Get historical stock or futures price data, either daily or intraday using the R quantmod package
Running the script xget_prices_compute_returns.r to get daily prices and print
return statistics gives sample output
Performance Metrics (Risk-Free Rate = 0.03 ):
SPY TLT HYG
Annualized_Returns 0.0962 0.0325 0.0476
Annualized_Volatility 0.1984 0.1541 0.1117
Sharpe_Ratio 0.3336 0.0165 0.1576
Skewness -0.3639 0.0167 0.3060
Kurtosis 16.4761 6.0711 40.9703
Minimum -0.1159 -0.0690 -0.0844
Maximum 0.1356 0.0725 0.1157
Correlation Matrix of Returns:
SPY TLT HYG
SPY 1.0000 -0.3316 0.6820
TLT -0.3316 1.0000 -0.1445
HYG 0.6820 -0.1445 1.0000
wrote price table to prices.csv
date ranges:
Symbol First Last NumObs
1 SPY 2000-01-03 2025-03-05 6331
2 TLT 2002-07-30 2025-03-05 5687
3 HYG 2007-04-11 2025-03-05 4505
Running xget_write_prices.r just gets price data, with sample output
output directory: ETF/20250305
Summary of Downloaded Data:
Symbol Num_Days First_Date Last_Date
1 SPY 6331 2000-01-03 2025-03-05
2 TLT 5687 2002-07-30 2025-03-05
3 HYG 4505 2007-04-11 2025-03-05
Running xcombine_price_data.r combines data from per-symbol prices file into a table, getting
a field such as the closing price, with sample output
read data for HYG from ETF/20250305/HYG.csv 4505 days from 2007-04-11 to 2025-03-05
read data for QQQ from ETF/20250305/QQQ.csv 6331 days from 2000-01-03 to 2025-03-05
read data for SPY from ETF/20250305/SPY.csv 6331 days from 2000-01-03 to 2025-03-05
read data for TLT from ETF/20250305/TLT.csv 5687 days from 2002-07-30 to 2025-03-05
Combined prices written to temp.csv
Running xget_write_intraday_prices.r to get intraday prices gives sample output
ticker file: good_futures_symbols.txt
#symbols: 5
output directory: futures/1min/20250305
Summary of Downloaded Intraday Data:
Symbol NumTimes FirstTime LastTime
1 ESH25.CME 8634 2025-02-25 19:00:00 2025-03-04 18:59:00
2 ESM25.CME 8625 2025-02-25 19:09:00 2025-03-04 18:59:00
3 ESU25.CME 8544 2025-02-25 20:30:00 2025-03-04 18:59:00
4 ESZ25.CME 6108 2025-02-27 10:34:00 2025-03-04 16:24:02
5 NQH25.CME 8634 2025-02-25 19:00:00 2025-03-04 18:59:00
Time elapsed(s): 1.69