{"id":332,"date":"2020-04-28T15:41:04","date_gmt":"2020-04-28T15:41:04","guid":{"rendered":"https:\/\/ricovictor.com\/?page_id=332"},"modified":"2024-01-05T14:25:00","modified_gmt":"2024-01-05T14:25:00","slug":"arima-montecarlo","status":"publish","type":"page","link":"https:\/\/ricovictor.com\/index.php\/arima-montecarlo\/","title":{"rendered":"Estrategia Arima-Montecarlo"},"content":{"rendered":"\t\t
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En estos videos usaremos dos t\u00e9cnicas de an\u00e1lisis cuantitativo para crear una estrategia de predicci\u00f3n enfocada en el trading en el mercado de divisas.\u00a0 Combinaremos mediante un algoritmo las simulaciones de Montecarlo con los modelos ARIMA, obteniendo as\u00ed probabilidades y predicciones.<\/strong><\/p>\n

*Debajo de los tutoriales tienes el C\u00d3DIGO R usado<\/strong><\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t

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TUTORIAL 1-\nC\u00d3DIGO R<\/h2>\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t
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\u00a0Aprende a crear un modelo de predicci\u00f3n de precios enfocado para el trading en el mercado de divisas.\u00a0<\/span><\/em><\/p>\n

\u00a0<\/p>\n

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Aqu\u00ed vemos el resultado final que nos da el c\u00f3digo con probabilidades de subida de los activos que deseemos.<\/strong><\/em><\/p>\n

En este caso son pares de divisas pero se puede adaptar a otros mercados<\/strong><\/em><\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t

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TUTORIAL 2
BACKTEST<\/h2>\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t
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* En este v\u00eddeo aprender\u00e1s c\u00f3mo puedes crear de forma manual en R un backtest para la estrategia del v\u00eddeo anterior<\/span>., para tener una orientaci\u00f3n de cu\u00e1l puedes ser el resultado.<\/span><\/p>\n

Adem\u00e1s explicar\u00e9\u00a0 una variante del modelo que se puede usar para calcular no s\u00f3lo la probabilidad de subida o bajada del activo en s\u00ed, sino tambi\u00e9n la amplitud del movimiento<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t

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C\u00d3DIGO R DEL TUTORIAL ARIMA MONTECARLO<\/strong><\/h4>\n

\u00a0<\/p>\n


## PREDICCION ARIMA – BAYESIAN MONTECARLO<\/p>\n

\u00a0<\/p>\n

#install.packages(\u00abquantmod\u00bb)
library(quantmod)
#install.packages(\u00abtimeSeries\u00bb)
library(timeSeries)
#install.packages(\u00abforecast\u00bb)
library(forecast)
#install.packages(\u00abTTR\u00bb)
library(TTR)
#install.packages(\u00abjsonlite\u00bb)
library(jsonlite)
#install.packages(\u00abRCurl\u00bb)
library(RCurl)
#install.packages(\u00abrjson\u00bb)
library(rjson)<\/p>\n


#Descarga de Datos de Divisas<\/p>\n


getFX(c(\u00abCAD\/JPY\u00bb,\u00bbEUR\/SGD\u00bb,\u00bbNOK\/SEK\u00bb,\u00bbAUD\/CHF\u00bb,\u00bbUSD\/TRY\u00bb,\u00bbUSD\/ZAR\u00bb,\u00bbUSD\/SGD\u00bb,\u00bbUSD\/CNH\u00bb,\u00bbUSD\/HKD\u00bb,\u00bbUSD\/MXN\u00bb,\u00bbUSD\/NOK\u00bb,\u00bbUSD\/SEK\u00bb,\u00bbUSD\/DKK\u00bb,\u00bbEUR\/SEK\u00bb,\u00bbEUR\/NOK\u00bb,\u00bbNZD\/JPY\u00bb,\u00bbNZD\/CHF\u00bb,\u00bbEUR\/USD\u00bb,\u00bbGBP\/USD\u00bb,\u00bbUSD\/CHF\u00bb,\u00bbNZD\/USD\u00bb,\u00bbEUR\/AUD\u00bb,\u00bbGBP\/NZD\u00bb,\u00bbUSD\/CAD\u00bb,\u00bbUSD\/JPY\u00bb,\u00bbAUD\/CAD\u00bb,\u00bbCHF\/JPY\u00bb,\u00bbEUR\/MXN\u00bb,\u00bbAUD\/NZD\u00bb,\u00bbAUD\/USD\u00bb,\u00bbEUR\/NZD\u00bb,\u00bbEUR\/GBP\u00bb,\u00bbGBP\/CAD\u00bb,\u00bbGBP\/AUD\u00bb,\u00bbGBP\/JPY\u00bb,\u00bbEUR\/CAD\u00bb,\u00bbAUD\/JPY\u00bb,\u00bbEUR\/JPY\u00bb,\u00bbGBP\/CHF\u00bb,\u00bbEUR\/CHF\u00bb,\u00bbNZD\/CAD\u00bb,\u00bbCAD\/CHF\u00bb))<\/p>\n

getFX(\u00abEUR\/DKK\u00bb)
getFX(\u00abGBP\/SEK\u00bb)
getFX(\u00abXAG\/USD\u00bb)
getFX(\u00abXAU\/USD\u00bb)<\/p>\n

\u00a0<\/p>\n

FX1=cbind(XAUUSD,XAGUSD,EURUSD,EURCHF,GBPUSD,EURGBP,USDCAD,GBPNZD,EURJPY,USDCHF,USDJPY,AUDUSD,AUDCAD,NZDUSD,AUDCHF,EURAUD,NZDCAD,AUDJPY,EURNZD,NZDCHF,AUDNZD,GBPAUD,NZDJPY,CADCHF,USDSGD,CADJPY,GBPCAD,USDZAR,CHFJPY,GBPCHF,EURCAD,GBPJPY,EURDKK,USDNOK,EURSEK,USDSEK,GBPSEK,NOKSEK)<\/p>\n


#Calculamos los retornos<\/p>\n

FX1=returns(FX1)
FX1=100*FX1[,1:ncol(FX1)]
FX<-as.timeSeries(FX1)
FX<-na.omit(FX)
head(FX)<\/p>\n

forexDatos<-FX<\/p>\n


##########################################################
##### CODIGO ESTRATEGIA DE PREDICCION ARIMA-MONTECARLO<\/p>\n

# Elegir el mejor modelo arima para cada serie<\/p>\n

Quantitative = function( datos){

#Parallel
require(doParallel)
no_cores <- (detectCores() – 1)
cl<- makeCluster(no_cores)
registerDoParallel(cl)

y= datos


primeraVuelta = FALSE

primeraVuelta = FALSE
for(order_x in 0:2){

for(order_y in 0:2){

actual = tryCatch(arima(datos,order=c(order_x,0,order_y)), error =function(err)FALSE)


if( !is.logical(actual)){
print(c(order_x,order_y, actual$aic))
if(primeraVuelta == FALSE){
primeraVuelta = TRUE

menor = actual$aic

aOK = order_x
bOK = order_y

}

if(!is.nan(actual$aic)){
if (actual$aic < menor){
menor = actual$aic
aOK = order_x
bOK = order_y

}
}
}
}
}
stopCluster(cl)
coordenadas = c(aOK,bOK,menor)
}<\/p>\n

\u00a0<\/p>\n

\u00a0<\/p>\n

monteCarlo <- function(ts.ts, N) {
pq<-Quantitative(ts.ts);

p=pq[1];
q=pq[2];
fit<-arima(ts.ts, c(p, 0, q));

ts.sim<-ts.ts;
n=length(ts.sim)

# SIMULAMOS VARIOS ESCENARIOS CON MONTECARLO

sim <- list();
S <- NULL;
h <- 1;

#set.seed(8)

for(i in 1:N){
sim[[i]] <- simulate(fit,h,future=TRUE,bootstrap = TRUE, innov=NULL);
S <- cbind(S,as.vector(sim[[i]]));
}
S=S[ , colSums(is.na(S)) == 0];

sube <- sum(S>0)\/N;
#baja<-sum(S<0)\/N;
#baja<- 1 – sube
return(sube);
#return(baja)
}<\/p>\n


#Montecarlo<\/p>\n

pForex<-matrix(NA,ncol(forexDatos),1)
for( i in 1:ncol(forexDatos))

{

pForex[i]<-monteCarlo(forexDatos[,i],100)

}<\/p>\n

#Aplicacion Montecarlo<\/p>\n

pForex<- t(pForex)
colnames(pForex)<- names(forexDatos)<\/p>\n

pForex<\/p>\n


probCa\u00edda <- 1 -pForex
probCa\u00edda<\/p>\n

#<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"

En estos videos usaremos dos t\u00e9cnicas de an\u00e1lisis cuantitativo para crear una estrategia de predicci\u00f3n enfocada en el trading en el mercado de divisas.\u00a0 Combinaremos mediante un algoritmo las simulaciones de Montecarlo con los modelos ARIMA, obteniendo as\u00ed probabilidades y predicciones. *Debajo de los tutoriales tienes el C\u00d3DIGO R usado TUTORIAL 1- C\u00d3DIGO R \u00a0Aprende …<\/p>\n

Estrategia Arima-Montecarlo<\/span> Leer m\u00e1s »<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"yoast_head":"\nEstrategia Arima-Montecarlo - V\u00edctor A. Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas<\/title>\n<meta name=\"robots\" content=\"noindex, follow\" \/>\n<meta property=\"og:locale\" content=\"es_ES\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Estrategia Arima-Montecarlo - V\u00edctor A. 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