基于相关性的投资中性交易模型-R语言

投资中性模型。可以让我们的投资组合的风险敞口极小。

# 滚动计算相关性

data <- cbind(ret_xom,ret_cvx)

correlation <- function(x){
  result <- cor(x[,1],x[,2],use = "na.or.complete")
  return(result)
}

corr <- rollapply(data,252,correlation,by.column=FALSE)

plot(corr)

# 滚动计算上下边界

hedge_ratio <- xom / cvx

roll_me <- rollapply(hedge_ratio,14,mean,na.rm=TRUE)
roll_std <- rollapply(hedge_ratio,14,sd,na.rm=TRUE)

# n是关键值

n <-1
roll_ub <- roll_me   n * roll_std
roll_lb <- roll_me - n * roll_std

# 交易信号

signal <- NULL
signal <- ifelse(hedge_ratio > roll_ub,-1,
                 ifelse(hedge_ratio<roll_lb,1,0))
lagsignal <- Lag(signal,1)
signal <- ifelse(lagsignal == -1 & hedge_ratio>roll_me,-1,
                 ifelse(lagsignal == 1 & hedge_ratio <roll_me,1,0