R语言神经网络量化交易模型

上篇是逻辑回归模型，这次我们用神经网络模型。再算一遍，试试看

# 载入示例股票

library(quantmod)
getSymbols("^DJI", src = "yahoo")
dji <- DJI[, "DJI.Close"]

# 生成技术指标

avg10 <- rollapply(dji, 10, mean)
avg20 <- rollapply(dji, 20, mean)
std10 <- rollapply(dji, 10, sd)
std20 <- rollapply(dji, 20, sd)
rsi5 <- RSI(dji, 5, "SMA")
rsi14 <- RSI(dji, 14, "SMA")
macd12269 <- MACD(dji, 12, 26, 9, "SMA")
macd7205 <- MACD(dji, 7, 20, 5, "SMA")
bbands <- BBands(dji, 20, "SMA", 2)

# 生成市场方向,收盘价与之后20天价格比较,上涨、下跌、横盘

direction <- data.frame(matrix(NA, dim(dji)[1], 1))
lagret <- (dji - Lag(dji, 20)) / Lag(dji, 20)
direction[lagret > 0.02] <- "Up"
direction[lagret < -0.02] <- "Down"
direction[lagret < 0.02 & lagret > -0.02] <- "NoWhere"

# 合并结果

dji <-
  cbind(dji,
        avg10,
        avg20,
        std10,
        std20,
        rsi5,
        rsi14,
        macd12269,
        macd7205,
        bbands)

# 准备训练集、验证集和测试集数据

train_sdate <- "2010-01-01"
train_edate <- "2013-12-31"

vali_sdate <- "2014-01-01"
vali_edate <- "2014-12-31"

test_sdate <- "2015-01-01"
test_edate <- "2015-12-31"

trainrow <-
  which(index(dji) >= train_sdate & index(dji) <= train_edate)
valirow <- which(index(d