Financial Trading with R培训

课程编码

rfintrading

课程时长

21 小时 通常来说是3天,包括中间休息。

要求

  • A basic understanding of finance concepts
  • A solid grasp of mathematics
  • Basic programming experience

课程概览

R是金融行业中流行的编程语言。它用于从核心交易程序到风险管理系统的金融应用程序。

在这个以讲师为主导的现场培训中,参与者将学习金融交易的基础知识,因为他们使用quantstrat逐步构建和实施R中的基本交易策略和操作。

在培训结束时,参与者将能够:

  • 理解交易中的基本概念
  • 使用R创建并实施他们的第一个交易策略
  • 使用R分析其战略的绩效

听众

  • 程序员
  • Finance专业人士
  • IT专业人士

课程形式

  • 部分讲座,部分讨论,练习和繁重的实践练习

Machine Translated

课程大纲

Introduction

Understanding the Basics of Trading

  • Overview of Trading
  • Understanding the Philosophies of Trading
  • Overview of Various Trading Systems
  • Learning the Pitfalls in Trading
  • Avoiding Overfitting
  • Obtaining Financial Data
  • Plotting Financial Data
  • Adding Indicators to Your Data
  • Adding Moving Averages to Your Data

Creating Your First Strategy in Quantstrat

  • Overview of the Quantstrat Package
  • Initializing Your Data
  • Initializing Time Zone and Currency
  • Importing Data
  • Initializing Data Using stock()
  • Setting the Trade Size
  • Setting Initial Equity
  • Setting Your Account, Portfolio, and Strategy
  • Using the rm.strat() Command
  • Initializing Your Portfolio
  • Initializing Your Account
  • Initializing Your Orders
  • Storing Your Strategy

Using Indicators

  • Introduction to Indicators
  • Implementing the Simple Moving Average (SMA) Indicator
  • Implementing the Relative Strength Index (RSI) Indicator
  • Visualizing Indicators
  • Identifying Indicator Types: Trend or Reversion
  • Implementing Pre-Written Indicators
  • Coding Your Own Indicator
    • Using RSI Averages
    • Implementing the David Varadi Oscillator (DVO)
  • Implementing Your Own Indicator

Using Signals in Quantstrat

  • Overview of Signals and Signal Types
  • Implementing the sigComparison Signal
  • Implementing the sigCrossover Signal
  • Implementing the sigThreshold Signal
  • Using the sigFormula() Function
  • Combining Signals 

Using Rules

  • Overview of Trading Rules
  • Using the add.rule() Function
  • Implementing an Exit Rule
  • Using the Argument sigcol in the add.rule() Function
  • Using the Argument sigval in the add.rule() Function
  • Specifying Order Quantity
  • Specifying Order Type
  • Specifying Order Side
  • Using the Argument replace in the add.rule() Function
  • Using the Argument prefer in the add.rule() Function
  • Implementing an Entry Rule
  • Using Order Sizing Functions

Analyzing Trading Results

  • Understanding How to Analyze Your Strategy's Performance
  • Running Your Strategy
  • Exploring the Profit Factor
  • Using the Percent Positive Statistic
  • Visualizing Your Chart Positions
  • Adding Indicators to Your Chart Positions Plot
  • Calculating the Cash Sharpe Ratio
  • Calculating the Returns-Based Sharpe Ratio

Troubleshooting

Summary and Conclusion

Closing Remarks

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