R Packages Development

1. JFE 1.0  (Just Finance and Econometrics, 2017/12/2)

     Download example data: IBM.RData for Price Analytics, world20.RData for Asset Selection and Portfolio Backtesting, and DJ30.RData for Portfolio Backtesting

            

R Package: Just Finance and Econometrics

Price Analytics

  1. Price Analytics loads price data from .RData. Technical charting needs OHLC data
  2. To use this function, you must have a time series dataset with R format, xts is most encourgaed; and the file is saved in .RData or .rda. Users may download the dataset IBM.RData to practice.

Assets Selection

  1. Assets Selection here is basically based on, for example, Sharpe ratio inequality. The method is designed for Internaitonal Asset Selection, interested reader please refer to Bekaert and Hodrick(2009,International Financial Management,PP.466-468). We provide more performance indices based on the R package PerformanceAnalytics.
  2. To use this function, you must have a multivariate time series dataset with R format, xts is most encourgaed; and the file is saved in .RData or .rda. Users may download the dataset world20.RData to practice, which is 20 country price indices of MSCI world index.
  3. If the loaded data is price, then you have to pull down the menu and choose Transform Price Data, else, Load Returns Data

Portfolio Backtesting

  1. Portfolio Backtesting here is basically based on R package fPortfolio. The method is designed for portfolio optimization, JFE provides more covariance estimators and GMVP strategy for backtesting. JFE offers a comprehensive computation(Backtesting All in One) for 6 covariance estimators combined with 2 strategies, which is a little bit time-consuming, 3-min for DJ30 dataset.
  2. To use this function, you must have a multivariate time series dataset with R format, xts is most encourgaed; and the file is saved in .RData or .rda. Users may download the dataset DJ30.RData to practice, which is close price of Dow Jones 30 component Stocks.
  3. If the loaded data is price, then you have to pull down the menu and choose Transform Price Data, else, Load Returns Data.
  4. The Next-Month Advice is the output bottom is the assets weights suggestion computed by backtesting for the next period from the end of data. The rolling length is 1 month and estimation is 1 year, which are not allowed to change so far

 

2. pdR 1.5 (2017/1/2)

3. iClick 1.3 (2017/11/25, CRAN) Download example file.

新增 linear model 的 GUI iClick.lm for linear models. Bootsrapping included.

iClick is a button-based GUI(Graphical Users' Interface), its development is based on tcltk.

iClick.GARCH returns an 8-distribution results with output saved selection.

Asset Price Visualization

 

 

4. GVARX 1.0 (Global VARX)