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Targets__mine__20140912.R
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#########################################################################################################
#########################################################################################################
### ###
### ###
if (FALSE){ ## Do not run!!
CODE <- c(paste("000",1:9,sep=""),paste("00",10:99,sep=""),paste("0",100:999,sep=""),as.character("1000":"9999"))
ttt0 <- system.time({ price.CODE <- getStockData( years=c(201409), codes=CODE ) })
ttt0 <- print(paste("Took",round(ttt0[3]/60,2),"min.",sep=""))
length( price.CODE$S )
stockcodes <- names( price.CODE$S )
save( stockcodes,price.CODE,ttt0, file="All_StockNames_with_PriceData_basedon_date_201409.RData")
load("All_StockNames_with_PriceData_basedon_date_201408.RData")
load("VolumeDataFiles_201408.RData")
ttt1 <- system.time({ VData <- getVolumeData_ALL( DATA=VData, dates=c(201408) ) })
ttt1 <- print(paste("Took",round(ttt1[3]/60,2),"min.",sep=""))
save( VData,ttt1, file="VolumeDataFiles_201408.RData")
ttt2 <- system.time({ VM.stock <- Vol.fcn(Rnames=NULL,data=VData) })
ttt2 <- print(paste("Took",round(ttt2[3]/60,2),"min.",sep=""))
save( VData,ttt1, VM.stock,ttt2, file="VolumeDataFiles_201408.RData")
snames <- c(); for(k in 1:length(VData$V)){ snames <- union(snames,VData$V[[k]][,2]) }; snames <- sort(snames); length(snames)
names(price)
names(price.CODE)
length(price[[2]])
length(price.CODE[[2]])
price[[1]][[10]]
price.CODE[[1]][[10]]
ttt3 <- system.time({ price <- getStockData( PRICE=price, years=c(201409), codes=snames, keep.dataFile=F ) })
ttt3 <- print(paste("Took",round(ttt3[3]/60,2),"min.",sep=""))
save( VData,ttt1, VM.stock,ttt2, price,ttt3, file="VolumeDataFiles_201408.RData")
ttt4 <- system.time({ priceData <- getStockData( PRICE=price.CODE, years=c(2014), codes=stockcodes, keep.dataFile=F ) })
ttt4 <- print(paste("Took",round(ttt4[3]/60,2),"min.",sep=""))
save( VData,ttt1, VM.stock,ttt2, price,ttt3, priceData,ttt4,stockcodes, file="VolumeDataFiles_201408.RData")
ttt5 <- system.time({ VM.price <- VMP.fcn( VMS=VM.stock, PDATA=price, stock=NULL, dates=NULL ) })
ttt5 <- print(paste("Took",round(ttt5[3]/60,2),"min.",sep=""))
save( VData,ttt1, VM.stock,ttt2, price,ttt3, priceData,ttt4,stockcodes, VM.price,ttt5, file="VolumeDataFiles_201408.RData")
setdiff(stockcodes,names(priceData$S))
ttt6 <- system.time({ VM.priceData <- VMP.fcn( VMS=VM.stock, PDATA=priceData, stock=NULL, dates=NULL ) })
ttt6 <- print(paste("Took",round(ttt6[3]/60,2),"min.",sep=""))
save( VData,ttt1, VM.stock,ttt2, price,ttt3, priceData,ttt4,stockcodes, VM.price,ttt5, VM.priceData,ttt6, file="VolumeDataFiles_201408.RData")
ttt1; ttt2; ttt3; ttt4; ttt5; ttt6;
} ## Do not run!!
### ###
### ###
#########################################################################################################
#########################################################################################################
getwd()
load("VolumeDataFiles_201408.RData")
objects()
source("stock functions for real data.r")
## source("stock functions.r")
#########################################################################################################
#########################################################################################################
### ###
### VData, VM.stock, price, and VM.price are all data stored before. ###
### ###
### VData is the Vloume data categorized by each date. ###
### VM.stock is the Vloume data categorized by each stock. ###
### price is the Vloume data categorized by each stock. ###
### VM.price is the comvined Vloume and price data categorized by each stock. ###
### ###
### ###
###
### source("stock functions for real data.r")
###
names(VData)
names(VM.stock) ## names of working stocks
names(price$S ) ## names of working stocks
length(VM.stock)
length(price$S)
length(priceData$S)
length(VM.price)
length(VM.priceData)
length( VData$V ) ## number of dates from "20140301" to "20140531"
length( names(VM.stock) ) ## number of stocks
length( names(price$S) ) ## number of stocks
names(VM.price)
t(sapply(VData$V,dim))
VData$V[[1]][1:10,]
price$S[[1]]$S[1:10,]
VM.stock[[1]][,1:5]
VM.stock[[2]][1:10,]
VM.price[[2]][1:10,]
VM.price[[2]][36:98,]
VM.price[[1]][36:98,][1:5,]
par(mfrow=c(2,3))
cbdplot( stocks=1:6, pdfname=NULL)
##
## cbdplot( wData=VM.priceData, stocks=NULL, dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname="All stock data.pdf", dim=c(1,1))
##
VM.priceData[[14]][,c(1,16)]
VM.priceData[[15]][,c(1,16)]
STOCKNAMES <- getName(names(VM.priceData))
STOCKNAMES[1:100,]
SID=c("3582")
SID=c("4999")
SID=c("1101")
SID=c("2331")
SID=c("5356")
SID=c("4746")
tmpppp <- VMP.fcn(VMS=VM.stock,stock=SID,dates=c(2014:2014))
tmpppp <- VMP.fcn(VMS=VM.stock,stock=SID,dates=c(2010:2014))
tmpppp[[1]][,1]
dim(tmpppp[[1]])
cbdplot( wData=tmpppp, stocks=SID, dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname=NULL, dim=c(1,1))
tmpppp[[1]][1:5,]
tmpppp[[1]][nrow(tmpppp[[1]])-9:0,]
cbdplot( wData=tmpppp, stocks=SID, dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname=NULL, dim=c(1,1))
cbdplot( wData=VM.priceData, stocks=SID, dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname=NULL, dim=c(1,1))
kk=1:4+12
cbdplot( wData=VM.priceData, stocks=names(VM.priceData)[kk], dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname=NULL, dim=c(2,2))
stock4746 <- getStockData( years=c(2014), codes=c("4746") )
tmpppp <- VMP.fcn(VMS=VM.stock,PDATA=stock4746,stock=c("4746"),dates=c(2014))
cbdplot( wData=tmpppp, stocks=NULL, dates=NULL, sub=NULL, pdfname=NULL, dim=c(1,1))
stock4746[[1]][[1]][[2]]
stock4746[[1]][[1]][[2]][nrow(stock4746[[1]][[1]][[2]]):1,][1:5,]
SID <- c("3260","2477")
SID <- c("0080","0058")
tmpppp <- VMP.fcn(VMS=VM.stock,stock=SID,dates=c(2014))
cbdplot( wData=tmpppp, stocks=NULL, dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname="test.pdf", dim=c(1,1))
stock2330 <- getStockData(years=c(2000:2014),codes=c("2330"))
tmpppp <- VMP.fcn(VMS=VM.stock,PDATA=stock2330,stock=c("2330"),dates=c(2000:2014))
cbdplot( wData=tmpppp, stocks=NULL, dates=NULL, sub=NULL, pdfname=NULL, dim=c(1,1))
cbdplot( wData=tmpppp, stocks=NULL, dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname="test2330.pdf", dim=c(1,1))
stock.tmp <- getStockData(years=c(2010:2014),codes=c("2820"))
tmpppp <- VMP.fcn(VMS=VM.stock,PDATA=stock.tmp,stock=c("2820"),dates=c(2010:2014))
cbdplot( wData=tmpppp, stocks=NULL, dates=NULL, sub=NULL, pdfname=NULL, dim=c(1,1))
getName(stock=c("0055"))
source("stock functions for real data.r")
### ###
### ###
#########################################################################################################
#########################################################################################################
price$S[[1]][[1]]
price$S[[1]][[2]]
length(price$S)
length(price.CODE$S)
length(snames)
length(stockcodes)
length(union(snames,stockcodes))
length(intersect(snames,stockcodes))
setdiff(intersect(snames,stockcodes),names(price$S))
setdiff(names(price$S),intersect(snames,stockcodes))
names(price$S)[1:5]
setdiff(1:6,1:5*2)
setdiff(1:5*2,1:6)
source("stock functions for real data.r")
#########################################################################################################
#########################################################################################################
### ###
### 外陸資佔其可持股比例低高排序 ###
### ###
SD2014.1 <- ShareData(Date="20140623")
SD2014.2 <- ShareData(Date="20140623",Sub=F)
dim(SD2014.1$M1)
dim(SD2014.2$M1)
SD2014 <- ShareData(Date="20140623")
dim(SD2014$M1)
SD2014$M1[,c(1:2,4:9)]
names(SD2014$M1)[5:6]
SPD <- SD2014$M1[order(SD2014$M1[,6]/rowSums(SD2014$M1[,5:6]),decreasing=T),-c(3,10:11)] ## 外陸資佔其可持股比例低高排序
dim(SPD)
SPD[1:10,]
ShareData(code=c("4915","2712","2723","2727"))$M1[,-c(3,9:11)]
SD2014$M1[1:30+450,c(1:2,7:8)]
SID <- SPD[c(1:12,1+nrow(SPD)-12:1),][,1]; SID
tmp.pData <- getStockData(years=c(2014),code=SID)
tmp.wData <- VMP.fcn( PDATA=tmp.pData, stock=SID, dates=c(2014))
names(tmp.wData)
cbdplot( wData=tmp.wData, stocks=SID, dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname="test.pdf", dim=c(1,1))
getName(c("2540","2348","1516","6172"))
which(is.element(snames,c("2540","2348","1516","6172")))
intersect(snames,c("2540","2348","1516","6172"))
tmp.S <- getStockData(years=c(2014),codes=c("2540","2348","1516","6172","3582"))
tmp.S$S[[2]]$S[1:5,]
sapply(tmp.S$S[[2]]$S[,-1],class)
tmpppp <- VMP.fcn(PDATA=tmp.S,stock=SID[1:2],dates=c(2014))
tmpppp <- VMP.fcn(PDATA=tmp.S,stock=NULL,dates=c(2014))
cbdplot( wData=tmpppp, stocks=NULL, dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname="test55.pdf", dim=c(1,1))
for (kk in 1:length(VData$Vol) ){ print(c( kk, which(is.element(VData$Vol[[kk]][,2],c("2540","2348","1516","6172"))) )) }
##
cbdplot( wData=tmp.wData, stocks=SID[1], dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname=NULL, dim=c(1,1))
cbdplot( wData=tmp.wData, stocks=SID[1:4+4*0], dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname=NULL, dim=c(1,3))
cbdplot( wData=tmp.wData, stocks=SID[1:4+4*1], dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname=NULL, dim=c(1,3))
cbdplot( wData=tmp.wData, stocks=SID[1:4+4*2], dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname=NULL, dim=c(1,2))
##
tmp.5522 <- VMP.fcn(stock=c("5522","2206"),dates=c(2014))
cbdplot( wData=tmp.5522, stocks=NULL, dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname="test5522.pdf", dim=c(1,1))
### ###
### ###
#########################################################################################################
#########################################################################################################
source("stock functions for real data.r")
#########################################################################################################
#########################################################################################################
### ###
### Use the function below to filter to stocks within the given dates, dates=(20140501:20140508). ###
### ###
stock <- filter.fcn(dates=(20140501:20140508),bdy=c(29.99),criterion="ratio",data=VData)
Rnames <- c(rownames(stock[[1]])[1:12],rownames(stock[[2]])[12:1]); length(Rnames)
cbdplot( stocks=Rnames, sub=c("103/03/03","103/06/03"), pdfname="Price and volume data.pdf", dim=c(1,2))
stock[[1]][1:20,]
stock[[2]][1:20,]
stock[[3]][1:20,]
stock[[4]][1:20,]
##
## http://www.stat.columbia.edu/~tzheng/files/Rcolor.pdf ## R colors
##
source("stock functions for real data.r")
source("stock functions.r")
cbdplot( stocks=c("2206"), dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname="三陽.pdf", dim=c(1,1),WDH=12,HGT=8)
tmp.wData <- VMP.fcn(stock=c("2206"),dates=c(2013:2014))
cbdplot( wData=tmp.wData, stocks=c("2206"), dates=c("103/05/08","103/05/22","103/06/09"), sub=NULL, pdfname=NULL, dim=c(1,1))
VM.price[[2]][1:20,]
cbdplot( stocks=NULL, sub=NULL, pdfname=NULL, dim=c(1,4))
cbdplot( stocks=c("1103","4999"), sub=NULL, pdfname="test.pdf", dim=c(1,2))
cbdplot( stocks=c("1103"), sub=c("103/03/03","103/06/03"), pdfname=NULL, dim=c(1,1))
cbdplot( stocks=c("3582","4999"), sub=NULL, pdfname=NULL, dim=c(1,2))
cbdplot( stocks=c("1103","0056","2498"), sub=c("103/03/03","103/06/03"), pdfname=NULL, dim=c(1,3))
cbdplot( stocks=c("2010","2417"), sub=NULL, pdfname=NULL, dim=c(1,2))
Rnames <- c(rownames(stock[[1]])[1:12],rownames(stock[[2]])[12:1]); length(Rnames)
cbdplot( stocks=Rnames, dim=c(2,2), pdfname="plots of combined data of volume and price.pdf" )
Rnames[1:12]
getName(Rnames)
which(is.element(rownames(stock[[2]]),"2417"))
tmp <- getStockData( years=c(2013,2014), codes=c("3498"), TransformData = T )
tmp <- getStockData( years=c(2013,2014), codes=c("3058","2601"), TransformData = T )
tmp <- getStockData( years=c(2012,2013,2014), codes=c("2206"), TransformData = T )
MakePlots( wData=tmp, stocks=NULL, nr=348, dates=c("103/05/08","103/05/22","103/06/09"), pdfname=NULL, show.plot=T, SINGLE=F, dim=c(1,2) )
par(mfrow=c(1,2))
MakePlots( wData=price, stocks=c("3058","2601"), nr=348, dates=c("102/01/03","103/05/02" ), pdfname=NULL, show.plot=T, SINGLE=F, dim=c(2,2) )
MakePlots( wData=price, stocks=c("0058","1109","1219"), nr=348, dates=c("102/01/03","103/05/02" ), pdfname=NULL, show.plot=T, SINGLE=F, dim=c(2,3) )
getName( stock=c("3058","2601","2010","0058") )
price$S[[10]]
tmp <- getStockData( years=c(201401:201403), codes=c("3058","2601"), TransformData = T )
TMP <- getStockData( PRICE=tmp, years=c(201404:201405), codes=c("3058","2601"), TransformData = T )
tmp$S[[2]][[2]]
TMP$S[[2]][[2]]
dim( tmp$S[[2]][[2]] )
dim( TMP$S[[2]][[2]] )
c("5519","8996")
length(names(price$S))
length(names(PRICE$S))
names(PRICE$S)[-which(is.na(pmatch(names(PRICE$S),c("5519","8996"))))]
names(price$S)[-which(is.na(pmatch(names(price$S),c("5519","8996"))))]
PRICE <- getStockData( PRICE=price, years=c(201406), codes=snames, TransformData = T )
which(sapply(1:length(PRICE$S),function(k){nrow(PRICE$S[[k]][[2]])})!=103)
names(PRICE$S)[which(sapply(1:length(PRICE$S),function(k){nrow(PRICE$S[[k]][[2]])})!=103)]
### ###
### ###
#########################################################################################################
#########################################################################################################
c("5285","6409","6414","8150")
which(is.element(names(price.test$S),c("5285","6409","6414","8150")))
ttt <- getStockData( years=c(2014), codes=c("5285","6409","6414","8150"), keep.dataFile=F )
getName(c("5285","6409","6414","8150"))
Rtmp <- getStockData( years=c(2013,2014), codes=Rnames, TransformData = T )
length(Rtmp$S)
par(mfcol=c(2,6))
for(k in 1:6){ plot(price$S[[k]]$S[,7]) }
for(k in 1:6){ plot(price$S[[k]]$S[-1,7]-price$S[[k]]$S[-length(price$S[[k]]$S[,7]),7]) }
par(mfcol=c(3,6))
for(k in 1:6){
plot(price$S[[k]]$S[,7],type='l')
plot(price$S[[k]]$S[-1,7]-price$S[[k]]$S[-length(price$S[[k]]$S[,7]),7],type='l')
acf(price$S[[k]]$S[-1,7]-price$S[[k]]$S[-length(price$S[[k]]$S[,7]),7])
}
windows(); par(mfrow=c(1,3))
plot(YY,type='l')
acf(YY)
pacf(YY)
YY <- c(2,3)
for(t in 3:315){
YY[t] <- .8*YY[t-1]-.3*YY[t-2]+rnorm(1,0,.3)
}
YY <- YY[-(1:15)]
windows(); par(mfrow=c(1,3))
plot(YY,type='l')
acf(YY)
pacf(YY)
eigen(matrix(c(.7,1,.2,0),2,2))
#########################################################################################################
#########################################################################################################
### ###
### ###
tmp.fcn <- function(data=price,kset=1:100,pset=4:2,N=20,pdfname=NULL,show.plot=T,dim=c(1,1),trajectory=c("diff","real","both")[2]){
## data <- Rtmp
kset <- kset[1:min(length(kset),length(data$S))]
error <- matrix(0,length(kset),7)
colnames(error) <- c("Diff.obs","Diff.est","Diff.Percentage","Same.Sign","order","Confidence","Var")
error <- array(0,dim=c(length(kset),length(pset),7))
dimnames(error)[[1]] <- paste("k=",kset,sep="")
dimnames(error)[[2]] <- paste("p=",pset,sep="")
dimnames(error)[[3]] <- c("Diff.obs","Diff.est","Diff.Percentage","Same.Sign","order","Confidence","Var")
estset <- list()
if (!is.null(pdfname) & show.plot) { pdf(pdfname,width=20,height=9 ) }
if (dim[1]==1 & dim[2]==1){ }else{ par(mfrow=c(dim[1],dim[2])) }
for(k in 1:length(kset)){
for(p in 1:length(pset)){
data0 <- data$S[[kset[k]]]$S
cdata <- data0[which(rowSums(data0[,-1])>0),7]
tmpdata <- cdata[2:length(cdata)]-cdata[2:length(cdata)-1] ## assume diff.stock.price follows AR model.
KK <- length(tmpdata)-pset[p]
if (KK>5) {
tt <- ar(tmpdata[1:KK])
est <- tmpdata[1:KK]+tt$res
est[1:tt$order] <- tmpdata[1:tt$order]
pdt <- predict(tt, n.ahead=pset[p])
est <- c(est, pdt$pred)
est <- cbind( tmpdata[1:(pset[p]+KK)], est )
real <- cbind(cumsum(c(cdata[1],est[,1])),cumsum(c(cdata[1],est[,2])))
EST <- cbind( est, round( (est[,1]-est[,2]),3) )
colnames(EST) <- c("Obs.","Est.","Res.")
## error[k,p,1:2] <- c( EST[KK+1,1], max(EST[(KK+1):nrow(EST),2]))
error[k,p,1:2] <- EST[KK+1,1:2]
error[k,p,3] <- error[k,p,2]/error[k,p,1]
error[k,p,4] <- (ifelse(error[k,p,1]>0,1,-1)*ifelse(error[k,p,2]>0,1,-1))>0
error[k,p,5] <- tt$order
error[k,p,6] <- if( max(pdt$pred-2*pdt$se)>0 ){ 3 }else{ if( max(pdt$pred-1*pdt$se)>0 ){ 2 }else{ if( max(pdt$pred-tt$var)>0 ){ 1 }else{ 0 } } }
error[k,p,7] <- tt$var
rr <- range(c(c(EST[max(1,KK-N+pset[p]):nrow(EST),1:2]),pdt$pred-1*pdt$se,pdt$pred+1*pdt$se))
if (sum(is.element(c("diff","both"),trajectory))>0){
matplot( max(1,KK-N+pset[p]):nrow(EST), EST[max(1,KK-N+pset[p]):nrow(EST),1:2], type='l', lty=1, ylim=c(rr[1],rr[2]), xaxt='n', xlab="" ); abline(h=0,col=8)
## mtext(substr(data$S[[kset[k]]][[1]],1,9)) ## uncomment to print stock name
my.at <- c(round(seq(max(1,KK-N+pset[p]),nrow(EST),l=8)),KK)
axis(1, at = my.at, labels = data0[my.at+1,1],las=3 )
title( main=paste("1st pred. error = ",round(EST[KK+1,1]-EST[KK+1,2],3)," ( ",round(error[k,3],3),"% ) ; order = ",tt$order," ; p = ",pset[p],".",sep="") )
lines(KK+1:pset[p],pdt$pred-1*pdt$se,lty=3,col=4)
lines(KK+1:pset[p],pdt$pred+1*pdt$se,lty=3,col=4)
lines(KK+1:pset[p],pdt$pred-1*tt$var,lty=2,col=6)
lines(KK+1:pset[p],pdt$pred+1*tt$var,lty=2,col=6)
abline(v=KK+.5,lty=1,col=3); abline(v=1:(KK+pset[p]),lty=2);
}
if (sum(is.element(c("real","both"),trajectory))>0){
matplot( max(1,KK-N+pset[p]):nrow(real), real[max(1,KK-N+pset[p]):nrow(real),], type='l',lty=1,xaxt='n',xlab="")
## mtext(substr(data$S[[kset[k]]][[1]],1,9)) ## uncomment to print stock name
my.at <- c(round(seq(max(1,KK-N+pset[p]),nrow(real),l=8)),KK+1)
axis(1, at = my.at, labels = data0[my.at,1],las=3 )
crnb <- round( (max(real[KK+(1:pset[p]),2])-real[KK+1,2])/real[KK+1,1]*100, 3)
crns <- round( (min(real[KK+(1:pset[p]),2])-real[KK+1,2])/real[KK+1,1]*100, 3)
tmpresult <- if(crns<0){ paste("Sell on the ",which(real[KK+(1:pset[p]),2]-real[KK+1,2]<0)[1]-1,"th day ; order = ",tt$order," ; p = ",pset[p],".",sep="") }else{""}
title( if(crnb>0){ paste("Buy today ( +",crnb,"% ) ; order = ",tt$order," ; p = ",pset[p],".",sep="") }else{ tmpresult } )
abline(v=KK+1.5,lty=1,col=3); abline(v=1:(KK+pset[p]+1),lty=2);
}
estset[[k]] <- list(diff=round(EST,3),real=round(real,3))
} # if (KK>5)
} # pset
} # kset
if (!is.null(pdfname) & show.plot) { dev.off() }
list(error=round(error,3),estset=estset)
}
####
#### ttt <- tmp.fcn(kset=1:100,pdfname="prediction plots 100.pdf")
#### ttt
####
dim( stocknames )
stocknames[21:30,]
(price$S[[24]][[1]])
ttt <- tmp.fcn(kset=1:3+8*2,pset=9:7,dim=c(2,3),traj="both")
ttt <- tmp.fcn(kset=1:3+8*2,pset=6:4,dim=c(2,3),traj="both")
ttt <- tmp.fcn(kset=1:3+8*2,pset=3:1,dim=c(2,3),traj="both")
ttt <- tmp.fcn(kset=c(1:1000),pset=10:1+1,dim=c(2,5),traj="real",pdfname="prediction__1-5.pdf")
ttt$error
ttt$error[1,,]
ttt$error[,1,]
windows()
ttt <- tmp.fcn(kset=1:8+8*2,pset=8,dim=c(2,8),traj="both")
ttt$error
u=2
ttt$estset[[u]]$diff[(nrow(ttt$estset[[u]]$diff)-p):nrow(ttt$estset[[u]]$diff),]
ttt$estset[[u]]$real[(nrow(ttt$estset[[u]]$real)-p):nrow(ttt$estset[[u]]$real),]
####
####
ttt <- tmp.fcn(kset=1:2,p=8,N=20,dim=c(1,2),data=Rtmp)
ttt$error
ttt <- tmp.fcn(kset=1,N=20,dim=c(1,1),data=Rtmp)
ttt$error
####
####
ttt <- tmp.fcn(kset=4,p=28,N=40,data=price); ttt$error;
####
####
tmp <- getStockData( years=c(2013,2014), codes=c("3498","1210"), TransformData = T )
windows()
par(mfrow=c(2,2))
MakePlots( wData=tmp, stocks=NULL, nr=100, dates=c("102/01/03","103/05/02" ), pdfname=NULL, show.plot=T, SINGLE=F )
par(mfrow=c(2,5))
k=1
ttt11 <- tmp.fcn(kset=k,p=11,N=20,data=tmp)
ttt10 <- tmp.fcn(kset=k,p=10,N=20,data=tmp)
ttt9 <- tmp.fcn(kset=k,p=9 ,N=20,data=tmp)
ttt8 <- tmp.fcn(kset=k,p=8 ,N=20,data=tmp)
ttt7 <- tmp.fcn(kset=k,p=7 ,N=20,data=tmp)
ttt6 <- tmp.fcn(kset=k,p=6 ,N=20,data=tmp)
ttt5 <- tmp.fcn(kset=k,p=5 ,N=20,data=tmp)
ttt4 <- tmp.fcn(kset=k,p=4 ,N=20,data=tmp)
ttt3 <- tmp.fcn(kset=k,p=3 ,N=20,data=tmp)
ttt2 <- tmp.fcn(kset=k,p=2 ,N=20,data=tmp)
####
####
pdf("predicting difference data 02.pdf",width=24,height=10)
tttset <- list()
par(mfrow=c(2,5))
for(k in 1:length(Rtmp$S)){
ttt11 <- tmp.fcn(kset=k,p=11,N=20,data=Rtmp)
ttt10 <- tmp.fcn(kset=k,p=10,N=20,data=Rtmp)
ttt9 <- tmp.fcn(kset=k,p=9 ,N=20,data=Rtmp)
ttt8 <- tmp.fcn(kset=k,p=8 ,N=20,data=Rtmp)
ttt7 <- tmp.fcn(kset=k,p=7 ,N=20,data=Rtmp)
ttt6 <- tmp.fcn(kset=k,p=6 ,N=20,data=Rtmp)
ttt5 <- tmp.fcn(kset=k,p=5 ,N=20,data=Rtmp)
ttt4 <- tmp.fcn(kset=k,p=4 ,N=20,data=Rtmp)
ttt3 <- tmp.fcn(kset=k,p=3 ,N=20,data=Rtmp)
ttt2 <- tmp.fcn(kset=k,p=2 ,N=20,data=Rtmp)
tttset[[k]] <- rbind(ttt7$error,ttt6$error,ttt5$error,ttt4$error,ttt3$error,ttt2$error)
names(tttset[[k]]) <- Rtmp$S[[k]][[1]]
}
dev.off()
####
####
####
####
test.fcn <- function(idx=1,DATA=price,n0=50,m0=11:1,dim=NULL){
if (is.null(dim)){
if (length(m0)<8){ par(mfrow=c(2,4)) }else{ if (length(m0)<12){ par(mfrow=c(2,6)) }else{ par(mfrow=c(3,6)) } }
}else{
par(mfrow=c(dim[1],dim[2]))
}
tset <- list()
info.table <- matrix(0,length(m0),12)
for(t in 1:length(m0)){
tset[[t]] <- tmp.fcn(kset=idx,p=m0[t],N=n0,data=DATA);
current <- tset[[t]]$est[nrow(tset[[t]]$est)-m0[t],1]
mdiff <- round(max(tset[[t]]$est[(nrow(tset[[t]]$est)-m0[t]+1):nrow(tset[[t]]$est),2]-current),3)
mtext(paste("p =",m0[t],"; diff.max =",mdiff));
diff <- tset[[t]]$est[nrow(tset[[t]]$est),]
info.table[t,] <- c(m0[t],tset[[t]]$error,current,diff)
}
plot( info.table[,1], info.table[,ncol(info.table)],type='l' )
title(paste("idx =",idx),outer=T,line=-1)
info.table <- cbind(info.table,info.table[,11]-info.table[,9])
colnames(info.table) <- c("p",colnames(tset[[t]]$error),"current","final","est","diff","diff2")
round( info.table, 3)
}
##
##
test.fcn(idx=1,m0=c(17:1))
test.fcn(idx=2,m0=c(17:1))
test.fcn(idx=3,m0=c(17:1))
test.fcn(idx=4,m0=c(17:1))
test.fcn(idx=5,m0=c(17:1))
test.fcn(idx=6,m0=c(17:1))
####
####
####
which(ttt$error[,4]>0)
round(sum(ttt$error[,4]>0)/nrow(ttt$error),2)
####
####
tt$residuals
tt$aic
names(tt)
tt[[14]]
predict(tt, n.ahead = 1)$pred
##
tmp <- getRatioData()
names(tmp)
length(tmp$Vo)
dim(tmp$VM)
tmp$VM[1,1:5,]
tmp$Vo[[1]][1:5,]
### ###
### ###
#########################################################################################################
#########################################################################################################
which(is.element(wnames,stocks))
Rnames[setdiff(1:24,which(is.element(stocks,wnames)))]
[1] "No data for stock[3], 6409"
[1] "No data for stock[8], 8150"
names(price$S)
which(is.element(names(price$S),c("6049","8051")))
TBI.R <- getStockData( years=c(2014), codes=c("3474","3260"), TransformData = T )
par(mfrow=c(1,2))
MakePlots( wData=TBI.R, stocks=NULL, nr=248, dates=c(" 103/05/02"," 103/05/08"), pdfname=NULL, show.plot=T, SINGLE=T )
cbdplot( stocks=c("3474","3260"), sub=NULL, pdfname=NULL, dim=c(1,2))
cbdplot( stocks=c("3474"), sub=NULL, pdfname=NULL, dim=c(1,1))
iddd <- which(is.element(names(VM.stock),"3474"))
tmpdata <- VM.stock[[iddd]]
cbind(tmpdata[,1],tmpdata[,4:5],tmpdata[,4]-tmpdata[,5],cumsum(tmpdata[,4]-tmpdata[,5]))
TBI.R$S[[1]][[2]]
tmpdata
VM.stock[[1]][1:5,]
VM.price[[1]][36:98,1:5][1:5,]
for(k in 1:length(VM.stock)){ VM.stock[[k]] <- VM.stock[[k]][nrow(VM.stock[[k]]):1,] }
k=1
VM.stock[[k]][1:10,]
VM.stock[[k]][1:10,]
length(VData$V)
dim(VData$V[[1]])
length(price$S)
price$S[[1]][[1]]
k=1
VM.stock[[1]][1:5,]
VM.stock[[2]][1:5,]
VM.price[[1]][1:5+35,]
price$S[[1]][[2]][1:5+35,]
tmpdata[,1:5]
which(is.element(names(VM.price),"3260"))
which(is.element(names(VM.stock),"3260"))
which(is.element(snames,"3260"))
for(k in 1:length(VData$V)){ print( which(is.element(VData$V[[k]][,2],"3260")) ) }
for(k in 1:length(VData$V)){ print( which(is.element(VData$V[[k]][,3],"威剛")) ) }
for(k in 1:length(VData$V)){ print( which(is.element(VData$V[[k]][,3],"聯電")) ) }
Rfcn <- function(k){ cbind( VData$V[[k]][,1:5], "ratio"=round(VData$V[[k]][,4]/(VData$V[[k]][,5]+(VData$V[[k]][,5]==0)*1000),2)) }
tmp <- Rfcn(1)
tmp[(tmp[,6]>9.99|tmp[,6]<.1)&(tmp[,6]!=0),]
sum(tmp[,6]>9.99|tmp[,6]<.1)
sum((tmp[,6]>9.99|tmp[,6]<.1)&(tmp[,6]!=0))
sum(tmp[,6]==0)
tmp <- VData$V[[k]][which(abs(VData$V[[k]][,4]-VData$V[[k]][,5])> 300000 ),]
tmp.pos <- VData$V[[k]][which( (VData$V[[k]][,4]-VData$V[[k]][,5])> 300000 ),]
tmp.neg <- VData$V[[k]][which( (VData$V[[k]][,4]-VData$V[[k]][,5])<(-300000)),]
dim(tmp)
dim(tmp.pos)
dim(tmp.neg)
tmp
tmp.pos
tmp.neg
stock <- filter.fcn(dates=(20140501:20140508),bdy=c(9.99,.1),criterion="ratio",data=VData)
stock[[4]]
sapply(stock,dim)
stock[[1]][1:20,]
stock[[2]][1:20,]
stock[[3]][1:20,]
stock[[4]][1:20,]
cbind(stock[[1]][1:20,],stock[[2]][1:20,])
cbind(stock[[3]][1:60,],stock[[4]][1:60,])
colSums(stock[[3]][,3:5]!=0)
source("stock functions.r")
Rnames <- rownames(stock[[4]])
TBI.R <- getStockData( years=c(2014), codes=Rnames[1:20], TransformData = T )
MakePlots( wData=TBI.R, stocks=NULL, nr=248, dates=c(" 103/05/02"," 103/05/08"), pdfname='TopBuyIn1Q.R_stocks_trend_plots_2014.pdf', WDH=20, HGT=9 )
MakePlots( wData=TBI.R, stocks=NULL, nr=248, dates=c(" 103/05/02"," 103/05/08"), pdfname=NULL, WDH=20, HGT=9, show.plot=T )
k=1
VData$V[[k]][1:20,]
Rnames <- rownames(stock[[4]])[c(1:10,nrow(stock[[4]])-19:0)]
data <- VData$V
Result <- list()
for(j in 1:length(Rnames)){
Rtmp <- data[[1]][1:63,]
for(k in 1:length(data)){
if( sum(is.element(data[[k]][,2],Rnames[j]))>0 ){
Rtmp[k,] <- data[[k]][which(is.element(data[[k]][,2],Rnames[j])),]
}else{
print(c(j,k))
Rtmp[k,] <- NA
}
}
Result[[j]] <- Rtmp
}
TBI.R <- getStockData( years=c(2014), codes=Rnames, TransformData = T )
c(j,k)
length(Result)
KK=10
Result[[KK]]
TBI.R$S[[KK]]$S[36:98,]
KK=10
tmp <- cbind( Result[[KK]][,-10], TBI.R$S[[KK]]$S[36:98,7:8] ); tmp[,4:9] <- round(log(tmp[,4:9]+1),2)
## par(mfrow=c(2,3))
matplot(cbind(tmp[,4]-tmp[,5],tmp[,10]),type='l',lty=1); abline(h=0,col=4); abline(v=c(43,47),col=3);
matplot(cbind(tmp[,6]-tmp[,7],tmp[,10]),type='l',lty=1); abline(h=0,col=4); abline(v=c(43,47),col=3);
matplot(cbind(tmp[,8]-tmp[,9],tmp[,10]),type='l',lty=1); abline(h=0,col=4); abline(v=c(43,47),col=3);
####
####
KKset <- c(1:5,16:20)
KKset <- c(1:10)
KKset <- c(11:20)
KKset <- c(21:30)
par(mfrow=c(2,5))
for(KK in KKset){
tmp <- cbind( Result[[KK]][,-10], TBI.R$S[[KK]]$S[36:98,7:8] ); tmp[,4:9] <- round(log(tmp[,4:9]+1),2)
coe <- 1 ## (range(na.omit(tmp[,4]-tmp[,5]))[2]-range(na.omit(tmp[,4]-tmp[,5]))[1])/(range(tmp[,10]-tmp[63,10])[2]-range(tmp[,10]-tmp[63,10])[1])
matplot(cbind(tmp[,4]-tmp[,5],(tmp[,10]-tmp[63,10]*0)*coe),type='l',lty=1 );
## title(main=paste(tmp[1,2],tmp[63,10]));
title(main=paste(tmp[1,2],tmp[1,3],tmp[63,10]));
abline(h=c(0,tmp[63,10]),col=4); abline(v=c(43,47),col=3);
}
##
##
KK=28
tmp <- cbind( Result[[KK]][,-10], TBI.R$S[[KK]]$S[36:98,7:8] ); tmp[,4:9] <- round(log(tmp[,4:9]+1),2)
tmp
summary(VData$V[[1]])
TBI.second <- getStockData( years=c(2013,2014), codes=c("2613","4934"), TransformData = T )
par(mfrow=c(1,2))
MakePlots( wData=TBI.second, stocks=NULL, nr=248, dates=c(" 103/05/02"," 103/05/08"), pdfname=NULL, WDH=20, HGT=9, show.plot=T,SINGLE=T )
VData <- cbind(VData$V[[k]][,4]-VData$V[[k]][,5],VData$V[[k]][,6]-VData$V[[k]][,7],VData$V[[k]][,8]-VData$V[[k]][,9],VData$V[[k]][,10])
matplot( VData, type='l',col=1:4)
cor(VData)
VData.1 <- VData.2 <- VData.3 <- VData.4 <- VData
for(k in 1:length(VData$V)){
VData.1$V[[k]] <- VData$V[[k]][order(VData$V[[k]][,4]-VData$V[[k]][,5],decreasing=T),]
VData.2$V[[k]] <- VData$V[[k]][order(VData$V[[k]][,6]-VData$V[[k]][,7],decreasing=T),]
VData.3$V[[k]] <- VData$V[[k]][order(VData$V[[k]][,8]-VData$V[[k]][,9],decreasing=T),]
VData.4$V[[k]] <- VData$V[[k]][order(VData$V[[k]][,10],decreasing=T),]
}
VData.1$V[[1]][1:10,]
VData.2$V[[1]][1:10,]
VData.3$V[[1]][1:10,]
VData.4$V[[1]][1:10,]
VData$V[[1]][1:10,]
VM.tmp1 <- data.frame(t(sapply( VData$V, function(obj){ obj[which.max(obj[,4]-obj[,5]),] })))
VM.tmp2 <- data.frame(t(sapply( VData$V, function(obj){ obj[which.max(obj[,6]-obj[,7]),] })))
VM.tmp3 <- data.frame(t(sapply( VData$V, function(obj){ obj[which.max(obj[,8]-obj[,9]),] })))
VM.tmp4 <- data.frame(t(sapply( VData$V, function(obj){ obj[which.max(obj[,10]) ,] })))
VM.tmp1 ## 當天外陸資買賣差最大者
VM.tmp2 ## 當天投信顧買賣差最大者
VM.tmp3 ## 當天自營商買賣差最大者
VM.tmp4 ## 當天三大法人買賣差最大者
TopBuyIn1Q.name <- names(sort(table(unlist(cbind(VM.tmp1[,3],VM.tmp2[,3],VM.tmp3[,3],VM.tmp4[,3]))),decreasing=T))
TopBuyIn1Q.count <- sort(table(unlist(cbind(VM.tmp1[,2],VM.tmp2[,2],VM.tmp3[,2],VM.tmp4[,2]))),decreasing=T)
TopBuyIn1Q <- names(TopBuyIn1Q.count)
data.frame(cbind( TopBuyIn1Q, TopBuyIn1Q.name, TopBuyIn1Q.count ))
source("stock functions.r")
TBI <- getStockData( years=c(2014), codes=TopBuyIn1Q[1:20], TransformData = T )
MakePlots( wData=TBI, stocks=NULL, nr=248, dates=c(" 102/12/10"), pdfname='TopBuyIn1Q_stocks_trend_plots_2014.pdf', WDH=20, HGT=9 )
names(TBI)
class(TBI$S)
length(TBI$S)
TBI$S[[1]]
VM.tmp1
x=10
which(unlist(VM.tmp1[,2])==TopBuyIn1Q[x])
which(unlist(VM.tmp2[,2])==TopBuyIn1Q[x])
which(unlist(VM.tmp3[,2])==TopBuyIn1Q[x])
which(unlist(VM.tmp4[,2])==TopBuyIn1Q[x])
VM.tmp1[which(unlist(VM.tmp1[,2])==TopBuyIn1Q[x]),]
VM.tmp2[which(unlist(VM.tmp2[,2])==TopBuyIn1Q[x]),]
VM.tmp3[which(unlist(VM.tmp3[,2])==TopBuyIn1Q[x]),]
VM.tmp4[which(unlist(VM.tmp4[,2])==TopBuyIn1Q[x]),]
##
TBI.1 <- getStockData( years=c(2013,2014), codes=TopBuyIn1Q[1], TransformData = T )
##
Date.id <- unlist(VM.tmp1$date)[ sort(union(c(
which(unlist(VM.tmp1[,2])==TopBuyIn1Q[1]),which(unlist(VM.tmp2[,2])==TopBuyIn1Q[1]),
which(unlist(VM.tmp3[,2])==TopBuyIn1Q[1]),which(unlist(VM.tmp4[,2])==TopBuyIn1Q[1])),NULL)) ]
Date.id <- unlist(VM.tmp1[which(unlist(VM.tmp1[,2])==TopBuyIn1Q[1]),1])
Dates <- paste(" 103",sapply(Date.id,function(x){substr(x,5,6)}),sapply(Date.id,function(x){substr(x,7,8)}),sep="/"); Dates
MakePlots( wData=TBI.1, stocks=NULL, nr=248, dates=c(" 103/03/06",Dates), pdfname='TopBuyIn1Q.1_stocks_trend_plots_2014.pdf', WDH=20, HGT=9 )
MakePlots( wData=TBI.1, stocks=NULL, nr=248, dates=c(Dates), pdfname=NULL, WDH=20, HGT=9, show.plot=T, SINGLE=T )
source("stock functions.r")
SML <- getStockData( years=c(2013,2014), codes=c("2311","5522","8083","6146"), TransformData = T )
MakePlots( wData=SML, stocks=NULL, nr=248,dates=c(" 102/12/10"), pdfname='Sample1_stock_trend_plots_2013_now.pdf', WDH=20, HGT=9 )
SML$S[[1]][[1]]
SML$S[[2]][[1]]
SML$S[[3]][[1]]
code=codes[1]; code
code=codes[3]; code
source("stock functions.r")
CODES <- c("8083","3213","8109","5230","8103","6292","6146","4745","1527","2731","3323","5305")
MaInNine <- getStockData( years=c(2014), codes=CODES, TransformData = T )
MakePlots( wData=MaInNine, stocks=NULL, nr=248, dates=c("102/12/10","103/03/06"), bds=c(23.35,26.75,45,55,100,145,150,160,200),
pdfname='MaInNine_stock_trend_plots_2013_now.pdf', WDH=20, HGT=9, show.plot=T )
Types.tmp <- getTypesData( dates=c(20140520:20140524), TransformData = T, filename=NULL )
Types.tmp
matplot( t(Types.tmp$VM[,,"成交股數"]), type='l')