Question

我试图在quantstrat中将几个EMA和RSI组合在一起。最终，我的目标是生成一些交易策略的图表和表现。不幸的是，我似乎陷入混合指标并不断收到错误消息（如下所述）。这是代码：

### Add Indicators

nRSI <- 21
buyThresh <- 50
sellThresh <- 50

#Indicator for EMA long medium short

nEMAL<- 80
nEMAM<- 21
nEMAS<- 13
nEMAF<- 5

add.indicator(strategy.st, name="RSI",
              arguments=list(price=quote(Cl(mktdata)), n=nRSI),
              label="rsi")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAL),
              label="EMAL")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAM),
              label="EMAM")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAS),
              label="EMAS")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAF),
              label="EMAF")

#customsig <- function(data) {
  sig <- data[, "EMA.EMAF"] > data[, "EMA.EMAS"] & data[, "EMA.EMAF"] > data[, "EMA.EMAM"] & data[, "rsi"] >50 & data[, "EMA.EMAM"] > data[, "EMA.EMAL"] & data[, "EMA.EMAS"] > data[, "EMA.EMAL"]  
  colnames(sig) <- "upSig"
  sig
}

#downsig <- function(data) {
  sig <- data[, "EMA.EMAF"] < data[, "EMA.EMAS"] & data[, "EMA.EMAF"] < data[, "EMA.EMAM"] & data[, "rsi"] <50 & data[, "EMA.EMAM"] < data[, "EMA.EMAL"] & data[, "EMA.EMAS"] < data[, "EMA.EMAL"]  
  colnames(sig) <- "downSig"
  sig
}



### Add Signal- Enter

add.signal(strategy.st, name="customsig",
           arguments=list(data = quote(mktdata)),
           label = "entersig")

add.signal(strategy.st, name="downsig",
           arguments=list(data = quote(mktdata)),
           label = "downsig.exitsig")

### Add rule - Enter

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="entersig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          threshold=NULL),
         type='enter',
         path.dep=TRUE)


### Add rule- Exit

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="downsig.exitsig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          pricemethod='market',
                          replace=FALSE),
         type='exit',
         path.dep=TRUE)

start_t<-Sys.time()
out<-try(applyStrategy(strategy=strategy.st,
                       portfolios=portfolio.st))


updatePortf(portfolio.st)
updateAcct(portfolio.st)
updateEndEq(account.st)

for(symbol in symbols) {
  chart.Posn(
    Portfolio=portfolio.st,
    Symbol=symbol,
    log=TRUE)
}

我得到的错误是

Error in applyRules(portfolio = portfolio, symbol = symbol, strategy = strategy,  : mktdata does not contain 'sigcol': entersig

我如何完全适用规则？

Answer 1

您尚未正确识别信号的列名称。看看这个，你会看到你的信号栏没有你期望的标签：

 a = dir('C:\example\Desktop\imagefolder\*.png');
 numberofImages = length(a);
 %sizeofimage?
 matrix = zeros(numberofImages, sizeofimage);

以下代码在进行3次更正后有效。由于您的示例不可重复，我必须在您的上面添加一些额外的代码：

var date1 = "2018-04-19T20:23:01.804Z";
var date2 = "2018-12-31T23:59:34.527Z"; //New Year's Eve

var dateDifference;

function getDifference(dateA, dateB){
  var dateInt1 = new Date(date1);
  var dateInt2 = new Date(date2);
  if(dateInt1<dateInt2){
    dateDifference = Math.round((dateInt2 - dateInt1)/86400000);
  }else{
    dateDifference = Math.round((dateInt1 - dateInt2)/86400000);
  }
}

getDifference(date1, date2);

console.log(dateDifference);

应用规则时出错：组合技术指标

1 个答案: