.22
## 6944 2019-01-04 3926.99 10625.48 2284.95
## 6947 2019-01-07 3977.00 10714.52 2331.45
## 6948 2019-01-08 3994.23 10724.72 2325.19
## 6949 2019-01-09 4018.89 10812.82 2341.84

portfolio_returns() - given assets prices and portfolio weights calculate returns of portfolio portfolio.

weights <- c(0.40, 0.40, 0.20 )
pr <- portfolio_returns(close_prices, weights)

returns_diagnostics() - given portfolio returns fit normal and t-Student distribution, check autocorrelation.

returns_diagnostics(pr)

## [1] "p-value for Ljung-Box test for NA lags is equal 0.0014 which means returns are not stationary."
## [1] "p-value for ADF test is equal 0.01 which means returns are stationary."

value_at_risk() - calculate and visualize VaR of the portfolio.

value_at_risk(pr, method = 'historical')

## $VaR
## [1] -0.01411453
## 
## $ES
## [1] -0.02813612

pawel-wieczynski/PolishStock documentation built on March 23, 2022, 3:32 p.m.