Re: [R] R Finance

From: <davidr_at_rhotrading.com>
Date: Thu, 13 Mar 2008 08:18:47 -0500

I guess I would create a mapping table to convert between the symbols from Bloomberg and from Yahoo.
You should be able to just create it once and add to it as new symbols appear on your screens. Most of the symbols should be the same so you could omit those. If it all has to be automated, you could use RBloomberg to get the tickers from the ISINs in one call, but there may still be other transformations needed, such as "XYZ/A" to "XYZA" or whatever.
HTH, David L. Reiner, PhD
Head Quant
Rho Trading Securities, LLC

-----Original Message-----
From: r-help-bounces_at_r-project.org [mailto:r-help-bounces_at_r-project.org] On Behalf Of Ruby
Sent: Thursday, March 13, 2008 6:44 AM
To: r-help_at_r-project.org
Subject: [R] R Finance

Hi,

I am an R novice working with financial data. I am developing a portfolio strategy evaluation technique to back-test the performance of our screens; checking how the screened stock would've performed over the period in question.

I am using quantmod in R to download the historical data from yahoo and then analyzing it using PerformanceAnalytics. My problem is that, as our screens are done using Bloomberg, my list of screened stocks only has Bloomberg tickers and ISINs. Does anybody know of a method which could convert ISINs to yahoo tickers/symbols?? Or a method of accessing yahoo historical data from an ISIN (instead of a symbol call)? I would prefer not to use RBloomberg to download the data as the data calls would be extensive in testing.

Thank you!!



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