Quantitative Financial Modelling Framework
quantmod is an R
package that provides a framework for quantitative financial modeling and
trading. It provides a rapid prototyping environment that makes modeling easier
by removing the repetitive workflow issues surrounding data management and
visualization.
Available as part of the Tidelift Subscription.
The maintainers of quantmod and thousands of other packages are working with Tidelift to deliver commercial support and maintenance for the open source dependencies you use to build your applications. Save time, reduce risk, and improve code health, while paying the maintainers of the exact dependencies you use. Learn more.
If you are interested in supporting the ongoing development and maintenance of quantmod, please consider becoming a sponsor.
The current release is available on CRAN,
which you can install via:
install.packages("quantmod")
To install the development version, you need to clone the repository and build
from source, or run one of:
# lightweight
remotes::install_github("joshuaulrich/quantmod")
# or
devtools::install_github("joshuaulrich/quantmod")
You may need tools to compile C, C++, or Fortran code. See the relevant
appendix in the R Installation and Administration manual
for your operating system:
It is possible to import data from a variety of sources with one quantmod
function: getSymbols(). For example:
> getSymbols("AAPL", src = "yahoo") # from yahoo finance
[1] "AAPL"
> getSymbols("DEXJPUS", src = "FRED") # FX rates from FRED
[1] "DEXJPUS"
Once you’ve imported the data, you can use chartSeries() to visualize it and
even add technical indicators from the TTR
package:
> getSymbols("AAPL")
[1] "AAPL"
> chartSeries(AAPL)
> addMACD()
> addBBands()
Ask your question on Stack Overflow
or the R-SIG-Finance
mailing list (you must subscribe to post).
Please see the contributing guide.
Jeffrey Ryan, Joshua Ulrich