我想使用quantstrat建立交易策略。它应该比较，如果closeprice高于Donchianchannel高。我想创建一个Longsignal：Closeprice > 0.85 * Donchianchannel high。
library(quantstrat)
Sys.setenv(TZ = "UTC")
currency(USD)
init_date <- "2014-12-31"
start_date <- "2015-01-01"
end_date <- "2017-12-31"
init_equity <- 100000
adjustment <- TRUE
getSymbols(Symbols = "QQQ",
src = "yahoo", index.class = "POSIXct",
from = start_date,
to = end_date,
adjust = adjustment)
QQQ=na.omit(QQQ)
stock("QQQ",currency="USD",multiplier = 1)
> head(QQQ)
QQQ.Open QQQ.High QQQ.Low QQQ.Close QQQ.Volume QQQ.Adjusted
2015-01-02 100.66108 101.09768 99.39009 99.87520 31148800 99.71343
2015-01-05 99.44830 99.55502 98.12879 98.41016 36521300 98.25075
2015-01-06 98.55569 98.72063 96.65405 97.09065 66205500 96.93339
2015-01-07 97.74070 98.57509 97.49814 98.34224 37577400 98.18295
2015-01-08 99.20574 100.41853 99.06991 100.22448 40212600 100.06215
2015-01-09 100.53496 100.56406 98.98259 99.56473 41401300 99.40346
strategy.st<-"basic_strat"
portfolio.st<-"basic_portfolio"
account.st<-"basic_account"
rm.strat(portfolio.st)
rm.strat(account.st)
initPortf(name = portfolio.st,symbols = "QQQ",initDate = init_date)
initAcct(name = account.st,portfolios = portfolio.st,initDate = init_date,initEq = init_equity)
initOrders(portfolio = portfolio.st,symbols = "QQQ",initDate = init_date)
strategy(strategy.st, store = TRUE)
add.indicator(strategy = strategy.st,
name = "Donchianchannel",
arguments = list(price = quote(Cl(mktdata)),
n = 260),
label = "DCH")
mktdata_ind <- applyIndicators(strategy=strategy.st,mktdata=NSEI)
这一步不起作用：
.xts（e，.index（e2），。indexStASS = indexClass（e2）中的错误， .indexFORMAT = indexFormat（e2）,:索引长度必须匹配数字 观察）
mktdata_ind[is.na(mktdata_ind)]=0
knitr::kable(tail(mktdata_ind))
有人可以识别问题并帮助我吗？
信号应该在我看来是这样的：
add.signal(strategy.st, name = "sigCrossover", arguments = list(columns = c("DHC.high*0.85","Close"),relationship="gt"), label = "Close_gt_DHC.high")
非常感谢你的帮助！
答案 0 :(得分：3)
这是一个完全可重复的例子，适用于长期交易。希望你可以在短边和你想要的任何调整中解决这个问题。
您的示例代码中有一些错误我已经更正：
library(quantstrat)
Sys.setenv(TZ = "UTC")
# The currency argument should be a character vector, not an expression without quotes:
currency("USD")
# You you're using Donchian channel with 260 look back period, you need a much larger data period to get meaningful results as you'll lose the first 259 rows of data:
start_date <- "2007-01-01"
end_date <- "2017-12-31"
init_equity <- 100000
adjustment <- TRUE
getSymbols(Symbols = "QQQ",
src = "yahoo", index.class = "POSIXct",
from = start_date,
to = end_date)
#saveRDS(QQQ, "QQQ.rds")
#QQQ <- readRDS("QQQ.rds")
QQQ=na.omit(QQQ)
symbols <- "QQQ"
stock(symbols,currency="USD",multiplier = 1)
strategy.st<-"basic_strat"
portfolio.st<-"basic_portfolio"
account.st<-"basic_account"
LongEnabled <- TRUE
ShortEnabled <- TRUE
rm.strat(strategy.st)
rm.strat(portfolio.st)
rm.strat(account.st)
initPortf(name = portfolio.st,symbols = "QQQ")
# You don't need to set init date, it will be figured out automatically.
initAcct(name = account.st,portfolios = portfolio.st, initEq = init_equity)
initOrders(portfolio = portfolio.st,symbols = "QQQ")
strategy(strategy.st, store = TRUE)
txfeeFUN <- function(TxnQty, TxnPrice, Symbol, fee.rate = 0.005) {
fees <- -abs(TxnQty) * fee.rate * TxnPrice
if (fees > 0)
stop("Fees must be a negative number.")
fees
}
# restrict to 1 entry per side.
tradeSize <- 100
for (sym in symbols) {
addPosLimit(portfolio.st, sym, start(get(sym)), tradeSize)
}
add.indicator(strategy = strategy.st,
# correct name of function:
name = "DonchianChannel",
arguments = list(HL = quote(HLC(mktdata)[, 1:2]),
# you will lose 260 rows of data in setting up the donchian channel with just
# n = 260),
n = 100),
label = "DCH")
ratioPriceSeries <- function(x,
multiplier = 0.85,
col = "high.DCH") {
x$ratioLvl <- multiplier * x[, col]
x[, "ratioLvl"]
}
add.indicator(strategy = strategy.st,
# correct name of function:
name = "ratioPriceSeries",
arguments = list(x = quote(mktdata),
multiplier = 0.85,
col = "high.DCH"),
label = "Lratio")
res <- applyIndicators(strategy.st, mktdata = QQQ)
add.signal(strategy.st, name = "sigCrossover",
arguments = list(
label = "co",
data = quote(mktdata),
columns = c("Close", "Lratio"),
relation = "gt"
),
label = "enterL")
add.signal(strategy.st, name = "sigCrossover",
arguments = list(
label = "co",
data = quote(mktdata),
columns = c("Close", "Lratio"),
relation = "lt"
),
label = "exitL")
res <- applySignals(strategy.st, res)
# debug, check signal counts:
#sum(res[, "enterL"] == 1,na.rm = TRUE)
#sum(res[, "exitL"] == 1,na.rm = TRUE)
add.rule(strategy.st,name='ruleSignal2',
arguments = list(sigcol="enterL",
sigval=TRUE,
orderqty=100,
ordertype='market',
orderside='long',
osFUN=osMaxPos,
threshold=NULL,
TxnFees = "txfeeFUN",
# change this to prefer = "Open" if you wish:
prefer = "Close"),
type='enter',
label='enterLong',
storefun=FALSE,
enabled = LongEnabled
)
add.rule(strategy.st,name='ruleSignal',
arguments = list(sigcol="exitL",
sigval=TRUE,
orderqty='all',
ordertype='market',
orderside='long',
orderset='DC.set',
TxnFees = "txfeeFUN",
prefer = "Close"),
type='exit',
label='exitLong',
enabled = LongEnabled
)
applyStrategy(strategy.st, portfolio= portfolio.st)
updatePortf(Portfolio = portfolio.st)
ob <- getOrderBook(portfolio.st)
getTxns(portfolio.st, "QQQ")
# Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
# 1950-01-01 0 0.00 0.000 0 0.00 0.0000
# 2008-04-04 100 45.86 -22.930 4586 45.86 -22.9300
# 2008-04-10 -100 45.54 -22.770 -4554 45.54 -54.7700
# 2008-04-11 100 44.28 -22.140 4428 44.28 -22.1400
# 2008-04-14 -100 44.08 -22.040 -4408 44.08 -42.0397
# 2008-04-17 100 45.27 -22.635 4527 45.27 -22.6350
# 2008-09-10 -100 42.80 -21.400 -4280 42.80 -268.4001
# 2008-09-12 100 43.43 -21.715 4343 43.43 -21.7150
# 2008-09-16 -100 42.41 -21.205 -4241 42.41 -123.2050
# 2009-03-18 100 29.70 -14.850 2970 29.70 -14.8500
# 2010-07-01 -100 42.59 -21.295 -4259 42.59 1267.7049
# 2010-07-08 100 44.20 -22.100 4420 44.20 -22.1000
# 2011-08-09 -100 53.03 -26.515 -5303 53.03 856.4848
# 2011-08-10 100 50.86 -25.430 5086 50.86 -25.4300
# 2011-08-22 -100 50.21 -25.105 -5021 50.21 -90.1052
# 2011-08-24 100 52.69 -26.345 5269 52.69 -26.3450
# 2016-02-08 -100 96.62 -48.310 -9662 96.62 4344.6904
# 2016-02-17 100 102.50 -51.250 10250 102.50 -51.2500
tradeStats(portfolio.st, Symbols = "QQQ")
# Portfolio Symbol Num.Txns Num.Trades Net.Trading.PL Avg.Trade.PL Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits Gross.Losses Std.Dev.Trade.PL
# QQQ basic_portfolio QQQ 17 8 10986.96 736.295 -48.40485 4344.69 -268.4001 6468.88 -578.52 1557.472
# Std.Err.Trade.PL Percent.Positive Percent.Negative Profit.Factor Avg.Win.Trade Med.Win.Trade Avg.Losing.Trade Med.Losing.Trade Avg.Daily.PL Med.Daily.PL
# QQQ 550.6496 37.5 62.5 11.18177 2156.293 1267.705 -115.704 -90.1052 736.295 -48.40485
# Std.Dev.Daily.PL Std.Err.Daily.PL Ann.Sharpe Max.Drawdown Profit.To.Max.Draw Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity Min.Equity End.Equity
# QQQ 1557.472 550.6496 7.504674 -2070.56 5.306277 18.63629 14.06916 11274.96 -644.6849 10986.96
mktdata["2008-04"]
# QQQ.Open QQQ.High QQQ.Low QQQ.Close QQQ.Volume QQQ.Adjusted high.DCH mid.DCH low.DCH ratioLvl.Lratio enterL exitL
# 2008-04-01 44.42 45.61 44.41 45.59 137494400 41.33453 54.69 47.870 41.05 46.4865 NA NA
# 2008-04-02 45.70 46.02 45.17 45.49 132486800 41.24388 54.58 47.815 41.05 46.3930 NA NA
# 2008-04-03 45.29 45.91 45.14 45.59 140033800 41.33453 53.33 47.190 41.05 45.3305 1 NA
# 2008-04-04 45.77 46.35 45.40 45.86 139261000 41.57934 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-07 46.14 46.41 45.65 45.76 102297100 41.48867 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-08 45.41 45.72 45.18 45.41 97435200 41.17133 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-09 45.47 45.49 44.63 44.90 127182300 40.70894 52.84 46.945 41.05 44.9140 NA 1
# 2008-04-10 44.93 45.84 44.93 45.54 112773800 41.28919 52.84 46.945 41.05 44.9140 1 NA
# 2008-04-11 45.02 45.10 44.12 44.28 120135400 40.14681 52.84 46.945 41.05 44.9140 NA 1
# 2008-04-14 44.21 44.48 43.95 44.08 89274600 39.96547 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-15 44.24 44.35 43.68 44.14 124232300 40.01989 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-16 44.69 45.48 44.65 45.37 134027900 41.13506 52.84 46.945 41.05 44.9140 1 NA
# 2008-04-17 45.42 45.47 44.98 45.27 124953100 41.04440 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-18 46.47 46.93 46.22 46.71 133022500 42.34999 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-21 46.62 47.08 46.49 47.04 83303200 42.64919 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-22 46.75 46.77 45.93 46.34 104689600 42.01453 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-23 46.68 47.06 46.27 46.85 131086200 42.47692 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-24 46.87 47.79 46.39 47.27 166509000 42.85772 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-25 47.32 47.35 46.57 47.15 121945400 42.74891 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-28 47.26 47.62 47.13 47.24 71244000 42.83052 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-29 47.15 47.76 47.06 47.60 91270600 43.15691 52.84 46.945 41.05 44.9140 NA NA
# 2008-04-30 47.70 48.06 47.03 47.21 132152700 42.80332 52.84 46.945 41.05 44.9140 NA NA