Computational Finance and Risk Management

Introduction to Trading Systems

Guy Yollin
Applied Mathematics
University of Washington

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

1 / 74

Outline

Introduction

Data download and charting

Time series in R

More data retrieval

Technical indicators and TTR

Intra-day data example

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

2 / 74

Outline

Introduction

Data download and charting

Time series in R

More data retrieval

Technical indicators and TTR

Intra-day data example

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

3 / 74

Lecture references
quantmod package
Jeffrey Ryans quantmod website:
http://www.quantmod.com/
quantmod project page on R-forge:
http://r-forge.r-project.org/projects/quantmod

TTR package
Joshua Ulrichs Foss Trading blog:
http://blog.fosstrading.com/
TTR project page on R-forge:
http://r-forge.r-project.org/projects/ttr/

xts package
xts project page on R-forge:
http://r-forge.r-project.org/projects/xts/

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

4 / 74

Packages for trading system development in R

Quantitative analysis package hierarchy

Application Area
Performance metrics
and graphs
Portfolio optimization
and quantitative
trading strategies
Data access and
financial charting

R Package
PerformanceAnalytics - Tools for performance and risk analysis

PortfolioAnalytics - Portfolio analysis and optimization

quantstrat Rules-based trading system development
blotter Trading system accounting infrastructure
quantmod - Quantitative financial modeling framework
TTR - Technical trading rules
xts - Extensible time series

Time series objects

zoo - Ordered observation

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

5 / 74

The zoo package

The zoo package provides an infrastructure for regularly-spaced and
irregularly-space time series
Key functions:
zoo

create a zoo time series object

merge

merges time series (automatically handles of time alignment)

aggregate

create coarser resolution time series with summary statistics

rollapply

calculate rolling window statistics

read.zoo

read a text file into a zoo time series object

Authors:
Achim Zeileis
Gabor Grothendieck

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

6 / 74

The xts package

The xts package extends the zoo time series class with fine-grained time
indexes, interoperability with other R time series classes, and user defined
attributes
Key functions:
xts

create an xts time series object

align.time

align time series to a coarser resolution

to.period

convert time series data to an OHLC series

[.xts

subset time series

Authors:
Jeffrey Ryan
Josh Ulrich

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

7 / 74

R-forge

R-forge is a hosting platform for R package development which

includes SVN, daily build and check, mailing lists, bug tracking,
message boards etc.
More then 1000 R packages are hosted on R-forge including all of the
trading system development packages mentioned earlier
It is common for new packages to be developed on R-forge and for
mature packages to be maintained on R-forge even after being hosted
on CRAN

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

8 / 74

Install trading system development packages

#
# install these packages from CRAN (or r-forge)
#
install.packages("xts", dependencies=TRUE)
install.packages("PerformanceAnalytics", dependencies=TRUE)
#
# Install these package from r-forge
#
install.packages("quantmod", repos = "http://R-Forge.R-project.org")
install.packages("TTR", repos = "http://R-Forge.R-project.org")
install.packages("FinancialInstrument", repos = "http://R-Forge.R-project.org")
install.packages("blotter", repos = "http://R-Forge.R-project.org")
install.packages("quantstrat", repos = "http://R-Forge.R-project.org")

R-Forge packages can be installed by setting the repos argument to

http://R-Forge.R-project.org

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

9 / 74

Outline

Introduction

Data download and charting

Time series in R

More data retrieval

Technical indicators and TTR

Intra-day data example

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

10 / 74

The quantmod package

The quantmod package for R is designed to assist the quantitative trader
in the development, testing, and deployment of statistically based trading
models.
Key functions:
getSymbols

load or download price data

Yahoo Finance / Google Finance
FRED
Oanda
csv, RData
MySQL, SQLite

chartSeries

charting tool to create standard financial charts

Author:
Jeffrey Ryan
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

11 / 74

The getSymbols function

The getSymbols function loads (downloads) historic price data
Usage:
getSymbols(Symbols = NULL, env = parent.frame(), src = "yahoo",
auto.assign = getOption('getSymbols.auto.assign',TRUE), ...)

Main arguments:
Symbols

a vector of ticker symbols

env

where to create objects. Setting env=NULL is equal to

auto.assign=FALSE

src

source of data (yahoo)

auto.assign

should results be returned or loaded to env

...

additional parameters

Return value:
an object of type return.class depending on env and auto.assign
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

12 / 74

The getSymbols.yahoo function

The getSymbols.yahoo function downloads historic price data from
finance.yahoo.com
Usage:
getSymbols.yahoo(Symbols, env, return.class = 'xts', index.class
from = "2007-01-01", to = Sys.Date(), ...)

= 'Date',

Main arguments:
return.class

class of returned object

index.class

class of returned object index (xts only)

...

additional parameters

Return value:
an object of type return.class depending on env and auto.assign
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

13 / 74

The getSymbols function

library(quantmod)
getSymbols("^GSPC")
ls()
## [1] "filename" "GSPC"
class(GSPC)
## [1] "xts" "zoo"
class(index(GSPC))
## [1] "Date"
dim(GSPC)
## [1] 1933

By default, the symbol was auto-assigned to the parent environment

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

14 / 74

The getSymbols function

tail(GSPC,4)
##
##
##
##
##

2014-09-02
2014-09-03
2014-09-04
2014-09-05

GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted

2004.07
2006.12 1994.85
2002.28 2819980000
2002.28
2003.57
2009.28 1998.14
2000.72 2809980000
2000.72
2001.67
2011.17 1992.54
1997.65 3072410000
1997.65
1998.00
2007.71 1990.10
2007.71 2818300000
2007.71

tail(Cl(GSPC),4)
##
##
##
##
##

2014-09-02
2014-09-03
2014-09-04
2014-09-05

GSPC.Close
2002.28
2000.72
1997.65
2007.71

tail(Ad(GSPC),4)
##
##
##
##
##

2014-09-02
2014-09-03
2014-09-04
2014-09-05

GSPC.Adjusted
2002.28
2000.72
1997.65
2007.71

Note that the symbol is prepended to columns names of the xts

object; use extractor functions to access column data (e.g. Cl(GSPC))
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

15 / 74

xts extractor functions

The xts package includes a number of functions to extract specific series
from an xts object of market data:
Function

Description

Op(x)

Get Open

Hi(x)

Get High

Lo(x)

Get Low

Cl(x)

Get Close

Vo(x)

Get Volume

Ad(x)

Get Adjusted Close

HLC(x)

Get High, Low, and Close

OHLC(x)

Get Open, High, Low, and Close

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

16 / 74

The chartSeries function

The chartSeries function creates financial charts
Usage:
getSymbols(Symbols = NULL, env = parent.frame(), src = "yahoo",
auto.assign = getOption('getSymbols.auto.assign',TRUE), ...)

Main arguments:
x

an OHLC object

type

style of chart to draw

theme

a chart.theme object

subset

xts style date subsetting argument

TA

a vector of technical indicators and params

Return value:
a chob object
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

17 / 74

The chartSeries function

chartSeries(GSPC,subset="2014",theme="white")
GSPC

[20140102/20140905]

Last 2007.71

2000
1950
1900
1850
1800
1750

5000
4500
4000
3500
3000
2500
2000

Volume (millions):
2,818,300,000

Jan 02 2014

Guy Yollin (Copyright 2014)

Mar 03 2014

May 01 2014

Jul 01 2014

Introduction to Trading Systems

Sep 02 2014

Quantmod

18 / 74

Customize a chartSeries plot

whiteTheme <- chartTheme("white")
names(whiteTheme)
## [1] "fg.col"
"bg.col"
## [6] "major.tick"
"up.col"
## [11] "dn.dn.col"
"up.dn.col"
## [16] "up.up.border" "dn.dn.border"
## [21] "area"
"fill"

"grid.col"
"dn.col"
"up.border"
"up.dn.border"
"Expiry"

"border"
"dn.up.col"
"dn.border"
"main.col"
"theme.name"

"minor.tick"
"up.up.col"
"dn.up.border"
"sub.col"

whiteTheme$bg.col <- "white"

whiteTheme$dn.col <- "pink"
whiteTheme$up.col <- "lightgreen"
whiteTheme$border <- "lightgray"
x <- chartSeries(GSPC,subset="last 3 months",theme=whiteTheme,TA=NULL)
class(x)
## [1] "chob"
## attr(,"package")
## [1] "quantmod"

subset to last 3 months

totally white background
no volume sub-graph (TA=NULL)
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

19 / 74

A chartSeries plot
GSPC

[20140701/20140905]

2000

1980

1960

1940

1920

Jul 01 2014
Guy Yollin (Copyright 2014)

Jul 21 2014

Aug 04 2014

Aug 18 2014

Introduction to Trading Systems

Sep 02 2014
Quantmod

20 / 74

Outline

Introduction

Data download and charting

Time series in R

More data retrieval

Technical indicators and TTR

Intra-day data example

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

21 / 74

Time series data

Almost all data related to trading is a time series:

market data
technical analysis indicators
trades
position data
P&L

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

22 / 74

Time series data

Time series
A time series is a sequence of ordered data points measured at specific
points in time

Time series object

A time series object in R is a compound data structure that includes a
data matrix as well as a vector of associated time stamps

class
ts
mts
zoo
xts

package
stats
stats
zoo
xts

Guy Yollin (Copyright 2014)

overview
regularly spaced time series
multiple regularly spaced time series
reg/irreg and arbitrary time stamp classes
an extension of the zoo class
Introduction to Trading Systems

Quantmod

23 / 74

Time series methods

Time series classes in R will typically implement the following methods:
start

return start of time series

end

return end of time series

frequency

return frequency of time series

window

Extract subset of time series

index

return time index of time series

time

return time index of time series

coredata

return data of time series

diff

difference of the time series

lag

lag of the time series

aggregate

aggregate to lower resolution time series

cbind

merge 2 or more time series together

merge

merge 2 or more time series together

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

24 / 74

Components of an xts object

An xts object is composed of 3 components:
Index

a Data class or Time-Date class used for the time-stamp of

observations

Matrix

the time series observations (univariate or multivariate)

can be numeric, character, logical, etc. but must be
homogeneous

Attr

hidden attributes and user attributes

class of the index
format of the index
time zone

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

25 / 74

Date class
A Date object is stored internally as the days since 1970-01-01
myStr <- "2013-07-04"
class(myStr)
## [1] "character"
myDate <- as.Date(myStr)
class(myDate)
## [1] "Date"
as.numeric(myDate)
## [1] 15890
format(myDate,"%m/%d/%y")
## [1] "07/04/13"
as.Date("110704",format="%y%m%d")
## [1] "2011-07-04"
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

26 / 74

Date-Time classes
A POSIXct object is a Date-Time object internally stored as the
number of seconds since 1970-01-01
A POSIXlt object is a Date-Time object internally stored as 9
calendar and time components
d <- Sys.time()
class(d)
## [1] "POSIXct" "POSIXt"
unclass(d)
## [1] 1410038854
sapply(unclass(as.POSIXlt(d)), function(x) x)
##
sec
## "33.5228459835052"
##
mon
##
"8"
##
isdst
##
"1"
Guy Yollin (Copyright 2014)

min
"27"
year
"114"
zone
"PDT"

hour
"14"
wday
"6"
gmtoff
"-25200"
Introduction to Trading Systems

mday
"6"
yday
"248"

Quantmod

27 / 74

xts subsetting

xts time series objects can be easily subset:

Date and time organized from most significant to least significant
CCYY-MM-DD HH:MM:SS[.s]

Separators can be omitted

CCYYMMDDHHMMSS

Intervals can be designated with the "/" or "::"

2010/2011
2011-04::2011-07

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

28 / 74

xts subsetting
chartSeries(GSPC["2014"],theme=whiteTheme,name="S&P 500")
S&P 500

[20140102/20140905]

Last 2007.71

2000
1950
1900
1850
1800
1750

5000
4500
4000
3500
3000
2500
2000

Volume (millions):
2,818,300,000

Jan 02 2014

Guy Yollin (Copyright 2014)

Mar 03 2014

May 01 2014

Jul 01 2014

Introduction to Trading Systems

Sep 02 2014

Quantmod

29 / 74

xts subsetting
chartSeries(GSPC["2013/2014"],theme=whiteTheme,name="S&P 500")
S&P 500

[20130102/20140905]
2000

Last 2007.71

1900
1800
1700
1600
1500

5000
4000
3000
2000

Volume (millions):
2,818,300,000

Jan 02 2013

Guy Yollin (Copyright 2014)

Jun 03 2013 Oct 01 2013 Feb 03 2014

Introduction to Trading Systems

Jul 01 2014

Quantmod

30 / 74

xts subsetting
chartSeries(GSPC["2014-06::2014-07"],theme=whiteTheme,name="S&P 500")
S&P 500

[20140602/20140731]

Last 1930.67
1980

1960

1940

1920
4000
3500
3000
2500
2000

Volume (millions):
4.193e+09

Jun 02 2014

Guy Yollin (Copyright 2014)

Jun 16 2014

Jun 30 2014

Jul 14 2014

Introduction to Trading Systems

Jul 28 2014

Quantmod

31 / 74

xts subsetting
chartSeries(GSPC["201406::"],theme=whiteTheme,name="S&P 500")
S&P 500

[20140602/20140905]

Last 2007.71
2000
1980
1960
1940
1920

4000
3500
3000
2500
2000

Volume (millions):
2,818,300,000

Jun 02 2014

Guy Yollin (Copyright 2014)

Jun 23 2014

Jul 14 2014

Aug 04 2014

Introduction to Trading Systems

Aug 25 2014

Quantmod

32 / 74

Outline

Introduction

Data download and charting

Time series in R

More data retrieval

Technical indicators and TTR

Intra-day data example

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

33 / 74

Download historic quotes: specifying the start date

getSymbols("SPY",from="2000-01-01")
class(SPY)
## [1] "xts" "zoo"
head(SPY)
##
##
##
##
##
##
##

2000-01-03
2000-01-04
2000-01-05
2000-01-06
2000-01-07
2000-01-10

SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted

148.25
148.25 143.88
145.44
8164300
111.46
143.53
144.06 139.64
139.75
8089800
107.10
139.94
141.53 137.25
140.00
12177900
107.29
139.62
141.50 137.75
137.75
6227200
105.56
140.31
145.75 140.06
145.75
8066500
111.70
146.25
146.91 145.03
146.25
5741700
112.08

head(index(SPY))
## [1] "2000-01-03" "2000-01-04" "2000-01-05" "2000-01-06" "2000-01-07" "2000-01-10"
class(index(SPY))
## [1] "Date"

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

34 / 74

Download historic quotes: specifying the time stamp class

getSymbols("SBUX",index.class="POSIXct",from="2000-01-01")
class(SBUX)
## [1] "xts" "zoo"
head(SBUX)
##
##
##
##
##
##
##

2000-01-03
2000-01-04
2000-01-05
2000-01-06
2000-01-07
2000-01-10

SBUX.Open SBUX.High SBUX.Low SBUX.Close SBUX.Volume SBUX.Adjusted

23.88
24.69
23.25
24.66
12116000
5.76
24.06
24.88
23.75
23.88
10782400
5.58
23.94
24.62
23.69
24.19
14103200
5.65
24.00
25.62
24.00
25.06
15412800
5.86
24.75
25.00
24.25
24.94
13022400
5.83
25.88
26.75
25.81
26.00
14515600
6.08

head(index(SBUX))
## [1] "2000-01-03 UTC" "2000-01-04 UTC" "2000-01-05 UTC" "2000-01-06 UTC"
## [5] "2000-01-07 UTC" "2000-01-10 UTC"
class(index(SBUX))
## [1] "POSIXct" "POSIXt"
chartSeries(SBUX,theme=whiteTheme,minor.ticks=FALSE)
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

35 / 74

Unadjusted SBUX data

SBUX

[20000103/20140905]
80

Last 77.95

60

40

20

150
100

Volume (millions):
4,002,500

50
0
Jan 03 2000 Jan 02 2003
Guy Yollin (Copyright 2014)

Jan 03 2006 Jan 02 2009

Introduction to Trading Systems

Jan 03 2012
Quantmod

36 / 74

Get stock split history

(spl <- getSplits("SBUX"))

##
##
##
##
##
##

1993-09-30
1995-12-04
1999-03-22
2001-04-30
2005-10-24

SBUX.spl
0.5
0.5
0.5
0.5
0.5

class(spl)
## [1] "xts" "zoo"

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

37 / 74

Get stock dividend history

(div <- getDividends("SBUX"))
##
##
##
##
##
##
##
##
##
##
##
##
##
##
##
##
##
##
##

2010-04-05
2010-08-02
2010-11-16
2011-02-07
2011-05-09
2011-08-08
2011-11-15
2012-02-06
2012-05-07
2012-08-06
2012-11-13
2013-02-05
2013-05-07
2013-08-06
2013-11-12
2014-02-04
2014-05-06
2014-08-05

[,1]
0.10
0.13
0.13
0.13
0.13
0.13
0.17
0.17
0.17
0.17
0.21
0.21
0.21
0.21
0.26
0.26
0.26
0.26

class(div)
## [1] "xts" "zoo"

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

38 / 74

The adjustOHLC function

The adjustOHLC adjusts all columns of an OHLC object for split and
dividend
Usage:
adjustOHLC(x, adjust = c("split","dividend"), use.Adjusted = FALSE,
ratio = NULL, symbol.name=deparse(substitute(x)))

Main arguments:
x

an OHLC object

use.Adjusted

calculated from dividends and splits, or used Adjusted price

column

Return value:
An object of the original class, with prices adjusted for splits and
dividends
Using use.Adjusted = TRUE will be less precise than the method that employs
actual split and dividend information
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

39 / 74

Adjust for split and dividend

head(SBUX)
##
##
##
##
##
##
##

2000-01-03
2000-01-04
2000-01-05
2000-01-06
2000-01-07
2000-01-10

SBUX.Open SBUX.High SBUX.Low SBUX.Close SBUX.Volume SBUX.Adjusted

23.88
24.69
23.25
24.66
12116000
5.76
24.06
24.88
23.75
23.88
10782400
5.58
23.94
24.62
23.69
24.19
14103200
5.65
24.00
25.62
24.00
25.06
15412800
5.86
24.75
25.00
24.25
24.94
13022400
5.83
25.88
26.75
25.81
26.00
14515600
6.08

adj.exact <- adjustOHLC(SBUX)

head(adj.exact)
##
##
##
##
##
##
##

2000-01-03
2000-01-04
2000-01-05
2000-01-06
2000-01-07
2000-01-10

SBUX.Open
5.5818405
5.6239146
5.5958652
5.6098899
5.7851990
6.0493313

SBUX.High
5.7711743
5.8155859
5.7548121
5.9885575
5.8436353
6.2526898

SBUX.Low SBUX.Close SBUX.Volume SBUX.Adjusted

5.4345809 5.7641619
12116000
5.76
5.5514536 5.5818405
10782400
5.58
5.5374288 5.6543016
14103200
5.65
5.6098899 5.8576601
15412800
5.86
5.6683263 5.8296106
13022400
5.83
6.0329691 6.0773807
14515600
6.08

An article that describes how Yahoo calculates the adjusted close can
be found here:
http://help.yahoo.com/kb/index?locale=en_US&y=PROD_ACCT&page=content&id=SLN2311
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

40 / 74

Compare adjustment methods

head(adj.exact)
##
##
##
##
##
##
##

2000-01-03
2000-01-04
2000-01-05
2000-01-06
2000-01-07
2000-01-10

SBUX.Open
5.5818405
5.6239146
5.5958652
5.6098899
5.7851990
6.0493313

SBUX.High
5.7711743
5.8155859
5.7548121
5.9885575
5.8436353
6.2526898

SBUX.Low SBUX.Close SBUX.Volume SBUX.Adjusted

5.4345809 5.7641619
12116000
5.76
5.5514536 5.5818405
10782400
5.58
5.5374288 5.6543016
14103200
5.65
5.6098899 5.8576601
15412800
5.86
5.6683263 5.8296106
13022400
5.83
6.0329691 6.0773807
14515600
6.08

adj.approx <- adjustOHLC(SBUX, use.Adjusted=TRUE)

head(adj.approx)
##
##
##
##
##
##
##

2000-01-03
2000-01-04
2000-01-05
2000-01-06
2000-01-07
2000-01-10

SBUX.Open
5.5778102
5.6220603
5.5916081
5.6121309
5.7855854
6.0519385

SBUX.High
5.7670073
5.8136683
5.7504341
5.9909497
5.8440257
6.2553846

SBUX.Low SBUX.Close SBUX.Volume SBUX.Adjusted

5.4306569
5.76
12116000
5.76
5.5496231
5.58
10782400
5.58
5.5332162
5.65
14103200
5.65
5.6121309
5.86
15412800
5.86
5.6687049
5.83
13022400
5.83
6.0355692
6.08
14515600
6.08

chartSeries(adj.exact,theme=whiteTheme,name="SBUX",minor.ticks=FALSE)
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

41 / 74

Adjusted SBUX plot

SBUX

[20000103/20140905]
80

Last 77.95

60

40

20

150
100

Volume (millions):
4,002,500

50
0
Jan 03 2000 Jan 02 2003
Guy Yollin (Copyright 2014)

Jan 03 2006 Jan 02 2009

Introduction to Trading Systems

Jan 03 2012
Quantmod

42 / 74

Download historic quotes: specifying adjusted OHLC

getSymbols("SBUX",index.class="POSIXct",from="2000-01-01",adjust=T)
## [1] "SBUX"
head(SBUX)
##
##
##
##
##
##
##

2000-01-03
2000-01-04
2000-01-05
2000-01-06
2000-01-07
2000-01-10

SBUX.Open
5.5818405
5.6239146
5.5958652
5.6098899
5.7851990
6.0493313

SBUX.High
5.7711743
5.8155859
5.7548121
5.9885575
5.8436353
6.2526898

SBUX.Low SBUX.Close SBUX.Volume SBUX.Adjusted

5.4345809 5.7641619
12958543
5.76
5.5514536 5.5818405
11532205
5.58
5.5374288 5.6543016
15083932
5.65
5.6098899 5.8576601
16484602
5.86
5.6683263 5.8296106
13927974
5.83
6.0329691 6.0773807
15525011
6.08

SBUX.High
5.7711743
5.8155859
5.7548121
5.9885575
5.8436353
6.2526898

SBUX.Low SBUX.Close SBUX.Volume SBUX.Adjusted

5.4345809 5.7641619
12116000
5.76
5.5514536 5.5818405
10782400
5.58
5.5374288 5.6543016
14103200
5.65
5.6098899 5.8576601
15412800
5.86
5.6683263 5.8296106
13022400
5.83
6.0329691 6.0773807
14515600
6.08

head(adj.exact)
##
##
##
##
##
##
##

2000-01-03
2000-01-04
2000-01-05
2000-01-06
2000-01-07
2000-01-10

SBUX.Open
5.5818405
5.6239146
5.5958652
5.6098899
5.7851990
6.0493313

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

43 / 74

Federal reserve economic data

The function getSymbols can also be used to access data from the
Federal Reserve Economic Data (FRED) database

http://research.stlouisfed.org/fred2/
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

44 / 74

Download interest rate data from FRED

getSymbols('DTB3',src='FRED')
first(DTB3,'1 week')
##
DTB3
## 1954-01-04 1.33
last(DTB3,'1 week')
##
##
##
##
##

DTB3
2014-09-01
NA
2014-09-02 0.03
2014-09-03 0.03
2014-09-04 0.03

chartSeries(DTB3,theme="white",minor.ticks=FALSE)

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

45 / 74

Three-month U.S. Treasury bill rate

DTB3

[19540104/20140904]

Last 0.03
15

10

Jan 04 1954

Guy Yollin (Copyright 2014)

Jan 02 1970

Jan 02 1985

Jan 03 2000

Introduction to Trading Systems

Sep 04 2014

Quantmod

46 / 74

Quandl
Tammer Kamel the founder of www.quandl.com wants to do to
Bloomberg what Wikipedia did to Britannica.

http://www.quandl.com/
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

47 / 74

Quandl futures

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

48 / 74

The Quandl package

The Quandl package interacts directly with the Quandl API to offer data
in a number of formats usable in R
Key functions:
Quandl

Pulls data from the Quandl API

Quandl.auth

Query or set Quandl API token

Quandl.search

Search the Quandl database

Authors:
Raymond McTaggart

Anonymous API calls are limited to 50 requests per day; signed up users receive an
authorization token that allows them to get 500 API calls per day; see
http://www.quandl.com/help/r
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

49 / 74

The Quandl function

The Quandl function pulls data from the Quandl API
Usage:
Quandl(code, type
transformation =
collapse = c("",
sort = c("desc",

= c("raw", "ts", "zoo", "xts"), start_date, end_date,

c("", "diff", "rdiff", "normalize", "cumul", "rdiff_from"),
"weekly", "monthly", "quarterly", "annual"),
"asc"), meta = FALSE, authcode = Quandl.auth(), ...)

Main arguments:
code
Dataset code on Quandl specified as a string
type
Type of data returned (raw, ts, zoo or xts)
start_date Start date
end_date
End date
collapse
Frequency of data
Return value:
time series data in the specified format
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

50 / 74

Downloading data from Quandl

library(Quandl)
cl1 = Quandl("OFDP/FUTURE_CL1",type="xts")
class(cl1)
## [1] "xts" "zoo"
class(index(cl1))
## [1] "Date"
first(cl1)
##
Open High
Low Settle Volume Open Interest
## 1983-03-30 29.01 29.56 29.01
29.4
949
470
last(cl1)
##
Open High
Low Settle Volume Open Interest
## 2014-09-05 94.57 94.99 92.86 93.29 261386
235848

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

51 / 74

Downloading data from Quandl

cl1 <- cl1[,c("Open","High","Low","Settle","Volume")]
colnames(cl1) <- c("Open","High","Low","Close","Volume")
sum(is.na(coredata(cl1)))
## [1] 0
sum(coredata(cl1)<0.01)
## [1] 17
cl1[cl1 < 0.1] <- NA
cl1 <- na.approx(cl1)
chartSeries(cl1,name="Nymex Crude (front contract)",theme=chartTheme("white"))

Required data cleaning: replace zero values with NA and then use the
function na.approx to interpolate

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

52 / 74

Historic futures data from Quandl

Nymex Crude (front contract)

[19830330/20140905]

Last 93.29

140
120
100
80
60
40
20

60
50
40
30
20
10
0

Volume (10,000s):
261,386

Mar 30 1983

Guy Yollin (Copyright 2014)

Jan 02 1990

Jan 02 1998

Jan 03 2006

Introduction to Trading Systems

Jan 02 2014

Quantmod

53 / 74

Outline

Introduction

Data download and charting

Time series in R

More data retrieval

Technical indicators and TTR

Intra-day data example

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

54 / 74

The TTR package

The TTR package is a comprehensive collection of technical analysis

indicators for R
Key features:
moving averages
oscillators
price channels
trend indicators
Author:
Joshua Ulrich

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

55 / 74

Selected technical analysis indicators in TTR

Function

Description

Function

Description

stoch

stochastic oscillator

ADX

Directional Movement Index

aroon

Aroon indicator

ATR

Average True Range

BBands

Bollinger bands

CCI

Commodity Channel Index

chaikinAD

Chaikin Acc/Dist

chaikinVolatility

Chaikin Volatility

ROC

rate of change

momentum

momentum indicator

CLV

Close Location Value

CMF

Chaikin Money Flow

CMO

Chande Momentum Oscillator

SMA

simple moving average

EMA

exponential moving average

DEMA

double exp mov avg

VWMA

volume weighted MA

VWAP

volume weighed avg price

DonchianChannel

Donchian Channel

DPO

Detrended Price Oscillator

EMV

Ease of Movement Value

volatility

volatility estimators

MACD

MA converge/diverge

MFI

Money Flow Index

RSI

Relative Strength Index

SAR

Parabolic Stop-and-Reverse

TDI

Trend Detection Index

TRIX

Triple Smoothed Exponential Osc

VHF

Vertical Horizontal Filter

williamsAD

Williams Acc/Dist

WPR

Williams % R

ZigZag

Zig Zag trend line

see Technical Analysis from A to Z by Steven Achelis

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

56 / 74

Calculate and plot Bollinger bands

b <- BBands(HLC=HLC(SBUX["2014"]), n=20, sd=2)
tail(b,10)
##
##
##
##
##
##
##
##
##
##
##

2014-08-22
2014-08-25
2014-08-26
2014-08-27
2014-08-28
2014-08-29
2014-09-02
2014-09-03
2014-09-04
2014-09-05

dn
76.411021
76.428539
76.476472
76.554083
76.552982
76.625643
76.656180
76.698147
76.724373
76.812251

mavg
77.528909
77.511574
77.485948
77.453339
77.457245
77.503182
77.521167
77.533500
77.541000
77.574667

up
78.646797
78.594608
78.495424
78.352595
78.361509
78.380720
78.386153
78.368853
78.357627
78.337082

pctB
0.40208802
0.67932318
0.75131112
0.77615115
0.68030579
0.67481749
0.51088649
0.26447097
0.22794613
0.50131162

chartSeries(SBUX,TA='addBBands();addBBands(draw="p");addVo()',
subset='2014',theme="white")

pctB =

Close LowerBand
UpperBand LowerBand

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

57 / 74

Bollinger bands
SBUX

[20140102/20140905]

Last 77.95
Bollinger Bands (20,2) [Upper/Lower]: 78.337/76.812

80
78
76
74
72
70
68

1.0

Bollinger %b (20,2):
0.501

0.5
0.0
15

Volume (millions):
4,002,500

10
5

Jan 02 2014

Guy Yollin (Copyright 2014)

Mar 03 2014

May 01 2014

Introduction to Trading Systems

Jul 01 2014

Aug 01 2014

Sep 05 2014

Quantmod

58 / 74

Moving Average Convergence-Divergence (MACD)

macd <- MACD( Cl(SBUX), 12, 26, 9, maType="EMA" )
tail(macd)
##
##
##
##
##
##
##

macd
signal
2014-08-28 0.1152221277 0.079458718
2014-08-29 0.1195390995 0.087474794
2014-09-02 0.0876697703 0.087513789
2014-09-03 -0.0092470283 0.068161626
2014-09-04 -0.0470796190 0.045113377
2014-09-05 0.0051187401 0.037114450

chartSeries(SBUX, TA = "addMACD()",subset="2014",theme=whiteTheme)

MACD line = EMA(Close,12) EMA(Close,26)

Signal line = EMA(MACD line,9)
MACD histogram = MACD line Signal line
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

59 / 74

Moving Average Convergence-Divergence (MACD)

SBUX

[20140102/20140905]
80

Last 77.95

78
76
74
72
70
68
2
1
0
1
2

Moving Average Convergence Divergence (12,26,9):

MACD: 0.005
Signal: 0.037

Jan 02 2014
Guy Yollin (Copyright 2014)

Mar 03 2014

May 01 2014

Jul 01 2014

Introduction to Trading Systems

Sep 02 2014
Quantmod

60 / 74

Relative Strength Index (RSI)

rsi <- RSI( Cl(SBUX), n = 14 )
tail(rsi)
##
##
##
##
##
##
##

2014-08-28
2014-08-29
2014-09-02
2014-09-03
2014-09-04
2014-09-05

SBUX.Close.EMA.14
52.010352
52.010352
48.936808
43.189696
46.797814
53.577264

chartSeries(SBUX, TA = "addRSI()",subset="2013",theme=whiteTheme)

RSI = 100
RS =

100
1 + RS

average of up changes
average of down changes

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

61 / 74

Relative Strength Index (RSI)

SBUX

[20130102/20131231]

Last 77.5472535857189

80
75
70
65
60
55

80
70
60
50
40
30

Relative Strength Index (14):

48.641

Jan 02 2013
Guy Yollin (Copyright 2014)

Apr 01 2013

Jul 01 2013

Oct 01 2013

Introduction to Trading Systems

Dec 31 2013
Quantmod

62 / 74

Experimental chart_Series chart

The chartSeries functions are in the process of being updated;
quantmod functions incorporating an underscore in their name are
experimental version 2 functions:
chart_Series
add_TA
chart_Theme
myTheme<-chart_theme()
myTheme$col$up.col<-'lightgreen'
myTheme$col$dn.col<-'pink'
#
chart_Series(SBUX["2013"],TA='add_BBands(lwd=2)',theme=myTheme,name="SBUX")

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

63 / 74

Experimental chart_Series chart

SBUX

20130102 / 20131231

80

80

75

75

70

70

65

65

60

60

55

55

Jan

Jan 02 2013

Feb

Mar

Mar 01 2013

Guy Yollin (Copyright 2014)

Apr

May

Jun

May 01 2013 Jun 03 2013

Jul

Aug

Sep

Aug 01 2013 Sep 03 2013

Introduction to Trading Systems

Oct

Nov

Nov 01 2013

Dec

Dec 31 2013

Quantmod

64 / 74

Outline

Introduction

Data download and charting

Time series in R

More data retrieval

Technical indicators and TTR

Intra-day data example

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

65 / 74

Working with intra-day data

For intra-day data indexing by date alone is not enough
beyond the capabilities of zoo objects with Date indexes
intra-day bars
tick data

Intra-day time series require formal time-based classes for indexing

Recommended classes for high-frequency time series:
xts class
POSIXct/POSIXlt date-time class for indexing
Class

Daily data

Intra-day data

time series class

xts

xts

time index class

Date

POSIXlt

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

66 / 74

The strptime function

The strptime function converts character strings to POSIXlt date-time
objects
Usage:
strptime(x, format, tz = "")

Main arguments:
x

vector of character strings to be converted to POSIXlt objects

format

date-time format specification

tz

timezone to use for conversion

Return value:
a POSIXlt object

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

67 / 74

The xts function

The function xts is the constructor function for extensible time-series
objects
Usage:
xts(x = NULL, order.by = index(x), frequency = NULL,
unique = TRUE, tzone = Sys.getenv("TZ"), ...)

Main arguments:
x

data matrix (or vector) with time series data

order.by

vector of unique times/dates (POSIXct is recommended)

Return value:
an xts object

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

68 / 74

Read GBPUSD 30-minute bars

fn1 <- "GBPUSD.txt"
dat <- read.table(file=fn1,sep=",",header=T,as.is=T)
head(dat)
##
##
##
##
##
##
##

1
2
3
4
5
6

Date Time
Open
High
Low Close Up Down
10/20/2002 2330 1.5501 1.5501 1.5481 1.5482 0
0
10/21/2002
0 1.5481 1.5483 1.5472 1.5472 0
0
10/21/2002
30 1.5471 1.5480 1.5470 1.5478 0
0
10/21/2002 100 1.5477 1.5481 1.5471 1.5480 0
0
10/21/2002 130 1.5480 1.5501 1.5479 1.5493 0
0
10/21/2002 200 1.5492 1.5497 1.5487 1.5492 0
0

tm <- strptime(
paste(dat[,"Date"], sprintf("%04d",dat[,"Time"])),
format="%m/%d/%Y %H%M")
class(tm)
## [1] "POSIXlt" "POSIXt"
head(tm)
## [1] "2002-10-20 23:30:00 PDT" "2002-10-21 00:00:00 PDT" "2002-10-21 00:30:00 PDT"
## [4] "2002-10-21 01:00:00 PDT" "2002-10-21 01:30:00 PDT" "2002-10-21 02:00:00 PDT"

Use paste with sprintf to format a Date-Time string

Use the format argument of strptime to specify the formatting
Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

69 / 74

Create and plot xts object

GBP <- xts(x=dat[,c("Open","High","Low","Close")],order.by=tm)

GBP <- GBP['2007']
first(GBP,'4 hours')
##
##
##
##
##
##
##
##

2007-01-01
2007-01-01
2007-01-01
2007-01-01
2007-01-01
2007-01-01
2007-01-01

17:30:00
18:00:00
18:30:00
19:00:00
19:30:00
20:00:00
20:30:00

Open
1.9649
1.9646
1.9645
1.9651
1.9651
1.9655
1.9653

High
1.9650
1.9648
1.9653
1.9652
1.9658
1.9657
1.9656

Low
1.9644
1.9641
1.9645
1.9647
1.9651
1.9650
1.9651

Close
1.9645
1.9644
1.9650
1.9650
1.9654
1.9654
1.9655

barChart(GBP,TA='addSMA(n = 7, col = "red");addSMA(n = 44, col = "blue")',

subset='2007-12-24/2007-12-26',theme="white",name="GBPUSD")

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

70 / 74

GBPUSD crossover example

GBPUSD

[20071224/20071226 23:30:00]

Last 1.98542
1.988
1.986
1.984
1.982
1.980
1.978
1.976

Dec 24 00:00

Guy Yollin (Copyright 2014)

Dec 24 10:00

Dec 26 04:00

Dec 26 14:30

Introduction to Trading Systems

Dec 26 23:30

Quantmod

71 / 74

GBPUSD crossover example with annotation

# make candle stick plot with moving averages

#
chart_Series(GBP,subset='2007-12-24/2007-12-26',theme=myTheme,name="GBPUSD",
TA='add_SMA(n=7,col="red",lwd=2);add_SMA(n=44,col="blue",lwd=2)')
#
# find cross-over bar
#
fastMA <- SMA(Cl(GBP),n=7)
slowMA <- SMA(Cl(GBP),n=44)
co <- fastMA > slowMA
x <- which(co['2007-12-24/2007-12-26'])[1]
#
# identify cross-over bar
#
ss <- GBP['2007-12-24/2007-12-26']
add_TA(ss[x,"Low"]-0.0005,pch=17,type="p",col="red", on=1,cex=2)
#
text(x=x,y=ss[x,"Low"]-0.0005,"Crossover\nbar",pos=1)

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

72 / 74

GBPUSD crossover example with annotation

GBPUSD

20071224 / 20071226 23:30:00

1.988

1.988

1.987

1.987

1.986

1.986

1.985

1.985

1.984

1.984

1.983

1.983

1.982

1.982

1.981

1.981

1.980

1.980

1.979

1.979

Crossover
bar

1.978

1.978

1.977

1.977

1.976

1.976

Dec 24 00:00

Dec 24 04:00

Dec 24 08:00

Guy Yollin (Copyright 2014)

Dec 24 12:00

Dec 26 02:00

Dec 26 06:00

Dec 26 10:00

Introduction to Trading Systems

Dec 26 14:30 Dec 26 18:00

Dec 26 22:00

Quantmod

73 / 74

Computational Finance and Risk Management

http://depts.washington.edu/compfin

Guy Yollin (Copyright 2014)

Introduction to Trading Systems

Quantmod

74 / 74