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Contents

1 覈覃企?
2 覈覃
3 覈覃 讌
4
5 れ 襾濠鍵
6 Perry Kaufman Efficiency Ratio
7 豕蠏 90朱 螳


譯朱 [http]
  • 覈覃 蠍磯 - 覈覃 危
  • 襴 蠏碁 , 覲願 讌 | 企 蟾 | 伎豢 | 2019 05 24 豢螳

螻, 覘 2襷企 ? 螳 ..
豈螳 觜語 蠎. ク 朱語 覲企 企.

1 覈覃企? #

蠍 蟯煙 る 襷企. るジ 襷襦 るゴ 螻 るジる 襷.
螻一 暑.

襯 れ, 譯手螳 れ螻 螳.

  • 1: 100
  • 2: 150 -> 觜 50%
  • 3: 120 -> 觜 20%
  • 4: 150 -> 觜 25%

覈覃 螻一 1.5 * 0.80 * 1.25 - 1 = 0.5 = 50%

2 覈覃 #

  • 蠍(1螳) --> 蟯螻(伎 1螳 麹朱 れ 1螳 )
  • 譴蠍(12螳) --> 蟯螻 --> 譴蠍郁 殊蟆 給 譴.
  • リ鍵(60螳) --> 蟯螻

3 覈覃 讌 #

螳襯願 るジ(る) 蟆 覈覃 讌 譬讌 螻, るゴ蟆 譬蟇磯.
企至 豸′? 螳

FIP = sign(螻手碓給) * (襷企 給 觜譴(%) - 給 觜譴(%)) --> 覿殊襦 譬蟇

4 #

螻煙 螳蟆
  • ( 襷る螳 蠍 炎骸 譬蟆 襷り鍵)


--> 螳語朱 覓伎企 蟆 螳る (給 蟆 レ 譯朱蟇 螳讌 )

5 れ 襾濠鍵 #

  • 覈覃 譯殊 螻襯 讌蟾讌 螻ろ 豕 50螳 危襦 觸 (譬覈 襷朱 讌 蟆螻 襷谿螳讌)
  • 襭覲企 10覦 覯蟾 襭 螻れ 襷.
  • 覈覃 覈磯控覲企る 螳豺 + 覈覃
  • 豢 豢譬(豢碁ゼ 覺 豈蟠朱 螳 蠍)
  • MDD (: 10%伎 企覃 蠍)

6 Perry Kaufman Efficiency Ratio #


er.PNG

7 豕蠏 90朱 螳 #

library(quantmod)
library(PerformanceAnalytics)
library(magrittr)
library('lubridate')
library(dplyr)

ticker = c("QQQ", "DIA", "SPY", "TLT", "VNQ", "IAU", "VWO")
getSymbols(ticker, from= today()-90, to = today(),warnings = FALSE, auto.assign = TRUE, src="yahoo")
prices = do.call(cbind, lapply(ticker, function(x) Ad(get(x))))
rets = Return.calculate(prices) %>% na.omit()
#head(rets)
#head(prices)

lambda <- 0.94
result <- data.frame()
for( n in 1:ncol(prices))
{
  tmp1 <- data.frame(price=prices[,n]) %>% mutate(seq=row_number())
  colnames(tmp1) <- c("price", "seq")
  tmp1$ewma <- NA
  tmp1$diff <- NA
  
  for(i in tmp1$seq){
    if (i > 1){
      ewma <- lambda*tmp1[i,]$price +(1-lambda)*ewma
      end <- tmp1[i,]$price
      tmp1[i,]$diff <- abs(end - yesterday_price)
    } 
    else{
      ewma <- tmp1[i,]$price
      yesterday_price <- tmp1[i,]$price
      start <- tmp1[i,]$price
    }
    tmp1$ewma[i] <- ewma
  }
  
  change <- end - start
  volatility <- sum(na.omit(tmp1$diff))
  efficiency_ratio <- change / volatility
  result <- rbind(data.frame(ticker = ticker[n], efficiency_ratio), result)
}
arrange(result, desc(efficiency_ratio))
charts.PerformanceSummary(rets)
蠍 蠍郁鍵..
企: : るジ讓曙 襦螻豺 企Ν 譯殊語. 襦螻豺
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炎概 覲伎レ 讌襷 譟一姶 讌 蟇 ろ襯 覲伎ロ 蠍語企. れ 覦朱 瑚 殊 . (jungim)