tidyquant
Bringing financial and business analysis to the tidyverse
Features of Tidyquant
Bringing Excel to R in tidyquant 1.0.0
NEW: Tidyquant 1.0.0 is the “R for Excel Users” release. My aim is
to build functionality that helps users coming from an Excel
Background (background I came from). It’s important to have these
users feel at home. I have a full suite of functionality to accomplish
your Excel-to-R transition.-Matt
Details on the Excel integrations are covered in the blog article,
“Excel in R - Pivot Tables, VLOOKUPs, and
more”.
Bringing Financial Analysis to the tidyverse
tidyquant
integrates the best resources for collecting and analyzing
financial data, zoo
, xts
, quantmod
, TTR
, and
PerformanceAnalytics
, with the tidy data infrastructure of the
tidyverse
allowing for seamless interaction between each. You can now
perform complete financial analyses in the tidyverse
.
2-Minutes To Tidyquant
Our short introduction to tidyquant
on
YouTube.
Check out our entire Software Intro
Series
on YouTube!
Benefits
- A few core functions with a lot of power
- Integrates the quantitative analysis functionality of
zoo
,
xts
,quantmod
,TTR
, and nowPerformanceAnalytics
- Designed for modeling and scaling analyses using the the
tidyverse
tools in R for Data
Science - Implements
ggplot2
functionality for beautiful and meaningful
financial visualizations - User-friendly documentation to get you up to speed quickly!
One-Stop Shop for Serious Financial Analysis
With tidyquant
all the benefits add up to one thing: a one-stop shop
for serious financial analysis!
Core Functions
-
Getting Financial Data from the web:
tq_get()
. This is a
one-stop shop for getting web-based financial data in a “tidy” data
frame format. Get data for daily stock prices (historical), key
statistics (real-time), key ratios (historical), financial
statements, dividends, splits, economic data from the FRED, FOREX
rates from Oanda. -
Manipulating Financial Data:
tq_transmute()
andtq_mutate()
.
Integration for many financial functions fromxts
,zoo
,
quantmod
,TTR
andPerformanceAnalytics
packages.tq_mutate()
is used to add a column to the data frame, andtq_transmute()
is
used to return a new data frame which is necessary for periodicity
changes. -
Performance Analysis and Portfolio Analysis:
tq_performance()
andtq_portfolio()
. The newest additions to thetidyquant
family integratePerformanceAnalytics
functions.
tq_performance()
converts investment returns into performance
metrics.tq_portfolio()
aggregates a group (or multiple groups) of
asset returns into one or more portfolios.
Comparing Stock Prices
Visualizing the stock price volatility of four stocks side-by-side is
quick and easy…
Evaluating Stock Performance
What about stock performance? Quickly visualize how a $10,000 investment
in various stocks would perform.
Evaluating Portfolio Performance
Ok, stocks are too easy. What about portfolios? With the
PerformanceAnalytics
integration, visualizing blended portfolios are
easy too!
- Portfolio 1: 50% FB, 25% AMZN, 25% NFLX, 0% GOOG
- Portfolio 2: 0% FB, 50% AMZN, 25% NFLX, 25% GOOG
- Portfolio 3: 25% FB, 0% AMZN, 50% NFLX, 25% GOOG
- Portfolio 4: 25% FB, 25% AMZN, 0% NFLX, 50%
GOOG
This just scratches the surface of tidyquant
. Here’s how to install to
get started.
Installation
Development Version with Latest Features:
# install.packages("devtools")
devtools::install_github("business-science/tidyquant")
CRAN Approved Version:
install.packages("tidyquant")
Further Information
The tidyquant
package includes several vignettes to help users get up
to speed quickly:
- TQ00 - Introduction to
tidyquant
- TQ01 - Core Functions in
tidyquant
- TQ02 - R Quantitative Analysis Package Integrations in
tidyquant
- TQ03 - Scaling and Modeling with
tidyquant
- TQ04 - Charting with
tidyquant
- TQ05 - Performance Analysis with
tidyquant
- Blog Article: Excel in R - Pivot Tables, VLOOKUPs, and
more!
See the tidyquant
vignettes for further
details on the package.
Want to Learn tidyquant?
-
- Performance Analysis & Portfolio Optimization with
tidyquant
- A 1-hour course ontidyquant
in Learning Labs
PRO
- Performance Analysis & Portfolio Optimization with
-
- Building an API with
plumber
- Build a stock optimization
API withplumber
andtidyquant
- Building an API with
-
- Stock Portfolio Optimization and Nonlinear Programming - Use
theROI
package withtidyquant
to calculate optimal minimum
variance portfolios and develop an efficient frontier.
- Stock Portfolio Optimization and Nonlinear Programming - Use