Question

我试图判断一个特定的列值是否大于.77，但是如果该值大于0，则此代码返回1.是否有任何方法可以使用已知函数（不是自定义函数）来执行简单大然后检查？

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")


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

错误：

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

Answer 1

我的解决方案是改变：

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

为：

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

检查值是否大于或小于指定值

1 个答案: