（旧）時系列データのダウンロードと加工
あらかじめ、AUDUSD1440.csv、EURUSD1440.csv、GBPUSD1440.csv、USDCAD1440.csv、USDCHF1440.csv、USDJPY1440.csvを作業ディレクトリ内に置いておく。
library(quantmod)
s_date <- "1997-01-01"
AUDUSD <- as.xts(read.zoo("AUDUSD1440.csv",sep=",",format="%Y.%m.%d",
colClasses = c(NA,"NULL","numeric","numeric","numeric","numeric","NULL")))[,1:4]
EURUSD <- as.xts(read.zoo("EURUSD1440.csv",sep=",",format="%Y.%m.%d",
colClasses = c(NA,"NULL","numeric","numeric","numeric","numeric","NULL")))[,1:4]
GBPUSD <- as.xts(read.zoo("GBPUSD1440.csv",sep=",",format="%Y.%m.%d",
colClasses = c(NA,"NULL","numeric","numeric","numeric","numeric","NULL")))[,1:4]
USDCAD <- as.xts(read.zoo("USDCAD1440.csv",sep=",",format="%Y.%m.%d",
colClasses = c(NA,"NULL","numeric","numeric","numeric","numeric","NULL")))[,1:4]
USDCHF <- as.xts(read.zoo("USDCHF1440.csv",sep=",",format="%Y.%m.%d",
colClasses = c(NA,"NULL","numeric","numeric","numeric","numeric","NULL")))[,1:4]
USDJPY <- as.xts(read.zoo("USDJPY1440.csv",sep=",",format="%Y.%m.%d",
colClasses = c(NA,"NULL","numeric","numeric","numeric","numeric","NULL")))[,1:4]
getSymbols("^GSPC",from=s_date)
data <- merge(window(AUDUSD,start=as.Date(s_date)),
window(EURUSD,start=as.Date(s_date)),
window(GBPUSD,start=as.Date(s_date)),
window(USDCAD,start=as.Date(s_date)),
window(USDCHF,start=as.Date(s_date)),
window(USDJPY,start=as.Date(s_date)),
GSPC[,c(1:3,6)])
colnames(data) <- c("AUDUSD.Open","AUDUSD.High","AUDUSD.Low","AUDUSD.Close",
"EURUSD.Open","EURUSD.High","EURUSD.Low","EURUSD.Close",
"GBPUSD.Open","GBPUSD.High","GBPUSD.Low","GBPUSD.Close",
"USDCAD.Open","USDCAD.High","USDCAD.Low","USDCAD.Close",
"USDCHF.Open","USDCHF.High","USDCHF.Low","USDCHF.Close",
"USDJPY.Open","USDJPY.High","USDJPY.Low","USDJPY.Close",
"GSPC.Open","GSPC.High","GSPC.Low","GSPC.Close")
data <- na.locf(data)
head(data)
AUDUSD.Open AUDUSD.High AUDUSD.Low AUDUSD.Close EURUSD.Open EURUSD.High EURUSD.Low EURUSD.Close GBPUSD.Open
1997-01-02 0.7946 0.7955 0.7883 0.7913 1.2673 1.2715 1.2629 1.2662 1.7100
1997-01-03 0.7912 0.7945 0.7890 0.7906 1.2664 1.2685 1.2470 1.2479 1.6940
1997-01-06 0.7907 0.7920 0.7869 0.7897 1.2463 1.2587 1.2442 1.2502 1.6872
1997-01-07 0.7894 0.7923 0.7882 0.7904 1.2505 1.2583 1.2480 1.2501 1.6948
1997-01-08 0.7900 0.7909 0.7772 0.7809 1.2504 1.2516 1.2387 1.2410 1.6929
1997-01-09 0.7804 0.7822 0.7770 0.7811 1.2412 1.2548 1.2374 1.2401 1.6874
GBPUSD.High GBPUSD.Low GBPUSD.Close USDCAD.Open USDCAD.High USDCAD.Low USDCAD.Close USDCHF.Open USDCHF.High
1997-01-02 1.7133 1.6828 1.6946 1.3693 1.3770 1.3682 1.3761 1.3430 1.3510
1997-01-03 1.7025 1.6845 1.6878 1.3755 1.3787 1.3691 1.3705 1.3472 1.3635
1997-01-06 1.6975 1.6780 1.6962 1.3695 1.3737 1.3630 1.3659 1.3600 1.3635
1997-01-07 1.6998 1.6908 1.6939 1.3652 1.3665 1.3547 1.3559 1.3538 1.3584
1997-01-08 1.6980 1.6838 1.6885 1.3556 1.3578 1.3491 1.3520 1.3551 1.3682
1997-01-09 1.7025 1.6863 1.7014 1.3516 1.3561 1.3488 1.3529 1.3652 1.3722
USDCHF.Low USDCHF.Close USDJPY.Open USDJPY.High USDJPY.Low USDJPY.Close GSPC.Open GSPC.High GSPC.Low GSPC.Close
1997-01-02 1.3390 1.3483 116.02 116.30 115.28 115.73 740.74 742.81 729.55 737.01
1997-01-03 1.3431 1.3596 115.67 116.80 115.30 116.46 737.01 748.24 737.01 748.03
1997-01-06 1.3511 1.3538 116.74 117.09 115.35 115.74 748.03 753.31 743.82 747.65
1997-01-07 1.3448 1.3557 115.70 116.12 114.85 115.39 747.65 753.26 742.18 753.23
1997-01-08 1.3515 1.3657 115.35 116.08 114.90 115.82 753.23 755.72 747.71 748.41
1997-01-09 1.3604 1.3701 115.79 116.55 115.65 116.37 748.41 757.68 748.41 754.85