R语言期货交易分析

交易策略描述统计分析

> library(readxl)
> library(psych)
> data1=read_excel("检验0.5_0_策略.xlsx")
> str(data1)
> describe(data1$每日盈亏)
  vars    n    mean       sd median trimmed      mad     min    max  range
X1    1 1458 2276.62 52511.89 665.26  938.51 38742.78 -243345 413885 657230
  skew kurtosis      se
X1 0.63     5.51 1375.24

交易策略中自相关阶数

> aa=acf(data1$每日盈亏)
> print(aa)

Autocorrelations of series ‘data1$每日盈亏’, by lag

    0      1      2      3      4      5      6      7      8      9     10 
1.000  0.186  0.000 -0.005 -0.028  0.013  0.006 -0.004  0.030  0.020  0.074 
   11     12     13     14     15     16     17     18     19     20     21 
0.062  0.000 -0.025 -0.009  0.020  0.000 -0.020 -0.021  0.029 -0.010  0.027 
   22     23     24     25     26     27     28     29     30     31 
-0.001 -0.014 -0.006 -0.010 -0.034  0.010  0.010  0.025 -0.001 -0.003 

买入卖出盈亏

Buy为买入收益均值，shell为卖出收益均值。二者之间的是收益率的标准差，buy-shell是（买入区间的收益率均值-卖出区间的收益率均值）/（样本方差平方与样本比例的商之和，再进行开方）

ADF检验

> y=data1$平仓盈亏
Warning message:
Unknown or uninitialised column: '平仓盈亏'. 
> lc.df=ur.df(y,type = c("none", "drift", "trend"), lags = 1, selectlags = c("Fixed", "AIC", "BIC"))
Error in array(x, c(length(x), 1L), if (!is.null(names(x))) list(names(x),  : 
  'data'的种类必需为矢量，但现在是'NULL'
> y=data1$每日盈亏
> lc.df=ur.df(y,type = c("none", "drift", "trend"), lags = 1, selectlags = c("Fixed", "AIC", "BIC"))
> summary(lc.df)#单位根检验

############################################### 
#Augmented Dickey-Fuller Test Unit Root Test # 
############################################### 

Test regression none 


Call:
lm(formula = z.diff ~ z.lag.1 - 1 + z.diff.lag)

Residuals:
    Min      1Q  Median      3Q     Max 
-292301  -24561     313   25607  396814 

Coefficients:
           Estimate Std. Error t value Pr(>|t|)    
z.lag.1    -0.84004    0.03341 -25.144   <2e-16 ***
z.diff.lag  0.03447    0.02622   1.315    0.189    
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 51650 on 1454 degrees of freedom
Multiple R-squared:  0.4066,    Adjusted R-squared:  0.4057 
F-statistic: 498.1 on 2 and 1454 DF,  p-value: < 2.2e-16


Value of test-statistic is: -25.1436 

Critical values for test statistics: 
      1pct  5pct 10pct
tau1 -2.58 -1.95 -1.62
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### 帕累托检验

 1. List item

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### 蒙特卡洛模拟收益分布

![在这里插入图片描述](https://img-blog.csdnimg.cn/20190301224751974.png?x-oss-process=image/watermark,type_ZmFuZ3poZW5naGVpdGk,shadow_10,text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L3RhbmRlbGlu,size_16,color_FFFFFF,t_70)