我正在尝试计算股票的投资回报率。我认为这是正确的,但不知道如何测试准确性。该代码计算了几件事: 投资回报:(接近收盘),收盘时买入,第二天开盘时卖出,卖空,卖空日交易。也许这会让它更清楚:
library(quantmod)
library(PerformanceAnalytics)
getSymbols('F', src='yahoo',from='2015-01-01')
data <- get('F')
adjD <- adjustOHLC(data, symbol.name='F')
#calculate normal investment return
clcl <- Delt(Lag(Cl(adjD)), Cl(adjD), type='log')
chart.CumReturns(clcl)
#calculate after hours, from prev. day close to next day open
clop <- Delt(Lag(Cl(adjD)), Op(adjD), type='log')
chart.CumReturns(clop)
#then to calculate stock short
clopSh <- Delt(Cl(adjD), Lag(Cl(adjD)), type='log')
chart.CumReturns(clopSh)
#then to calculate day trade short, sell open to buy close
opclSh <- Delt(Cl(adjD), Op(adjD), type='log')
chart.CumReturns(opclSh)
建议?特别关注我如何计算卖空。