specifyModel: Specify Model Formula For quantmod Process

In quantmod: Quantitative Financial Modelling Framework

Specify Model Formula For quantmod Process

Description

Create a single reusable model specification for subsequent buildModel calls. An object of class quantmod is created that can be then be reused with different modelling methods and parameters. No data frame is specified, as data is retrieved from potentially multiple environments, and internal calls to getSymbols.

Usage

specifyModel(formula, na.rm=TRUE)

Arguments

formula	an object of class formula (or one that can be coerced to that class): a symbolic description of the model to be fitted. The details of model specifcation are given under Details.
na.rm	remove all incomplete rows.

Details

Models are specified through the standard formula mechanism.

As financial models may include a variety of financial and economic indicators, each differing in source, frequency, and/or class, a single mechanism to specify sources is included within a call to specifyModel. See getModelData for details of how this process works.

Currently, objects of class quantmod.OHLC, zoo and ts are supported within the model formula.

All symbols are first retrieved from the global environment, without inheritence. If an object is not found in the global environment, it is added to a list of objects to load through the getSymbols function. getSymbols retrieves each object specified by using information as to its location specified apriori via setDefaults or setSymbolLookup.

Internally all data is coerced to zoo,data.frame, or numeric classes.

Value

Returns an object of class quantmod. Use modelData to extract full data set as zoo object.

Note

It is possible to include any supported series in the formula by simply specifying the object's symbol. See *Details* for a list of currently supported classes.

Use getSymbols.skeleton to create additional methods of data sourcing, e.g. from a proprietary data format or currently unimplemented source (Bloomberg, Oracle).

See getSymbols.MySQL and getSymbols.yahoo for examples of adding additional functionality

Author(s)

Jeffrey Ryan

References

quantmod.com http://www.quantmod.com

See Also

getModelData,getSymbols, buildModel,tradeModel,formula setSymbolLookup

Examples

## Not run: 
# if QQQ is not in the Global environment, an attempt will be made
# to retrieve it from the source specified with getSymbols.Default

specifyModel(Next(OpCl(QQQ)) ~ Lag(OpHi(QQQ),0:3) + Hi(DIA))

## End(Not run)

quantmod documentation built on May 29, 2024, 8:03 a.m.