getSymbols downloading data for multiple symbols and calculate returns

问题

I'm currently downloading stock data using GetSymbols from the Quantmod package and calculating the daily stock returns, and then combining the data into a dataframe. I would like to do this for a very large set of stock symbols. See example below. In stead of doing this manually I would like to use a For Loop if possible or maybe use one of the apply functions, however I can not find the solution.

This is what I currently do:

Symbols<-c  ("XOM","MSFT","JNJ","GE","CVX","WFC","PG","JPM","VZ","PFE","T","IBM","MRK","BAC","DIS","ORCL","PM","INTC","SLB")
length(Symbols)

#daily returns for selected stocks & SP500 Index
SP500<-as.xts(dailyReturn(na.omit(getSymbols("^GSPC",from=StartDate,auto.assign=FALSE))))
S1<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[1],from=StartDate,auto.assign=FALSE))))
S2<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[2],from=StartDate,auto.assign=FALSE))))
S3<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[3],from=StartDate,auto.assign=FALSE))))
S4<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[4],from=StartDate,auto.assign=FALSE))))
S5<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[5],from=StartDate,auto.assign=FALSE))))
S6<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[6],from=StartDate,auto.assign=FALSE))))
S7<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[7],from=StartDate,auto.assign=FALSE))))
S8<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[8],from=StartDate,auto.assign=FALSE))))
S9<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[9],from=StartDate,auto.assign=FALSE))))
S10<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[10],from=StartDate,auto.assign=FALSE)))) 
....
S20<-as.xts(dailyReturn(na.omit(getSymbols(Symbols[20],from=StartDate,auto.assign=FALSE)))) 

SPportD<-cbind(SP500,S1,S2,S3,S4,S5,S6,S7,S8,S9,S10,S11,S12,S13,S14,S15,S16,S17,S18,S19,S20)
names(SPportD)[1:(length(Symbols)+1)]<-c("SP500",Symbols)

SPportD.df<-data.frame(index(SPportD),coredata(SPportD),stringsAsFactors=FALSE)
names(SPportD.df)[1:(length(Symbols)+2)]<-c(class(StartDate),"SP500",Symbols)

Any suggestions?

Thanks!

回答1:

lapply is your friend:

Stocks = lapply(Symbols, function(sym) {
  dailyReturn(na.omit(getSymbols(sym, from=StartDate, auto.assign=FALSE)))
})

Then to merge:

do.call(merge, Stocks)

Similar application for the other assignments

回答2:

dailyReturn uses close prices, so I would recommend you either use a different function (e.g. TTR::ROC on the Adjusted column), or adjust the close prices for dividends/splits (using adjustOHLC) before calling dailyReturn.

library(quantmod)
Symbols <- c("XOM","MSFT","JNJ","GE","CVX","WFC","PG","JPM","VZ","PFE",
             "T","IBM","MRK","BAC","DIS","ORCL","PM","INTC","SLB")
# create environment to load data into
Data <- new.env()
getSymbols(c("^GSPC",Symbols), from="2007-01-01", env=Data)    
# calculate returns, merge, and create data.frame (eapply loops over all
# objects in an environment, applies a function, and returns a list)
Returns <- eapply(Data, function(s) ROC(Ad(s), type="discrete"))
ReturnsDF <- as.data.frame(do.call(merge, Returns))
# adjust column names are re-order columns
colnames(ReturnsDF) <- gsub(".Adjusted","",colnames(ReturnsDF))
ReturnsDF <- ReturnsDF[,c("GSPC",Symbols)]

回答3:

Packages are quantmod for data download and PerformanceAnalytics for analysis/plotting.

care must be taken with time series date alignment

Code

require(quantmod)
require(PerformanceAnalytics)


Symbols<-c  ("XOM","MSFT","JNJ","GE","CVX","WFC","PG","JPM","VZ","PFE","T","IBM","MRK","BAC","DIS","ORCL","PM","INTC","SLB")
length(Symbols)

#Set start date
start_date=as.Date("2014-01-01")

#Create New environment to contain stock price data
dataEnv<-new.env()

#download data          
getSymbols(Symbols,env=dataEnv,from=start_date)


#You have 19 symbols, the time series data for all the symbols might not be aligned 


#Load Systematic investor toolbox for helpful functions

setInternet2(TRUE)
con = gzcon(url('https://github.com/systematicinvestor/SIT/raw/master/sit.gz', 'rb'))
    source(con)
close(con)

#helper function for extracting Closing price of getsymbols output and for date alignment 

bt.prep(dataEnv,align='remove.na')

#Now all your time series are correctly aligned

#prices data

stock_prices = dataEnv$prices
head(stock_prices[,1:3])
# head(stock_prices[,1:3])
#             BAC    CVX   DIS
#2014-01-02 16.10 124.14 76.27
#2014-01-03 16.41 124.35 76.11
#2014-01-06 16.66 124.02 75.82
#2014-01-07 16.50 125.07 76.34
#2014-01-08 16.58 123.29 75.22
#2014-01-09 16.83 123.29 74.90

 #calculate returns
 stock_returns = Return.calculate(stock_prices, method = c("discrete"))
 head(stock_returns[,1:3])
# head(stock_returns[,1:3])
#                    BAC          CVX          DIS
#2014-01-02           NA           NA           NA
#2014-01-03  0.019254658  0.001691638 -0.002097810
#2014-01-06  0.015234613 -0.002653800 -0.003810275
#2014-01-07 -0.009603842  0.008466376  0.006858349
#2014-01-08  0.004848485 -0.014232030 -0.014671208
#2014-01-09  0.015078408  0.000000000 -0.004254188

#Plot Performance for first three stocks
charts.PerformanceSummary(stock_returns[,1:3],main='Stock Absolute Performance',legend.loc="bottomright")

Performance Chart:

来源：https://stackoverflow.com/questions/24377590/getsymbols-downloading-data-for-multiple-symbols-and-calculate-returns

标签

loops

quantmod

stocks