R语言迹检验协整关系式_基于协整关系的配对量化交易策略-R语言

基于协整关系的配对交易比之前的基于距离和相关性要更先进一些。收益上确实也体现出来了。

library(tseries)

adf.test(xom)

adf.test(cvx)

model

summary(model)

adf.test(as.ts(model$residuals))

bp

model

adf.test(as.ts(model$residuals))

plot(cbind(xom,bp * model$coefficients),

col = c("black", "red"),

main = "xom & model$coefficients")

plot(as.xts(model$residuals, index(xom)),

main = "model$residuals")

plot(signal, main = "交易信号")

roll_me

roll_std

n

roll_ub

roll_lb

signal

signal roll_ub,-1,

ifelse(model$residuals

lagsignal

signal roll_me,-1,

ifelse(lagsignal==1 & model$residuals < roll_me,1,0))

# 计算收益

spread_return

cost

trade_return

names(trade