불행히도, 나는 당신을 위해 뭔가를 처리할만한 것을 마련하기에 충분한 패키지에 익숙하지 않습니다. 그러나 여기서 거래되는 자산은 하나뿐이므로 무언가를 코드하는 것은 간단합니다. 이것은 당신이 찾고있는 결과물입니까?
DailyMarketPrice <- do.call(rbind, list(
data.frame(date = "01/21/08", price = 917.75),
data.frame(date = "01/22/08", price = 955.93),
data.frame(date = "01/23/08", price = 921.28),
data.frame(date = "01/24/08", price = 958.55),
data.frame(date = "01/25/08", price = 961.69),
data.frame(date = "01/28/08", price = 949.08),
data.frame(date = "01/29/08", price = 956.97),
data.frame(date = "01/30/08", price = 951.14),
data.frame(date = "01/31/08", price = 949.04),
data.frame(date = "02/01/08", price = 976.43),
data.frame(date = "02/04/08", price = 976.46),
data.frame(date = "02/05/08", price = 945.63),
data.frame(date = "02/06/08", price = 951.84),
data.frame(date = "02/07/08", price = 925.87),
data.frame(date = "02/08/08", price = 920.76),
data.frame(date = "02/11/08", price = 911.39),
data.frame(date = "02/12/08", price = 945.41),
data.frame(date = "02/13/08", price = 949.05),
data.frame(date = "02/14/08", price = 950.84),
data.frame(date = "02/15/08", price = 938.79),
data.frame(date = "02/18/08", price = 962.13),
data.frame(date = "02/19/08", price = 967.42)
))
signals <- setNames(as.data.frame(matrix(c(
"01/21/08", "Buy",
"01/22/08", "Sell",
"02/06/08", "Buy",
"02/19/08", "Sell"
), ncol = 2, byrow = TRUE)), c("date", "Cond"))
# Set `inv.change` to `+1` on "Buy" days, `-1` on "Sell" days and `0` on every
# day without a transaction.
merged <- cbind(DailyMarketPrice, inv.change = c(+1, -1, 0)[match(signals$Cond[match(DailyMarketPrice$date, signals$date)], c("Buy", "Sell", NA))])
# Set `inventory` to 0 on "Buy" days, 1 on "Sell" days, and 1 on every day
# between "Buy" and "Sell" days.
merged$inventory <- head(diffinv(merged$inv.change), -1)
# Mark-to-market the inventory positions by calculating change in prices during
# holding periods.
merged$pnl.change <- merged$inventory * c(0, diff(merged$price))
# Record the cumulative P&L.
merged$pnl <- tail(diffinv(merged$pnl.change), -1)
print(merged)
: 그렇다면
date price inv.change inventory pnl.change pnl
01/21/08 917.75 1 0 0.00 0.00
01/22/08 955.93 -1 1 38.18 38.18
01/23/08 921.28 0 0 0.00 38.18
01/24/08 958.55 0 0 0.00 38.18
01/25/08 961.69 0 0 0.00 38.18
01/28/08 949.08 0 0 0.00 38.18
01/29/08 956.97 0 0 0.00 38.18
01/30/08 951.14 0 0 0.00 38.18
01/31/08 949.04 0 0 0.00 38.18
02/01/08 976.43 0 0 0.00 38.18
02/04/08 976.46 0 0 0.00 38.18
02/05/08 945.63 0 0 0.00 38.18
02/06/08 951.84 1 0 0.00 38.18
02/07/08 925.87 0 1 -25.97 12.21
02/08/08 920.76 0 1 -5.11 7.10
02/11/08 911.39 0 1 -9.37 -2.27
02/12/08 945.41 0 1 34.02 31.75
02/13/08 949.05 0 1 3.64 35.39
02/14/08 950.84 0 1 1.79 37.18
02/15/08 938.79 0 1 -12.05 25.13
02/18/08 962.13 0 1 23.34 48.47
02/19/08 967.42 -1 1 5.29 53.76
, 여기에 내가 DailyMarketPrice 및 signals을 병합하는 데 사용되는 코드는