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<!DOCTYPE html>
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<meta charset="UTF-8">
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<title>Backtesting Strategies with R</title>
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<meta name="twitter:title" content="Backtesting Strategies with R" />
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<ul class="summary">
<li class="chapter" data-level="1" data-path="index.html"><a href="index.html"><i class="fa fa-check"></i><b>1</b> Introduction</a><ul>
<li class="chapter" data-level="1.1" data-path="index.html"><a href="index.html#r-resources"><i class="fa fa-check"></i><b>1.1</b> R Resources</a></li>
<li class="chapter" data-level="1.2" data-path="index.html"><a href="index.html#libraries"><i class="fa fa-check"></i><b>1.2</b> Libraries</a></li>
<li class="chapter" data-level="1.3" data-path="index.html"><a href="index.html#sessioninfo"><i class="fa fa-check"></i><b>1.3</b> SessionInfo</a></li>
</ul></li>
<li class="chapter" data-level="2" data-path="terminology.html"><a href="terminology.html"><i class="fa fa-check"></i><b>2</b> Terminology</a></li>
<li class="chapter" data-level="3" data-path="using-quantstrat.html"><a href="using-quantstrat.html"><i class="fa fa-check"></i><b>3</b> Using Quantsrat</a><ul>
<li class="chapter" data-level="3.1" data-path="using-quantstrat.html"><a href="using-quantstrat.html#settings-and-variables"><i class="fa fa-check"></i><b>3.1</b> Settings and Variables</a></li>
<li class="chapter" data-level="3.2" data-path="using-quantstrat.html"><a href="using-quantstrat.html#symbols"><i class="fa fa-check"></i><b>3.2</b> Symbols</a></li>
<li class="chapter" data-level="3.3" data-path="using-quantstrat.html"><a href="using-quantstrat.html#checkBlotterUpdate"><i class="fa fa-check"></i><b>3.3</b> checkBlotterUpdate()</a></li>
</ul></li>
<li class="chapter" data-level="4" data-path="get-symbols.html"><a href="get-symbols.html"><i class="fa fa-check"></i><b>4</b> Get Symbols</a><ul>
<li class="chapter" data-level="4.1" data-path="get-symbols.html"><a href="get-symbols.html#yahoo"><i class="fa fa-check"></i><b>4.1</b> Yahoo!</a></li>
<li class="chapter" data-level="4.2" data-path="get-symbols.html"><a href="get-symbols.html#google"><i class="fa fa-check"></i><b>4.2</b> Google</a></li>
<li class="chapter" data-level="4.3" data-path="get-symbols.html"><a href="get-symbols.html#mysql"><i class="fa fa-check"></i><b>4.3</b> MySQL</a></li>
<li class="chapter" data-level="4.4" data-path="get-symbols.html"><a href="get-symbols.html#fred"><i class="fa fa-check"></i><b>4.4</b> FRED</a></li>
<li class="chapter" data-level="4.5" data-path="get-symbols.html"><a href="get-symbols.html#oanda"><i class="fa fa-check"></i><b>4.5</b> OANDA</a></li>
</ul></li>
<li class="chapter" data-level="5" data-path="basic-strategy.html"><a href="basic-strategy.html"><i class="fa fa-check"></i><b>5</b> Basic Strategy</a><ul>
<li class="chapter" data-level="5.1" data-path="basic-strategy.html"><a href="basic-strategy.html#strategy-setup"><i class="fa fa-check"></i><b>5.1</b> Strategy Setup</a></li>
<li class="chapter" data-level="5.2" data-path="basic-strategy.html"><a href="basic-strategy.html#add-indicators"><i class="fa fa-check"></i><b>5.2</b> Add Indicators</a></li>
<li class="chapter" data-level="5.3" data-path="basic-strategy.html"><a href="basic-strategy.html#add-signals"><i class="fa fa-check"></i><b>5.3</b> Add Signals</a></li>
<li class="chapter" data-level="5.4" data-path="basic-strategy.html"><a href="basic-strategy.html#add-rules"><i class="fa fa-check"></i><b>5.4</b> Add Rules</a></li>
<li class="chapter" data-level="5.5" data-path="basic-strategy.html"><a href="basic-strategy.html#apply-strategy"><i class="fa fa-check"></i><b>5.5</b> Apply Strategy</a></li>
</ul></li>
<li class="chapter" data-level="6" data-path="data-quality.html"><a href="data-quality.html"><i class="fa fa-check"></i><b>6</b> Data Quality</a><ul>
<li class="chapter" data-level="6.1" data-path="data-quality.html"><a href="data-quality.html#yahoo-vs.google"><i class="fa fa-check"></i><b>6.1</b> Yahoo! vs. Google</a></li>
<li class="chapter" data-level="6.2" data-path="data-quality.html"><a href="data-quality.html#examining-trades"><i class="fa fa-check"></i><b>6.2</b> Examining Trades</a></li>
</ul></li>
<li class="chapter" data-level="7" data-path="parameter-optimization.html"><a href="parameter-optimization.html"><i class="fa fa-check"></i><b>7</b> Parameter Optimization</a><ul>
<li class="chapter" data-level="7.1" data-path="parameter-optimization.html"><a href="parameter-optimization.html#add-distribution"><i class="fa fa-check"></i><b>7.1</b> Add Distribution</a></li>
<li class="chapter" data-level="7.2" data-path="parameter-optimization.html"><a href="parameter-optimization.html#add-distribution-constraint"><i class="fa fa-check"></i><b>7.2</b> Add Distribution Constraint</a></li>
<li class="chapter" data-level="7.3" data-path="parameter-optimization.html"><a href="parameter-optimization.html#running-parallel"><i class="fa fa-check"></i><b>7.3</b> Running Parallel</a></li>
<li class="chapter" data-level="7.4" data-path="parameter-optimization.html"><a href="parameter-optimization.html#apply-paramset"><i class="fa fa-check"></i><b>7.4</b> Apply Paramset</a></li>
</ul></li>
<li class="chapter" data-level="8" data-path="stop-loss.html"><a href="stop-loss.html"><i class="fa fa-check"></i><b>8</b> Stop-Loss Orders</a><ul>
<li class="chapter" data-level="8.1" data-path="stop-loss.html"><a href="stop-loss.html#add-indicators-1"><i class="fa fa-check"></i><b>8.1</b> Add Indicators</a></li>
<li class="chapter" data-level="8.2" data-path="stop-loss.html"><a href="stop-loss.html#add-signals-1"><i class="fa fa-check"></i><b>8.2</b> Add Signals</a></li>
<li class="chapter" data-level="8.3" data-path="stop-loss.html"><a href="stop-loss.html#add-rules-1"><i class="fa fa-check"></i><b>8.3</b> Add Rules</a></li>
<li class="chapter" data-level="8.4" data-path="stop-loss.html"><a href="stop-loss.html#add-position-limit"><i class="fa fa-check"></i><b>8.4</b> Add Position Limit</a></li>
<li class="chapter" data-level="8.5" data-path="stop-loss.html"><a href="stop-loss.html#enable-rules"><i class="fa fa-check"></i><b>8.5</b> Enable Rules</a></li>
<li class="chapter" data-level="8.6" data-path="stop-loss.html"><a href="stop-loss.html#apply-strategy-1"><i class="fa fa-check"></i><b>8.6</b> Apply Strategy</a></li>
</ul></li>
<li class="chapter" data-level="9" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html"><i class="fa fa-check"></i><b>9</b> Stop Loss Optimization</a><ul>
<li class="chapter" data-level="9.1" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-indicators-2"><i class="fa fa-check"></i><b>9.1</b> Add Indicators</a></li>
<li class="chapter" data-level="9.2" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-signals-2"><i class="fa fa-check"></i><b>9.2</b> Add Signals</a></li>
<li class="chapter" data-level="9.3" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-rules-2"><i class="fa fa-check"></i><b>9.3</b> Add Rules</a></li>
<li class="chapter" data-level="9.4" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-position-limit-1"><i class="fa fa-check"></i><b>9.4</b> Add Position Limit</a></li>
<li class="chapter" data-level="9.5" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-distribution-1"><i class="fa fa-check"></i><b>9.5</b> Add Distribution</a></li>
<li class="chapter" data-level="9.6" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-distribution-constraint-1"><i class="fa fa-check"></i><b>9.6</b> Add Distribution Constraint</a></li>
<li class="chapter" data-level="9.7" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#enable-rules-1"><i class="fa fa-check"></i><b>9.7</b> Enable Rules</a></li>
<li class="chapter" data-level="9.8" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#apply-paramset-1"><i class="fa fa-check"></i><b>9.8</b> Apply Paramset</a></li>
</ul></li>
<li class="chapter" data-level="10" data-path="trailing-stops.html"><a href="trailing-stops.html"><i class="fa fa-check"></i><b>10</b> Trailing Stops</a><ul>
<li class="chapter" data-level="10.1" data-path="trailing-stops.html"><a href="trailing-stops.html#osfixeddollar"><i class="fa fa-check"></i><b>10.1</b> osFixedDollar</a></li>
<li class="chapter" data-level="10.2" data-path="trailing-stops.html"><a href="trailing-stops.html#add-indicators-3"><i class="fa fa-check"></i><b>10.2</b> Add Indicators</a></li>
<li class="chapter" data-level="10.3" data-path="trailing-stops.html"><a href="trailing-stops.html#add-signals-3"><i class="fa fa-check"></i><b>10.3</b> Add Signals</a></li>
<li class="chapter" data-level="10.4" data-path="trailing-stops.html"><a href="trailing-stops.html#add-rules-3"><i class="fa fa-check"></i><b>10.4</b> Add Rules</a></li>
<li class="chapter" data-level="10.5" data-path="trailing-stops.html"><a href="trailing-stops.html#enable-rules-2"><i class="fa fa-check"></i><b>10.5</b> Enable Rules</a></li>
<li class="chapter" data-level="10.6" data-path="trailing-stops.html"><a href="trailing-stops.html#save-strategy"><i class="fa fa-check"></i><b>10.6</b> Save Strategy</a></li>
</ul></li>
<li class="chapter" data-level="11" data-path="obtaining-resources.html"><a href="obtaining-resources.html"><i class="fa fa-check"></i><b>11</b> Obtaining Resources</a><ul>
<li class="chapter" data-level="11.1" data-path="obtaining-resources.html"><a href="obtaining-resources.html#amazon-web-services"><i class="fa fa-check"></i><b>11.1</b> Amazon Web Services</a></li>
<li class="chapter" data-level="11.2" data-path="obtaining-resources.html"><a href="obtaining-resources.html#getting-started"><i class="fa fa-check"></i><b>11.2</b> Getting Started</a><ul>
<li class="chapter" data-level="11.2.1" data-path="obtaining-resources.html"><a href="obtaining-resources.html#installing-quantstrat"><i class="fa fa-check"></i><b>11.2.1</b> Installing Quantstrat</a></li>
</ul></li>
<li class="chapter" data-level="11.3" data-path="obtaining-resources.html"><a href="obtaining-resources.html#testing-resources"><i class="fa fa-check"></i><b>11.3</b> Testing Resources</a></li>
<li class="chapter" data-level="11.4" data-path="obtaining-resources.html"><a href="obtaining-resources.html#changing-instances"><i class="fa fa-check"></i><b>11.4</b> Changing Instances</a></li>
<li class="chapter" data-level="11.5" data-path="obtaining-resources.html"><a href="obtaining-resources.html#stop-the-server"><i class="fa fa-check"></i><b>11.5</b> Stop the Server</a></li>
<li class="chapter" data-level="11.6" data-path="obtaining-resources.html"><a href="obtaining-resources.html#reading-resources"><i class="fa fa-check"></i><b>11.6</b> Reading Resources</a></li>
</ul></li>
<li class="chapter" data-level="12" data-path="analyzing-results.html"><a href="analyzing-results.html"><i class="fa fa-check"></i><b>12</b> Analyzing Results</a><ul>
<li class="chapter" data-level="12.1" data-path="analyzing-results.html"><a href="analyzing-results.html#apply-strategy-2"><i class="fa fa-check"></i><b>12.1</b> Apply Strategy</a></li>
<li class="chapter" data-level="12.2" data-path="analyzing-results.html"><a href="analyzing-results.html#chart-positions"><i class="fa fa-check"></i><b>12.2</b> Chart Positions</a></li>
<li class="chapter" data-level="12.3" data-path="analyzing-results.html"><a href="analyzing-results.html#trade-statistics"><i class="fa fa-check"></i><b>12.3</b> Trade Statistics</a><ul>
<li class="chapter" data-level="12.3.1" data-path="analyzing-results.html"><a href="analyzing-results.html#trade-related"><i class="fa fa-check"></i><b>12.3.1</b> Trade Related</a></li>
<li class="chapter" data-level="12.3.2" data-path="analyzing-results.html"><a href="analyzing-results.html#profit-related"><i class="fa fa-check"></i><b>12.3.2</b> Profit Related</a></li>
<li class="chapter" data-level="12.3.3" data-path="analyzing-results.html"><a href="analyzing-results.html#averages"><i class="fa fa-check"></i><b>12.3.3</b> Averages</a></li>
<li class="chapter" data-level="12.3.4" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-summary"><i class="fa fa-check"></i><b>12.3.4</b> Performance Summary</a></li>
<li class="chapter" data-level="12.3.5" data-path="analyzing-results.html"><a href="analyzing-results.html#per-trade-statistics"><i class="fa fa-check"></i><b>12.3.5</b> Per Trade Statistics</a></li>
<li class="chapter" data-level="12.3.6" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-statistics"><i class="fa fa-check"></i><b>12.3.6</b> Performance Statistics</a></li>
<li class="chapter" data-level="12.3.7" data-path="analyzing-results.html"><a href="analyzing-results.html#risk-statistics"><i class="fa fa-check"></i><b>12.3.7</b> Risk Statistics</a></li>
<li class="chapter" data-level="12.3.8" data-path="analyzing-results.html"><a href="analyzing-results.html#buy-and-hold-performance"><i class="fa fa-check"></i><b>12.3.8</b> Buy and Hold Performance</a></li>
<li class="chapter" data-level="12.3.9" data-path="analyzing-results.html"><a href="analyzing-results.html#strategy-vs.market"><i class="fa fa-check"></i><b>12.3.9</b> Strategy vs. Market</a></li>
<li class="chapter" data-level="12.3.10" data-path="analyzing-results.html"><a href="analyzing-results.html#riskreturn-scatterplot"><i class="fa fa-check"></i><b>12.3.10</b> Risk/Return Scatterplot</a></li>
<li class="chapter" data-level="12.3.11" data-path="analyzing-results.html"><a href="analyzing-results.html#relative-performance"><i class="fa fa-check"></i><b>12.3.11</b> Relative Performance</a></li>
<li class="chapter" data-level="12.3.12" data-path="analyzing-results.html"><a href="analyzing-results.html#portfolio-summary"><i class="fa fa-check"></i><b>12.3.12</b> Portfolio Summary</a></li>
<li class="chapter" data-level="12.3.13" data-path="analyzing-results.html"><a href="analyzing-results.html#order-book"><i class="fa fa-check"></i><b>12.3.13</b> Order Book</a></li>
<li class="chapter" data-level="12.3.14" data-path="analyzing-results.html"><a href="analyzing-results.html#maximum-adverse-excursion"><i class="fa fa-check"></i><b>12.3.14</b> Maximum Adverse Excursion</a></li>
<li class="chapter" data-level="12.3.15" data-path="analyzing-results.html"><a href="analyzing-results.html#maximum-favorable-excursion"><i class="fa fa-check"></i><b>12.3.15</b> Maximum Favorable Excursion</a></li>
</ul></li>
<li class="chapter" data-level="12.4" data-path="analyzing-results.html"><a href="analyzing-results.html#account-summary"><i class="fa fa-check"></i><b>12.4</b> Account Summary</a><ul>
<li class="chapter" data-level="12.4.1" data-path="analyzing-results.html"><a href="analyzing-results.html#equity-curve"><i class="fa fa-check"></i><b>12.4.1</b> Equity Curve</a></li>
<li class="chapter" data-level="12.4.2" data-path="analyzing-results.html"><a href="analyzing-results.html#account-performance-summary"><i class="fa fa-check"></i><b>12.4.2</b> Account Performance Summary</a></li>
<li class="chapter" data-level="12.4.3" data-path="analyzing-results.html"><a href="analyzing-results.html#cumulative-returns"><i class="fa fa-check"></i><b>12.4.3</b> Cumulative Returns</a></li>
<li class="chapter" data-level="12.4.4" data-path="analyzing-results.html"><a href="analyzing-results.html#distribution-analysis"><i class="fa fa-check"></i><b>12.4.4</b> Distribution Analysis</a></li>
<li class="chapter" data-level="12.4.5" data-path="analyzing-results.html"><a href="analyzing-results.html#annualized-returns"><i class="fa fa-check"></i><b>12.4.5</b> Annualized Returns</a></li>
<li class="chapter" data-level="12.4.6" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-scatter-plot"><i class="fa fa-check"></i><b>12.4.6</b> Performance Scatter Plot</a></li>
<li class="chapter" data-level="12.4.7" data-path="analyzing-results.html"><a href="analyzing-results.html#notional-costs"><i class="fa fa-check"></i><b>12.4.7</b> Notional Costs</a></li>
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<li class="chapter" data-level="13" data-path="walk-forward-analysis.html"><a href="walk-forward-analysis.html"><i class="fa fa-check"></i><b>13</b> Walk Forward Analysis</a></li>
<li class="chapter" data-level="14" data-path="monte-carlo-analysis.html"><a href="monte-carlo-analysis.html"><i class="fa fa-check"></i><b>14</b> Monte Carlo Analysis</a></li>
<li class="chapter" data-level="15" data-path="warnings-and-errors.html"><a href="warnings-and-errors.html"><i class="fa fa-check"></i><b>15</b> Warnings and Errors</a><ul>
<li class="chapter" data-level="15.1" data-path="warnings-and-errors.html"><a href="warnings-and-errors.html#must-use-auto.assigntrue-for-multiple-symbols-requests"><i class="fa fa-check"></i><b>15.1</b> Must use auto.assign=TRUE for multiple Symbols requests</a></li>
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<li class="chapter" data-level="16.1" data-path="about-backtesting-strategies-with-r.html"><a href="about-backtesting-strategies-with-r.html#tim-trice"><i class="fa fa-check"></i><b>16.1</b> Tim Trice</a></li>
<li class="chapter" data-level="16.2" data-path="about-backtesting-strategies-with-r.html"><a href="about-backtesting-strategies-with-r.html#to-you-the-reader"><i class="fa fa-check"></i><b>16.2</b> To You, the Reader</a></li>
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<section class="normal" id="section-">
<div id="get-symbols" class="section level1">
<h1><span class="header-section-number">Chapter 4</span> Get Symbols</h1>
<p>We start off by loading <code>basic_symbols()</code> into the <code>symbols</code> variable:</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">print</span>(<span class="kw">basic_symbols</span>())</code></pre></div>
<pre><code>## [1] "IWM" "QQQ" "SPY"</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">symbols <-<span class="st"> </span><span class="kw">basic_symbols</span>()</code></pre></div>
<p><code>getSymbols()</code> is part of the <code>quantmod</code> package which was automatically loaded when we loaded <code>quantstrat</code>. It should have been installed automatically when you install <code>quantstrat</code>.</p>
<p>We send a request through <code>getSymbols()</code> to download data. We can use any of the following sources:</p>
<ul>
<li><p>Yahoo!</p></li>
<li><p>Google</p></li>
<li><p>MySQL</p></li>
<li><p>RData</p></li>
<li><p>CSV</p></li>
</ul>
<p>For data other than stocks we can use:</p>
<ul>
<li><p><a href="https://research.stlouisfed.org/fred2/">FRED (Federal Reserve Economic Data) source</a>; FRED contains data such as unemployment, GDP, treasury rates and more.</p></li>
<li><p><a href="https://www.oanda.com/">OANDA</a> is a subscription-service for forex and currency data.</p></li>
</ul>
<div id="yahoo" class="section level2">
<h2><span class="header-section-number">4.1</span> Yahoo!</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">getSymbols</span>(<span class="dt">Symbols =</span> symbols,
<span class="dt">src =</span> <span class="st">"yahoo"</span>,
<span class="dt">index.class =</span> <span class="st">"POSIXct"</span>,
<span class="dt">from =</span> start_date,
<span class="dt">to =</span> end_date,
<span class="dt">adjust =</span> adjustment)</code></pre></div>
<pre><code>## As of 0.4-0, 'getSymbols' uses env=parent.frame() and
## auto.assign=TRUE by default.
##
## This behavior will be phased out in 0.5-0 when the call will
## default to use auto.assign=FALSE. getOption("getSymbols.env") and
## getOptions("getSymbols.auto.assign") are now checked for alternate defaults
##
## This message is shown once per session and may be disabled by setting
## options("getSymbols.warning4.0"=FALSE). See ?getSymbols for more details.</code></pre>
<pre><code>## [1] "IWM" "QQQ" "SPY"</code></pre>
<p>The first thing you notice is the warning message. As it states, it will only appear the first time you run <code>getSymbols()</code> in a new session.</p>
<ul>
<li><p><strong>Symbols</strong>: one or a vector of multiple symbols.</p></li>
<li><p><strong>src</strong>: string, our source. In this case, Yahoo!</p></li>
<li><p><strong>index.class</strong>: POSIXct. This sets the class of our xts object index.</p></li>
<li><p><strong>from</strong>: string, first date of data we want to retrieve</p></li>
<li><p><strong>end</strong>: string, last date of data we want to retrieve</p></li>
<li><p><strong>adjust</strong>: boolean, whether to adjust our data or not. Suggested to set as TRUE.</p></li>
</ul>
<p><code>getSymbols</code> will load xts objects for each of the symbols we passed into our Global Environment. We can view the data as we would any other dataset.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">head</span>(IWM)</code></pre></div>
<pre><code>## IWM.Open IWM.High IWM.Low IWM.Close IWM.Volume IWM.Adjusted
## 2008-01-02 74.03150 74.37176 72.51490 73.06905 94259600 66.70117
## 2008-01-03 73.17598 73.51625 71.97048 72.26213 78036800 65.96457
## 2008-01-04 71.20245 71.28996 69.61780 70.08445 123498600 63.97667
## 2008-01-07 70.26916 70.82330 69.09283 70.24000 139672900 64.11867
## 2008-01-08 70.30805 71.23162 68.07203 68.07203 157222700 62.13964
## 2008-01-09 67.98454 69.02477 66.71099 68.76229 140191600 62.76974</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">tail</span>(IWM)</code></pre></div>
<pre><code>## IWM.Open IWM.High IWM.Low IWM.Close IWM.Volume IWM.Adjusted
## 2009-12-23 62.70 63.16 62.28 63.12 49503600 57.61916
## 2009-12-24 63.29 63.39 63.13 63.36 16521900 57.83825
## 2009-12-28 63.59 63.61 62.97 63.26 35784500 57.74696
## 2009-12-29 63.42 63.53 63.18 63.23 24085300 57.71958
## 2009-12-30 63.04 63.49 62.65 63.19 45268900 57.68306
## 2009-12-31 63.23 63.57 62.26 62.44 34407900 56.99842</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">summary</span>(IWM)</code></pre></div>
<pre><code>## Index IWM.Open IWM.High
## Min. :2008-01-02 00:00:00 Min. :34.28 Min. :35.17
## 1st Qu.:2008-07-02 00:00:00 1st Qu.:48.31 1st Qu.:49.42
## Median :2008-12-31 00:00:00 Median :58.88 Median :59.42
## Mean :2008-12-31 20:46:05 Mean :57.83 Mean :58.65
## 3rd Qu.:2009-07-02 00:00:00 3rd Qu.:68.03 3rd Qu.:69.02
## Max. :2009-12-31 00:00:00 Max. :77.14 Max. :84.11
## IWM.Low IWM.Close IWM.Volume IWM.Adjusted
## Min. :33.81 Min. :33.94 Min. : 50600 Min. :30.98
## 1st Qu.:47.48 1st Qu.:48.44 1st Qu.: 51197500 1st Qu.:44.22
## Median :58.13 Median :58.72 Median : 69790800 Median :53.60
## Mean :56.94 Mean :57.81 Mean : 77115884 Mean :52.77
## 3rd Qu.:67.24 3rd Qu.:68.14 3rd Qu.: 96282200 3rd Qu.:62.21
## Max. :72.80 Max. :74.20 Max. :355117000 Max. :67.73</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co"># Clear symbols</span>
<span class="kw">rm</span>(<span class="dt">list=</span><span class="kw">basic_symbols</span>())</code></pre></div>
</div>
<div id="google" class="section level2">
<h2><span class="header-section-number">4.2</span> Google</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">getSymbols</span>(<span class="dt">Symbols =</span> symbols,
<span class="dt">src =</span> <span class="st">"google"</span>,
<span class="dt">index.class =</span> <span class="st">"POSIXct"</span>,
<span class="dt">from =</span> start_date,
<span class="dt">to =</span> end_date,
<span class="dt">adjust =</span> adjustment)</code></pre></div>
<pre><code>## [1] "IWM" "QQQ" "SPY"</code></pre>
<p>We access data from Google same as Yahoo! only changing the <strong>src</strong> parameter.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">head</span>(IWM)</code></pre></div>
<pre><code>## IWM.Open IWM.High IWM.Low IWM.Close IWM.Volume
## 2008-01-02 76.15 76.50 74.59 75.16 90414700
## 2008-01-03 75.27 75.62 74.03 74.33 72688600
## 2008-01-04 73.24 73.33 71.61 72.09 6932200
## 2008-01-07 72.28 72.85 71.07 72.25 36734900
## 2008-01-08 72.32 73.27 70.02 70.02 47046500
## 2008-01-09 69.93 71.00 68.62 70.73 23320600</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">tail</span>(IWM)</code></pre></div>
<pre><code>## IWM.Open IWM.High IWM.Low IWM.Close IWM.Volume
## 2009-12-23 62.70 63.16 62.28 63.12 49507902
## 2009-12-24 63.29 63.39 63.13 63.36 16522449
## 2009-12-28 63.59 63.61 62.97 63.26 35791114
## 2009-12-29 63.42 63.53 63.18 63.23 24085986
## 2009-12-30 63.04 63.49 62.65 63.19 45268923
## 2009-12-31 NA NA NA 62.44 0</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">summary</span>(IWM)</code></pre></div>
<pre><code>## Index IWM.Open IWM.High IWM.Low
## Min. :2008-01-02 Min. :34.73 Min. : 35.64 Min. :34.26
## 1st Qu.:2008-07-01 1st Qu.:48.98 1st Qu.: 49.92 1st Qu.:48.10
## Median :2008-12-30 Median :59.12 Median : 59.73 Median :58.37
## Mean :2008-12-31 Mean :58.83 Mean : 59.81 Mean :57.92
## 3rd Qu.:2009-07-01 3rd Qu.:69.92 3rd Qu.: 70.90 3rd Qu.:69.05
## Max. :2009-12-31 Max. :78.92 Max. :159.46 Max. :74.59
## NA's :1 NA's :1 NA's :1
## IWM.Close IWM.Volume
## Min. :34.39 Min. : 0
## 1st Qu.:49.06 1st Qu.: 40761287
## Median :59.02 Median : 57575055
## Mean :58.81 Mean : 57593828
## 3rd Qu.:69.96 3rd Qu.: 74991155
## Max. :76.20 Max. :160640196
## </code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co"># Clear symbols</span>
<span class="kw">rm</span>(<span class="dt">list=</span><span class="kw">basic_symbols</span>())</code></pre></div>
</div>
<div id="mysql" class="section level2">
<h2><span class="header-section-number">4.3</span> MySQL</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">getSymbols</span>(<span class="dt">Symbols =</span> symbols,
<span class="dt">src =</span> <span class="st">"MySQL"</span>,
<span class="dt">dbname =</span> db,
<span class="dt">user =</span> user,
<span class="dt">password =</span> pw,
<span class="dt">host =</span> host,
<span class="dt">index.class =</span> <span class="st">"POSIXct"</span>,
<span class="dt">from =</span> start_date,
<span class="dt">to =</span> end_date,
<span class="dt">adjust =</span> adjustment)</code></pre></div>
<pre><code>## [1] "IWM" "QQQ" "SPY"</code></pre>
<p>To load data via MySQL database we need to supply additional parameters: <strong>dbname</strong>, <strong>user</strong>, <strong>password</strong> and <strong>host</strong>. <strong>user</strong> needs to have SELECT privileges but nothing more for our purposes.</p>
<p><code>getSymbols()</code> does not currently permit passing database values via a my.cnf file. The parameters are checked early in the function so either you need to include them in the call or include them in a hidden R file outside of your project directory and source the file.</p>
<p>Your database should contain a table named by symbol, one for each symbol. Each table should have the following fields: <strong>date</strong>, <strong>o</strong>, <strong>h</strong>, <strong>l</strong>, <strong>c</strong>, <strong>v</strong> and <strong>a</strong>. If your table has different field names you must add them to the <em>db.fields</em> parameter as a character vector.</p>
<p>You can also change the names of the fields as they are imported into R by using the <em>field.names</em> parameter. However, none of that is required as long as <em>db.fields</em> meets the default criteria.</p>
<p>The data in my database is a duplicate of Yahoo!. The output below is to show the success of the <code>getSymbols(src="MySQL")</code> call.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">head</span>(IWM)</code></pre></div>
<pre><code>## IWM.Open IWM.High IWM.Low IWM.Close IWM.Volume IWM.Adjusted
## 2008-01-02 74.03150 74.37176 72.51490 73.06905 94259600 66.70117
## 2008-01-03 73.17598 73.51625 71.97048 72.26213 78036800 65.96457
## 2008-01-04 71.20245 71.28996 69.61780 70.08445 123498600 63.97667
## 2008-01-07 70.26916 70.82330 69.09283 70.24000 139672900 64.11867
## 2008-01-08 70.30805 71.23162 68.07203 68.07203 157222700 62.13964
## 2008-01-09 67.98454 69.02477 66.71099 68.76229 140191600 62.76974</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">tail</span>(IWM)</code></pre></div>
<pre><code>## IWM.Open IWM.High IWM.Low IWM.Close IWM.Volume IWM.Adjusted
## 2009-12-23 62.70 63.16 62.28 63.12 49503600 57.61916
## 2009-12-24 63.29 63.39 63.13 63.36 16521900 57.83825
## 2009-12-28 63.59 63.61 62.97 63.26 35784500 57.74696
## 2009-12-29 63.42 63.53 63.18 63.23 24085300 57.71958
## 2009-12-30 63.04 63.49 62.65 63.19 45268900 57.68306
## 2009-12-31 63.23 63.57 62.26 62.44 34407900 56.99842</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">summary</span>(IWM)</code></pre></div>
<pre><code>## Index IWM.Open IWM.High IWM.Low
## Min. :2008-01-02 Min. :34.28 Min. :35.17 Min. :33.81
## 1st Qu.:2008-07-02 1st Qu.:48.31 1st Qu.:49.42 1st Qu.:47.48
## Median :2008-12-31 Median :58.88 Median :59.42 Median :58.13
## Mean :2008-12-31 Mean :57.83 Mean :58.65 Mean :56.94
## 3rd Qu.:2009-07-02 3rd Qu.:68.03 3rd Qu.:69.02 3rd Qu.:67.24
## Max. :2009-12-31 Max. :77.14 Max. :84.11 Max. :72.80
## IWM.Close IWM.Volume IWM.Adjusted
## Min. :33.94 Min. : 50600 Min. :30.98
## 1st Qu.:48.44 1st Qu.: 51197500 1st Qu.:44.22
## Median :58.72 Median : 69790800 Median :53.60
## Mean :57.81 Mean : 77115884 Mean :52.77
## 3rd Qu.:68.14 3rd Qu.: 96282200 3rd Qu.:62.21
## Max. :74.20 Max. :355117000 Max. :67.73</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co"># Clear symbols</span>
<span class="kw">rm</span>(<span class="dt">list=</span><span class="kw">basic_symbols</span>())</code></pre></div>
</div>
<div id="fred" class="section level2">
<h2><span class="header-section-number">4.4</span> FRED</h2>
<p>For this example we’ll bail on the <code>symbols</code> we have been using prior. FRED contains over 11,000 econonomic datasets at no cost.</p>
<p>Let’s look at the 10-Year Treasury Rate:</p>
<blockquote>
<p><a href="https://research.stlouisfed.org/fred2/series/DGS10" class="uri">https://research.stlouisfed.org/fred2/series/DGS10</a></p>
</blockquote>
<p>Notice the tail of the url has the alphanumeric string <strong>DGS10</strong> which we will be using in our <code>getSymbols()</code> call.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">getSymbols</span>(<span class="dt">Symbols =</span> <span class="st">"DGS10"</span>, <span class="dt">src =</span> <span class="st">"FRED"</span>)</code></pre></div>
<pre><code>## [1] "DGS10"</code></pre>
<p>Notice our call is shorter than previous; we do not need to classify index nor do we need to adjust any data.</p>
<p>In addition, passing data parameters doesn’t seem to do anything; the entire dataset is returned.</p>
<p>I’ll use <code>quantmod::chartSeries()</code> to plot the data:</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">chartSeries</span>(DGS10)</code></pre></div>
<p><img src="_main_files/figure-html/get-symbols-dgs10-chartseries-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">rm</span>(DGS10)</code></pre></div>
</div>
<div id="oanda" class="section level2">
<h2><span class="header-section-number">4.5</span> OANDA</h2>
<p>Contributions needed.</p>
</div>
</div>
</section>
</div>
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