Financial 시계열 구하기
1.
Reading the financial time series data from the local CSV file
‘quantmod’ package loads xts & zoo package internally
이 경우 local file은 zoo 시계열로 읽기에 적절한 형태로 되어 있어야 함.
library(quantmod)## Warning: package 'quantmod' was built under R version 3.2.2## Loading required package: xts
## Loading required package: zoo
##
## Attaching package: 'zoo'
##
## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric
##
## Loading required package: TTR## Warning: package 'TTR' was built under R version 3.2.2## Version 0.4-0 included new data defaults. See ?getSymbols.# GSPC는 Yahoo Finance에서 sp500 ticker.
# First read csv file as zoo type, then transform it to xts. We can also
# read it as dataframe then transform it to xts.
GSPC <- as.xts(read.zoo('sp500.csv', header=T))
plot(GSPC) # "plot.xts" in called ## Warning in plot.xts(GSPC): only the univariate series will be plotted
2
Get the financial data from the Web. R은 여러 가지로 웹에서 financial 자료를
갖고 올 수 있게 한다.
library(tseries)
GSPC <- as.xts(get.hist.quote("^GSPC",start="1970-01-02", # 1970-01-02 ~ 오늘까지
quote=c("Open", "High", "Low", "Close","Volume","AdjClose")))## time series ends 2015-12-18str(GSPC)## An 'xts' object on 1970-01-02/2015-12-18 containing:
## Data: num [1:11599, 1:6] 92.1 93 93.5 92.8 92.6 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:6] "Open" "High" "Low" "Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## NULLGSPC <- as.xts(get.hist.quote("^GSPC", # get data from "yahoo" by default
start="2000-01-02", end='2010-12-31',
quote=c("Open", "High", "Low", "Close","Volume","AdjClose")))## time series starts 2000-01-03str(GSPC)## An 'xts' object on 2000-01-03/2010-12-31 containing:
## Data: num [1:2767, 1:6] 1469 1455 1399 1402 1403 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:6] "Open" "High" "Low" "Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## NULLhead(GSPC, 2)## Open High Low Close Volume AdjClose
## 2000-01-03 1469.25 1478.00 1438.36 1455.22 9.318e+08 1455.22
## 2000-01-04 1455.22 1455.22 1397.43 1399.42 1.009e+09 1399.42last(GSPC, 4)## Open High Low Close Volume AdjClose
## 2010-12-28 1259.10 1259.90 1256.22 1258.51 2478450000 1258.51
## 2010-12-29 1258.78 1262.60 1258.78 1259.78 2214380000 1259.78
## 2010-12-30 1259.44 1261.09 1256.32 1257.88 1970720000 1257.88
## 2010-12-31 1256.76 1259.34 1254.19 1257.64 1799770000 1257.64
“quantmod” 패키지의 “getSymbols” 함수를 사용해 Yahoo에서 데이터 수집
getSymbols('^GSPC') # get S&P 500 from "yahoo" by default ## As of 0.4-0, 'getSymbols' uses env=parent.frame() and
## auto.assign=TRUE by default.
##
## This behavior will be phased out in 0.5-0 when the call will
## default to use auto.assign=FALSE. getOption("getSymbols.env") and
## getOptions("getSymbols.auto.assign") are now checked for alternate defaults
##
## This message is shown once per session and may be disabled by setting
## options("getSymbols.warning4.0"=FALSE). See ?getSymbols for more details.## [1] "GSPC"getSymbols('^KS11', from='2010-01-01') # 코스피 종합주가지수 (KOSPI Composite Index) ## [1] "KS11"str(GSPC)## An 'xts' object on 2007-01-03/2015-12-18 containing:
## Data: num [1:2258, 1:6] 1418 1417 1418 1409 1413 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:6] "GSPC.Open" "GSPC.High" "GSPC.Low" "GSPC.Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## List of 2
## $ src : chr "yahoo"
## $ updated: POSIXct[1:1], format: "2015-12-21 01:31:22"head(GSPC)## GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume
## 2007-01-03 1418.03 1429.42 1407.86 1416.60 3429160000
## 2007-01-04 1416.60 1421.84 1408.43 1418.34 3004460000
## 2007-01-05 1418.34 1418.34 1405.75 1409.71 2919400000
## 2007-01-08 1409.26 1414.98 1403.97 1412.84 2763340000
## 2007-01-09 1412.84 1415.61 1405.42 1412.11 3038380000
## 2007-01-10 1408.70 1415.99 1405.32 1414.85 2764660000
## GSPC.Adjusted
## 2007-01-03 1416.60
## 2007-01-04 1418.34
## 2007-01-05 1409.71
## 2007-01-08 1412.84
## 2007-01-09 1412.11
## 2007-01-10 1414.85plot(GSPC) ## Warning in plot.xts(GSPC): only the univariate series will be plotted
str(KS11)## An 'xts' object on 2010-01-04/2015-12-18 containing:
## Data: num [1:1481, 1:6] 1682 1702 1698 1703 1694 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:6] "KS11.Open" "KS11.High" "KS11.Low" "KS11.Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## List of 2
## $ src : chr "yahoo"
## $ updated: POSIXct[1:1], format: "2015-12-21 01:31:22"plot(KS11)## Warning in plot.xts(KS11): only the univariate series will be plotted
# quantmod의 다른 함수들과 잘 쓸 수 있도록 OHLC filed 명칭을 변경
colnames(KS11) <- c("Open", "High", "Low", "Close","Volume","Adjusted")
chartSeries(KS11)
# 월봉으로 바꾸고, 상승을 붉은색, 하락을 파란색으로
chartSeries(to.monthly(KS11), theme=chartTheme('white',up.col='red',dn.col='blue'))
삼성전자 주가 추세를 Yahoo에서 수집
Samsung <- getSymbols("005930.KS", src="yahoo", from="2010-01-01", auto.assign = F)
colnames(Samsung) <- c("Open", "High", "Low", "Close","Volume","Adjusted")
head(Samsung)## Open High Low Close Volume Adjusted
## 2010-01-04 803000 809000 800000 809000 233300 775652.2
## 2010-01-05 826000 829000 815000 822000 531600 788116.4
## 2010-01-06 829000 841000 826000 841000 452400 806333.2
## 2010-01-07 841000 841000 813000 813000 428000 779487.4
## 2010-01-08 820000 821000 806000 821000 291100 787157.6
## 2010-01-11 821000 823000 797000 797000 386300 764146.9return_1 = Delt(Samsung$Close, k=1, type="arithmetic") # return of today compared to last day
str(return_1) # xts object ## An 'xts' object on 2010-01-04/2015-12-18 containing:
## Data: num [1:1541, 1] NA 0.01607 0.02311 -0.03329 0.00984 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr "Delt.1.arithmetic"
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## List of 2
## $ src : chr "yahoo"
## $ updated: POSIXct[1:1], format: "2015-12-21 01:31:24"summary(return_1)## Index Delt.1.arithmetic
## Min. :2010-01-04 Min. :-0.0745098
## 1st Qu.:2011-07-07 1st Qu.:-0.0099798
## Median :2013-01-02 Median : 0.0000000
## Mean :2012-12-30 Mean : 0.0004458
## 3rd Qu.:2014-06-27 3rd Qu.: 0.0096440
## Max. :2015-12-18 Max. : 0.0868810
## NA's :1plot(return_1)
Google Finance에서 financial data 갖고오기
http://stackoverflow.com/questions/20472376/quantmod-empty-dates-in-getsymbols-from-google
invisible(Sys.setlocale("LC_TIME", "C")) # For some; google에서 getSymbol 사용시 필요
KOSPI200 = getSymbols('KRX:KOSPI200', src="google", auto.assign = F,
from="2005-01-01") # 코스피200
str(KOSPI200)## An 'xts' object on 2005-01-03/2015-12-18 containing:
## Data: num [1:2720, 1:5] 116 115 113 114 114 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:5] "KRX:KOSPI200.Open" "KRX:KOSPI200.High" "KRX:KOSPI200.Low" "KRX:KOSPI200.Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## List of 2
## $ src : chr "google"
## $ updated: POSIXct[1:1], format: "2015-12-21 01:31:25"chartSeries(KOSPI200,theme="white")
chartSeries(to.weekly(KOSPI200), subset='2012-03::',
theme=chartTheme('white',up.col='red',dn.col='blue'))## Warning in to.period(x, "weeks", name = name, ...): missing values removed
## from data
Get financial data from Federal Reserve Economic Data (FRED) of Federal Reserve Bank of St.Louis.
# Unemploy_Rate = getSymbols("UNRATE",src="FRED", auto.assign = F) # unemployment rates from FRED.
# str(Unemploy_Rate)
# head(Unemploy_Rate) # 실업률은 월별로 되어있음
# chartSeries(Unemploy_Rate, theme="white") # Plot monthly unemployment ratesReading the data from a MySQL database
# library(RODBC)
# ch <- odbcConnect("QuotesDSN",uid="myusername",pwd="mypassword")
# allQuotes <- sqlFetch(ch,"gspc")
# GSPC <- xts(allQuotes[,-1],order.by=as.Date(allQuotes[,1]))
# head(GSPC)
# odbcClose(ch)
#
#
# library(DBI)
# library(RMySQL)
# drv <- dbDriver("MySQL")
# ch <- dbConnect(drv, dbname="Quotes","root","pass_wd")
# allQuotes <- dbGetQuery(ch,"select * from gspc")
# GSPC <- xts(allQuotes[,-1],order.by=as.Date(allQuotes[,1]))
# head(GSPC)
# dbDisconnect(ch)
# dbUnloadDriver(drv)'Learning & Reasoning > R ' 카테고리의 다른 글
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