Question

sigAND是一个非常有用的功能，可以在两个选定列都具有值（或非NA）时创建包含日期的新列。感谢Ilya Kipnis和他的IKTrading包。

但是，我注意到在此功能的帮助页面中使用了cross。我很困惑，如果我对上面sigAND的用法的理解是正确的，那么cross应该没有地方。

我查看了sigAND源代码，并对其进行了测试。该函数工作正常，当cross = TRUE输出列只是NA或FALSE的向量时。因此，cross似乎没有真正的意义。

这是我的假数据和输入：

dataAnd <- cbind(c(1, NA, 3, NA, NA, 10, 12), 7:13)
dataAnd <- xts(dataAnd, order.by = Sys.Date()+1:7)
colnames(dataAnd) <- c("col1", "col2")
label = "both"
data = dataAnd
columns = c("col1", "col2")
cross = T # F

以下是sigAND的源代码，其中包含一些注释以帮助自己理解代码（我还是R和编程新手）。

   function (label, data = mktdata, columns, cross = FALSE) 
        # cross = False is important, as cross=T makes no sense here.

        # columns: named colums to apply comparison to
    #{
        # create an empty return_signal_column
        ret_sig = NULL 

        colNums <- rep(0, length(columns)) # colNums <- c(0, 0)

        for (i in 1:length(columns)) { # for each column

            # example of how to use match.names()
            # match.names("Close", colnames(IF_DAY)) return 4, index of '.Close'
            # colNums[i] <- 4 assigned with an index
            colNums[i] <- match.names(columns[i], colnames(data))
        }

        # extract the first/left column to be a one-column xts and assigned to ret_sig
        ret_sig <- data[, colNums[1]] 

        # for second or third comparing column
        for (i in 2:length(colNums)) { 

            # check whether a date has values in both columns, yes(true), no(NA)
            # example: 1:4 & c(1, NA, NA, 10)
            # return: [1] TRUE   NA   NA TRUE
            ret_sig <- ret_sig & data[, colNums[i]]
        }

        # turn above [1] TRUE NA NA TRUE to [1]  1 NA NA  1
        ret_sig <- ret_sig * 1

        #### using cross option here makes no sense, right?
        # if cross was assigned to be True 
        if (isTRUE(cross)) 

            # create ret_sig logic value by diff(ret_sig) == 1
            ret_sig <- diff(ret_sig) == 1 # !!!! NA-1 or 1-NA are NA

        # name ret_sig to be label
        colnames(ret_sig) <- label # label is given to the output

       return(ret_sig)
    }

我加载了数据和输入，并运行了上面的源代码，没有注释掉的第一行和最后几行。

cross = FALSE时我得到了以下输出：

> ret_sig
           both
2016-03-19    1
2016-03-20   NA
2016-03-21    1
2016-03-22   NA
2016-03-23   NA
2016-03-24    1
2016-03-25    1

cross = TRUE时我得到了以下输出：

> ret_sig
            both
2016-03-19    NA
2016-03-20    NA
2016-03-21    NA
2016-03-22    NA
2016-03-23    NA
2016-03-24    NA
2016-03-25 FALSE

第二种情况表明cross没有任何意义。或者，我错过了一些重要的东西吗？有人可以看看吗？

Answer 1

感谢伊利亚的回复。 sigAND的{{1}}是非常必要的。我引用伊利亚的答案如下：

关闭时购买＆gt; SMA200和RSI < 20

如果没有十字架，你会每天都买这种情况   坚持。有了十字架，只有当RSI超过20时才会   关闭＆gt; SMA200。

我改变了我的简单示例，它确实有效。

数据和变量：

cross = T

用于测试的dataAnd <- cbind(c(1, 0, 0, 1, 1, 1, 1), c(0, 0, 1, 1, 1, 0,1 )) dataAnd <- xts(dataAnd, order.by = Sys.Date()+1:7) colnames(dataAnd) <- c("col1", "col2") label = "both" data = dataAnd columns = c("col1", "col2") cross = T # F源代码的一部分：

sigAND

# create an empty return_signal_column ret_sig = NULL colNums <- rep(0, length(columns)) # colNums <- c(0, 0) for (i in 1:length(columns)) { # for each column # example of how to use match.names() # match.names("Close", colnames(IF_DAY)) return 4, index of '.Close' # colNums[i] <- 4 assigned with an index colNums[i] <- match.names(columns[i], colnames(data)) } # extract the first/left column to be a one-column xts and assigned to ret_sig ret_sig <- data[, colNums[1]] # for second or third comparing column for (i in 2:length(colNums)) { # check whether a date has values in both columns, yes(1), no(0) ret_sig <- ret_sig & data[, colNums[i]] } ret_sig <- ret_sig * 1 #### using cross option here makes no sense, right? # if cross was assigned to be True if (isTRUE(cross)) # create ret_sig logic value by diff(ret_sig) == 1 ret_sig <- diff(ret_sig) == 1 # name ret_sig to be label colnames(ret_sig) <- label # label is given to the output ret_sig，我得到了：

cross = F

both 2016-03-20 0 2016-03-21 0 2016-03-22 0 2016-03-23 1 2016-03-24 1 2016-03-25 0 2016-03-26 1，我得到了：

cross = T

IKTrading :: sigAND的交叉参数真的有必要吗？

1 个答案: