Quantsrat让R语言像Python一样进行策略回测和量化交易

使用Quantsrat包

Quantsrat用来建立策略、添加指标、生成信号、生成买卖规则等进行回测。效果类似优矿、万矿、米筐那样的Python量化平台一样。因为不能CRAN在线安装，安装过程中还有一些坑。希望本文可以帮大家更顺利开始R的量化交易学习。

安装Quantsrat

试了一下，看来Quantsrat没有加入CRAN。每次遇到这种情况知道安装不会太顺利🤣

> install.packages("quantsrat")
Warning in install.packages :
  package ‘quantsrat’ is not available (for R version 3.6.2)

先安装devtools、FinancialInstrument、PerformanceAnalytics和zoo包

> install.packages("devtools")
trying URL 'https://mirrors.tongji.edu.cn/CRAN/bin/windows/contrib/3.6/devtools_2.2.1.zip'
Content type 'application/zip' length 342853 bytes (334 KB)
downloaded 334 KB

package ‘devtools’ successfully unpacked and MD5 sums checked

The downloaded binary packages are in
    C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\downloaded_packages
> install.packages("FinancialInstrument")
trying URL 'https://mirrors.tongji.edu.cn/CRAN/bin/windows/contrib/3.6/FinancialInstrument_1.3.1.zip'
Content type 'application/zip' length 550826 bytes (537 KB)
downloaded 537 KB

package ‘FinancialInstrument’ successfully unpacked and MD5 sums checked

The downloaded binary packages are in
    C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\downloaded_packages
> install.packages("PerformanceAnalytics") 
trying URL 'https://mirrors.tongji.edu.cn/CRAN/bin/windows/contrib/3.6/PerformanceAnalytics_1.5.3.zip'
Content type 'application/zip' length 2866935 bytes (2.7 MB)
downloaded 2.7 MB

package ‘PerformanceAnalytics’ successfully unpacked and MD5 sums checked

The downloaded binary packages are in
    C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\downloaded_packages
> install.packages("zoo")

  There is a binary version available but the source version is later:
    binary source needs_compilation
zoo  1.8-6  1.8-7              TRUE

  Binaries will be installed
trying URL 'https://mirrors.tongji.edu.cn/CRAN/bin/windows/contrib/3.6/zoo_1.8-6.zip'
Content type 'application/zip' length 1103089 bytes (1.1 MB)
downloaded 1.1 MB

package ‘zoo’ successfully unpacked and MD5 sums checked

The downloaded binary packages are in
    C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\downloaded_packages
> 

再安装Rtools

从http://cran.r-project.org/bin/windows/Rtools/下载推荐的版本。就是recommended的那个。绿色的那个。

这网速，我都快吓哭了。

忘了，应该从同济大学的镜像下载。在https://mirrors.tongji.edu.cn/CRAN/bin/windows/Rtools/下载相同的文件。

这速度还是很感人了吧。

启动安装包。标准的Windows安装包。使用推荐配置，加入到系统PATH变量，然后一路下一步就搞定了。

说实话，安装的速度比下载的速度还慢。看来又该换电脑啦。谁家有闲置不用的好笔记本赠送么？哈

安装blotter和quantstrat包

安装blotter包的时候依旧是老问题。我在北京访问github轻微困难。期待微软尽快解决吧。

> devtools::install_github("braverock/blotter")
Error: Failed to install 'unknown package' from GitHub:
  schannel: failed to receive handshake, SSL/TLS connection failed
> 

多试几次终于成功了。

里面询问是否升级zoo包的时候，直接回车，跳过即可。

> devtools::install_github("braverock/blotter")
Downloading GitHub repo braverock/blotter@master
These packages have more recent versions available.
Which would you like to update?

1: All                        
2: CRAN packages only         
3: None                       
4: zoo (1.8-6 -> 1.8-7) [CRAN]

Enter one or more numbers, or an empty line to skip updates:

√  checking for file 'C:\Users\chang\AppData\Local\Temp\RtmpSmSzSd\remotesf9c12655770\braverock-blotter-3630fde/DESCRIPTION' ...
-  preparing 'blotter': (862ms)
√  checking DESCRIPTION meta-information ... 
-  cleaning src
-  checking for LF line-endings in source and make files and shell scripts (707ms)
-  checking for empty or unneeded directories
-  looking to see if a 'data/datalist' file should be added
-  building 'blotter_0.14.7.tar.gz'