Question

我想在 quantstrat 中添加自定义指标，但此指标不是根据价格系列计算的。例如：

# Get SPY from Yahoo Finance
getSymbols("SPY", from = "2016-01-01", to = "2016-01-31", src =  "yahoo", adjust =  TRUE)
SPY <- SPY[,1:4]

#Create Indicator
set.seed(123)
indicator <- sample(seq(from = 0, to = 100, by = 5), size = nrow(SPY), replace = TRUE)

如何将该指标添加到我的策略中并从中生成信号？我所发现的只是添加指标的基本符号，但是是否可以添加已计算的指标？

# Add a 5-day simple moving average indicator to your strategy
add.indicator(strategy = strategy.st,
              # Add the SMA function
              name = "SMA",
              # Create a lookback period
              arguments = list(x = quote(Cl(mktdata)), n = 5),
              # Label your indicator SMA5
              label = "SMA5")

Answer 1

我喜欢使用“ifelse”功能

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这将为您提供SMA和一列，您可以使用1作为买入信号或-1作为卖出信号。

添加指标Quantstrat R.

1 个答案: