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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