quantstrat信号参考其他信号

有什么信号参考其他信号的正确方法是什么？它不是功能性的吗？我似乎找不到在我的代码中执行此操作的方法。quantstrat信号参考其他信号

library(PerformanceAnalytics) 
library(quantmod) 
library(lattice) 
startDate <- '2010-01-01' # start of data 
endDate <- '2015-05-01' # end of data 
.blotter<-new.env() 
.strategy<-new.env() 


Sys.setenv(TZ="EST") # set time zone 
symbols<-c("GOOG") 
data<-getSymbols(symbols, from=startDate, to=endDate, index.class="POSIXct",env=NULL) 

library(quantstrat) 
initDate <- '2009-12-31' 
initEq <- 1e6 
currency("USD") 
stock(symbols, currency="USD", multiplier=1) 

rm.strat("multiAsset.bb1") # remove portfolio, account, orderbook if re-run 
initPortf(name="multiAsset.bb1", symbols, initDate=initDate) 
initAcct(name="multiAsset.bb1", portfolios="multiAsset.bb1",initDate=initDate, initEq=initEq) 
initOrders(portfolio="multiAsset.bb1", initDate=initDate) 

strategy("bbands", store=TRUE) 
#Indicators are applied before signals and rules, and the output of indicators may be used as inputs to construct signals or fire rules 

#mktdata is the time series object that holds the current symbols data during evaluation (pg 55) 
add.indicator("bbands", name = "BBands",arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'), label='bbInd') 

test <- applyIndicators("bbands", mktdata=data) 
head(test, 10) 

add.signal("bbands", name="sigThreshold", arguments=list(columns=c("pctB.bbInd",".77"),relationship="gt"),label="H.gt.UpperBand") 

add.signal("bbands", name="sigThreshold", arguments=list(columns=c("H.gt.UpperBand","0"),relationship="gt"),label="true.upper.band") 

test <- applySignals("bbands", mktdata=test) 
head(test, 10)

错误

Error in match.names(column, colnames(data)) : 
    argument "column" is missing, with no default

注意，这是一个广义的例子。将第一个信号作为一个指标并在这个特定情况下避免这个问题是微不足道的。

来源

2016-06-01 Rilcon42

您已将错误的参数传递给sigThreshold。该校正的代码按预期工作，第二个信号使用来自第一个信号的H.gt.UpperBand列（单数）。代码中sigThreshold函数的缺失参数是column（单数）和threshold。

library(quantstrat) 

startDate <- '2010-01-01' # start of data 
endDate <- '2015-05-01' # end of data 

Sys.setenv(TZ="EST") # set time zone 
symbols<-c("GOOG") 
data<-getSymbols.yahoo(symbols, from=startDate, to=endDate, index.class="POSIXct",auto.assign=FALSE) 

initDate <- '2009-12-31' 
initEq <- 1e6 
currency("USD") 
stock(symbols, currency="USD", multiplier=1) 

rm.strat("multiAsset.bb1") # remove portfolio, account, orderbook if re-run 
initPortf(name="multiAsset.bb1", symbols, initDate=initDate) 
initAcct(name="multiAsset.bb1", portfolios="multiAsset.bb1",initDate=initDate, initEq=initEq) 
initOrders(portfolio="multiAsset.bb1", initDate=initDate) 

strategy("bbands", store=TRUE) 
#Indicators are applied before signals and rules, and the output of indicators may be used as inputs to construct signals or fire rules 

#mktdata is the time series object that holds the current symbols data during evaluation (pg 55) 
add.indicator("bbands" 
       , name = "BBands" 
       , arguments = list(HLC = quote(HLC(mktdata)) 
           , maType='SMA') 
       , label='bbInd') 

test <- applyIndicators("bbands", mktdata=data) 
head(test, 10) 

add.signal("bbands" 
      , name="sigThreshold" 
      , arguments=list(column="pctB.bbInd" 
          , threshold=.77 
          , relationship="gt") 
      , label="H.gt.UpperBand") 

add.signal("bbands" 
      , name="sigThreshold" 
      , arguments=list(column="H.gt.UpperBand" 
          , threshold=0 
          , relationship="gt") 
      ,label="true.upper.band") 

test <- applySignals("bbands", mktdata=test) 
head(test, 10)

来源

2016-06-04 12:23:23

quantstrat信号参考其他信号

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