tidyquant: Bringing Quantitative Financial Analysis to the tidyverse
My new package,
tidyquant, is now available on CRAN.
tidyquant integrates the best quantitative resources for collecting and analyzing quantitative data,
TTR, with the tidy data infrastructure of the
tidyverse allowing for seamless interaction between each. While this post aims to introduce
tidyquant to the R community, it just scratches the surface of the features and benefits. We’ll go through a simple stock visualization using
ggplot2, which which shows off the integration. The package is open source, and you can view the code on the tidyquant github page.
Table of Contents
- Why tidyquant?
- Example: Visualizing Moving Averages
- Further Reading
- 2017-01-17: I updated the post to use the 0.2.0
.y, respectively). These will be deprecated in 0.3.0 so please make the switch! :)
One of the reasons why I began my journey into R programming is because it’s the best open-source option for stock analysis. With quantitative financial analysis (QFA) packages like
TTR, stock data can quickly be retrieved, sliced and diced, transformed and mutated, and visualized so I can make investment decisions. It’s really a beautiful thing.
Over time, the R programming landscape has evolved. A major step forward was the
tidyverse, a collection of R packages that work in harmony, are built for scale-ability, and are well documented in R for Data Science. However, a problem has surfaced: the QFA packages are not easy to use with the
tidyverse works with data frames while the QFA packages work with extensible time-series (
xts) objects. Both are great, but they don’t easily work together.
As you can imagine, my workflow was longer than I’d like. I’d work in
xts to use various functions to calculate moving averages, moving average convergence divergence (MACD), Bollinger Bands, etc, and then convert to tibbles (tidy dataframes) for mapping functions with
purrr to scale to many stocks, for mutating dataframes with
dplyr to add new columns, and for visualizing my analysis using
ggplot2. This got very long and repetitive…
tidyquant. The package started off as a collection of scripts aimed at increasing my efficiency and performance of my stock analyses:
- I would start by getting data with
tq_get(), which returns data, such as stock prices or financial statements, as a
- I’d use
tq_transform()to use the various
xtsfunctions that can change periodicities, such as period returns and conversion from daily to monthly periodicity.
- I’d use
tq_mutate()to seamlessly apply the various
TTRfunctions, such as moving averages, MACD’s, Bollinger Bands, etc.
- And, I’d do all of this without ever leaving the
tidyverse, which allowed me to mutate, pipe (
%>%), and scale my analyses at ease.
In this evolution and in the spirit of open source, I have released the
tidyquant package to the R community with the hope that others can benefit from the integration between the QFA packages (
TTR) and the
tidyverse. I believe this is the right way to go, and I’m looking forward to hearing your feedback.
- A few core functions with a lot of power, that
- leverage the quantitative analysis power of
TTR, and are
- designed to be used and scaled with the
I’ll go through an example of visualizing the 15-day and 50-day moving averages of the stock symbol, AAPL, which is for Apple Inc. Moving averages are a popular trading tool that stock analysts use to determine buying and selling signals. According to Investopedia, the moving average is…
A widely used indicator in technical analysis that helps smooth out price action by filtering out the “noise” from random price fluctuations. A moving average (MA) is a trend-following or lagging indicator because it is based on past prices. The two basic and commonly used MAs are the simple moving average (SMA), which is the simple average of a security over a defined number of time periods, and the exponential moving average (EMA), which gives bigger weight to more recent prices. The most common applications of MAs are to identify the trend direction and to determine support and resistance levels. While MAs are useful enough on their own, they also form the basis for other indicators such as the Moving Average Convergence Divergence (MACD).
Of particular interest is the crossover, the point at which a trend begins to emerge, which can be used as a buy or sell signal.
Source: Investopedia: Moving Averages
Let’s go through an example to visualize the 15-day and 50-day moving averages for AAPL.
tidyquant package can be downloaded from CRAN:
For those following along in R, you’ll need to load the following package:
I also recommend the open-source RStudio IDE, which makes R Programming easy and efficient.
We’ll start by getting the last year of stock prices. We use the tidyquant
tq_get() function for all data retrieval. Set the parameter
get = "stock.prices" to tell tidyquant we want the historical stock prices. We can use the
from argument to pass a date as the start of the collection, which accepts character string in the form of “YYYY-MM-DD”. We can use
years() to get the date from one year ago.
We now have 251 days of stock prices as a
tibble object. This is exactly the format we want for working in the
We need to get the 15-day and 50-day moving averages. We want to use the
SMA() function from the
TTR package. To use any of these functions in the
tidyverse, we have a few options with pros and cons:
dplyr::mutate(): Used to add a single column to a data set. Only able to add a single column to a tibble. For
SMA(), this works because a single column is generated. For other functions such as
MACD, multiple columns are generated that fail on
tidyquant::tq_mutate(): Used to add single or multiple columns to a data set. Uses
quantmodOHLC notation (more on this in a minute). The output generated must be the number of rows as the input dataframe (otherwise the data can’t be joined). Because multiple columns can be returned, works with
tidyquant::tq_transform(): Used to return a new data set with output only (does not return the input dataframe). Uses OHLC notation. Most flexible option.
tidyquant::tq_mutate_xy(): Same as
tq_mutate()but works using up to two column inputs instead of OHLC notation.
tidyquant::tq_transform_xy(): Same as
tq_transform()but works using up to two column inputs instead of OHLC notation.
For this tutorial, we will use
tq_mutate() to expose you to OHLC notation along with the
tidyquant function workflow. We’ll also show
tq_mutate_xy() so you can see the difference in arguments.
tq_mutate() has two primary arguments:
quantmod::OHLCfunctions, which are
OHLCV. The OHLC notation is the basis of all
TTRfunctions. These functions collect a subset of the dataframe columns matching open, high, low, close, volume, and/or adjusted. Think of the OHLC notation akin to the
dplyr::select()function, which selects columns.
Opselects the column named “open”, and
HLCselects “high”, “low” and “close” columns.
mutate_fun: Takes any
TTRfunction listed in
tq_mutate_fun_options()(see below for compatible functions). The
mutation_funperforms the work. Any additional parameters of the passed via
tq_mutate()function go to the
An example with
SMA() from the
TTR package helps solidify how it works. Reviewing the documentation for
SMA, we see that the function,
SMA(x, n = 10, ...), accepts
x a price or volume and
n a number of periods to average over. For the 15-day simple moving average, we would pass a set of prices, either “close” or “adjusted”, and
n = 15 for 15 days. In OHLC notation
ohlc_fun = Cl for “close” or
ohlc_fun = Ad for adjusted. The
mutate_fun = SMA, and we pass
n = 15 as an additional argument. Shown below, we pipe (
%>%) our tibble of AAPL stock prices to
tq_mutate(ohlc_fun = Cl, mutate_fun = SMA, n = 15), which creates an additional column with the simple moving average of the close prices.
We need both the 15-day and the 50-day moving average, which is two steps with the pipe. I
rename in between steps so the column names are more descriptive.
TTR functions work with OHLC notation. A few of these functions take two primary inputs. An example of this is the
Delt function from the
quantmod package. The function form is
Delt(x1, x2 = NULL, k = 0, type = c("arithmetic", "log")), which has
x2 arguments. In these situations you will need to use the XY variant,
tq_mutate_xy(), which accepts
x (required) and
y (optional). For the
x = x1 and
y = x2.
SMA() function, we don’t need the
y argument, but we can use the XY variant to accomplish the same task as the OHLC variant. The operation is the same except instead of
ohlc_fun = Cl we replace with
x = close (the name of the column being passed to the mutation function).
Back to the example
Returning back to our need, we get the simple moving averages using one of the the code options mentioned previously.
We have our 15-day and 50-day simple moving averages. Now all we need to do is visualize using
ggplot2. The format of the data will need to be tidy, which requires us to use
gather() from the
tidyr package to shift the close, SMA.15, and SMA.50 columns into a long form with type and price. The code and final data form is shown below.
Now, we can use
ggplot2 to plot the tidy data. We use the same select and gather statements above and pipe to
ggplot. I add a custom palette to match the black, blue and red colors from the Investopedia graphic. The final code chunk for the visualization is as follows:
tidyquant package integrates the three primary QFA packages,
TTR, with the
The purpose of this post was twofold:
- Introduce you to the
- Show an example of the integration between the QFA packages and the
We discussed why there is a need for
tidyquant, which is to help minimize the back and forth between
tibble (tidy dataframes). We also went through an example of getting simple moving averages, which previously required jumping back and forth between
tibble objects. The
tidyquant package made this much easier.
This example just scratches the surface of the power of
tidyquant. See the vignette for a detailed discussion on each of the
tidyquant Vignette: This tutorial just scratches the surface of
tidyquant. The vignette explains much, much more!
R for Data Science: A free book that thoroughly covers the
TTR Vignette: Covers each of the