Question

我是R和cpp的新人。这些是我用Rcpp的cpp代码。

#include <cmath>
#include <Rcpp.h>
using namespace Rcpp;
// [[Rcpp::export]]

NumericVector getPerformance(NumericVector accProfitSeries, NumericVector dateSeries, double capital, double riskFreeRate)
{
NumericVector retult(8);
int Length = accProfitSeries.length();
double strategyProfit = accProfitSeries[Length - 1];
double returnRate = log(strategyProfit / capital);
double tradingPeriod = (dateSeries[dateSeries.length() - 1] - dateSeries[0]) / 365;
double returnRateYear = returnRate / tradingPeriod;
double sharpeRatio;

for (int i = 0; i < 8; i++) {
    result[i] = 0;
}

NumericVector capitalLevel(Length), capitalReturn(Length);
double meanReturn, sumReturn, stdReturn;
double tmp;

for (int i = 0; i < Length; i++)
{

    capitalLevel[i] = accProfitSeries[i] + capital;

    capitalReturn[i] = log(capitalReturn[i] / capitalReturn[0]);

    sumReturn = sumReturn + capitalReturn[i];

}

meanReturn = sumReturn / Length;


for (int i = 0; i < Length; i++)
    tmp += pow(capitalReturn[i] - meanReturn, 2);
stdReturn = sqrt(tmp / Length);

sharpeRatio = (meanReturn - riskFreeRate) / stdReturn;


double maxCapital = 0, drawback = 0, maxDrawback = 0, maxDrawbackPercent = 0;
int drawbackPeriod = 0, maxDrawbackPeriod = 0;
for (int i = 0; i < Length; i++)
{
    maxCapital = max(NumericVector::create(maxCapital, capitalLevel[i]));
    drawback = capitalLevel[i] - maxCapital;
    maxDrawback = min(NumericVector::create(maxDrawback, drawback));

    maxDrawbackPercent = maxDrawback / (maxCapital - capital);
    if (drawback >= 0)
    {
        drawbackPeriod = 0;
    }
    else
    {
        drawbackPeriod++;
        maxDrawbackPeriod = max(NumericVector::create(maxDrawbackPeriod, drawbackPeriod));
    }
}
result[0] = returnRate;
result[1] = tradingPeriod;
result[2] = returnRateYear;
result[3] = sharpeRatio;
result[4] = maxDrawback;
result[5] = maxDrawbackPeriod;
result[6] = strategyProfit;
result[7] = maxDrawbackPercent;
return(result);
}

我收到了一条错误消息，其他消息类似：

getPerformance.cpp：17：9：错误：在'['标记之前缺少模板参数 result [i] = 0;

我该如何解决？

Answer 1

主要有两个问题：

正如@DirkEddelbuettel所指出的，您需要将retult(8)更改为result(8)以正确设置脚本中其他位置引用的变量。
您未能初始化多个double变量。

以下内容应该有效......

#include <cmath>
#include <Rcpp.h>
using namespace Rcpp;

// [[Rcpp::export]]
NumericVector getPerformance(NumericVector accProfitSeries, 
                             NumericVector dateSeries,
                             double capital, double riskFreeRate)
{
    NumericVector result(8); // retult -> result
    int Length = accProfitSeries.length();
    double strategyProfit = accProfitSeries[Length - 1];
    double returnRate = log(strategyProfit / capital);
    double tradingPeriod = (dateSeries[dateSeries.length() - 1] - dateSeries[0]) / 365;
    double returnRateYear = returnRate / tradingPeriod;
    double sharpeRatio = 0.0;     // Initialize value

    for (int i = 0; i < 8; i++) {
        result[i] = 0;
    }

    NumericVector capitalLevel(Length), capitalReturn(Length);

    // Initialize values
    double meanReturn = 0.0, sumReturn = 0.0, stdReturn = 0.0;
    double tmp = 0.0;

    for (int i = 0; i < Length; i++) {
        capitalLevel[i] = accProfitSeries[i] + capital;
        capitalReturn[i] = log(capitalReturn[i] / capitalReturn[0]);
        sumReturn = sumReturn + capitalReturn[i];
    }

    meanReturn = sumReturn / Length;

    for (int i = 0; i < Length; i++)
        tmp += pow(capitalReturn[i] - meanReturn, 2);

    stdReturn = sqrt(tmp / Length);
    sharpeRatio = (meanReturn - riskFreeRate) / stdReturn;

    double maxCapital = 0, drawback = 0, maxDrawback = 0, maxDrawbackPercent = 0;
    int drawbackPeriod = 0, maxDrawbackPeriod = 0;

    for (int i = 0; i < Length; i++) {
        maxCapital = max(NumericVector::create(maxCapital, capitalLevel[i]));
        drawback = capitalLevel[i] - maxCapital;
        maxDrawback = min(NumericVector::create(maxDrawback, drawback));

        maxDrawbackPercent = maxDrawback / (maxCapital - capital);

        if (drawback >= 0) {
            drawbackPeriod = 0;
        } else {
            drawbackPeriod++;
            maxDrawbackPeriod = max(NumericVector::create(maxDrawbackPeriod, drawbackPeriod));
        }
    }

    result[0] = returnRate;
    result[1] = tradingPeriod;
    result[2] = returnRateYear;
    result[3] = sharpeRatio;
    result[4] = maxDrawback;
    result[5] = maxDrawbackPeriod;
    result[6] = strategyProfit;
    result[7] = maxDrawbackPercent;
    return(result);
}

在'['标记之前缺少模板参数

1 个答案: