我正在研究吸墨纸和Quantstrat。我想知道为什么会有错误信息，该错误信息始终不显示图表的交易/位置。您能给我一些帮助吗？
#### Set up packages we need to use below ##########
library(blotter)
library(FinancialInstrument)
library(quantstrat)
p = 0
## This is your universe of investable assets #####
## To remove an asset from the list, just delete #####
symbols <- c( "UGAZ", "EWQ", "EWH",
"VIXM", "SPY", "QQQ",
"EWG", "INDA", "MCHI" )
plot(VIXM$Adjusted)
##### ignore code until you see "Pay Attention" ########################
currency('USD')
stock(symbols,
currency = "USD",
multiplier = 1)
## Set up investment strategy params
init_date <- "2015-12-31"
start_date <- "2016-01-01"
end_date <- "2018-06-01"
init_equity <- 10000000 # $10,000,000
adjustment <- TRUE
getSymbols(Symbols = symbols,
src = "yahoo",
index.class = "POSIXct",
from = start_date,
to = end_date,
adjust = adjustment)
stock(symbols,
currency = "USD",
multiplier = 1)
portfolio.st <- "Port.Luxor"
account.st <- "Acct.Luxor"
strategy.st <- "Strat.Luxor"
#########^^^^^^^^Ignore ^^^^^^^^^########################
#########################################################
############################################################
### Once you run above, to rerun after makning changes ###
### to your strategy below, just run from here to end ###
rm.strat(portfolio.st)
rm.strat(account.st)
rm.strat(strategy.st)
initPortf(name = portfolio.st,
symbols = symbols,
initDate = init_date)
initAcct(name = account.st,
portfolios = portfolio.st,
initDate = init_date,
initEq = init_equity)
initOrders(portfolio = portfolio.st,
symbols = symbols,
initDate = init_date)
strategy(strategy.st, store = TRUE)
#######################################################
#### Pay attention! Change indicators here ###########
# SMA speed can be modified here
fastSMA=20
slowSMA=60
add.indicator(strategy = strategy.st,
name = "SMA",
arguments = list(x = quote(Cl(mktdata)),
n = fastSMA),
label = "nFast")
add.indicator(strategy = strategy.st,
name = "SMA",
arguments = list(x = quote(Cl(mktdata)),
n = slowSMA),
label = "nSlow")
#### Pay attention! Change signals here ##########
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "gte"),
label = "long")
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "lt"),
label = "short")
#### Pay attention! Change trade rules here ###########
# Trade sizes for long/short
longSize=100
shortSize=10000
fast=slow=sr1=sr2=sr3=sr4 =sr5=sr6=longs=shorts=c()
z = seq(10, 1000, by = 100)
for (i in z) {
longSize=i
j = seq(10,100,by = 10)
for(n in z){
shortSize = n
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "gte"),
label = "long")
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "lt"),
label = "short")
### LONG Rules
# Enter Long
add.rule(strategy = strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderqty = longSize,
ordertype = "market",
orderside = "long",
prefer = "High",
TxnFees = 0,
replace = FALSE),
type = "enter",
label = "EnterLONG")
# Exit Long
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderside = "short",
ordertype = "market",
orderqty = "all",
TxnFees = 0,
replace = TRUE),
type = "exit",
label = "Exit2LONG")
#### SHORT rules
# Enter Short
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderqty = -shortSize,
ordertype = "market",
orderside = "short",
replace = FALSE,
TxnFees = 0,
prefer = "Low"),
type = "enter",
label = "EnterSHORT")
# Exit Short
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderside = "long",
ordertype = "market",
orderqty = "all",
TxnFees = 0,
replace = TRUE),
type = "exit",
label = "Exit2SHORT")
### Add stop loss rule #####
.stoploss <- .04 # <<<< Modify stop loss as % of entry price here
## Stop loss long
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long" ,
sigval = TRUE,
replace = FALSE,
orderside = "long",
ordertype = "stoplimit",
tmult = TRUE,
threshold = quote(.stoploss),
TxnFees = 0,
orderqty = "all",
orderset = "ocolong"),
type = "chain",
parent = "EnterLONG",
label = "StopLossLONG",
enabled = T)
## Stop loss short
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
replace = FALSE,
orderside = "short",
ordertype = "stoplimit",
tmult = TRUE,
threshold = quote(.stoploss),
TxnFees = 0,
orderqty = "all",
orderset = "ocoshort"),
type = "chain",
parent = "EnterSHORT",
label = "StopLossSHORT",
enabled =T)
#### End of Stop Loss code ################
## Now get results for signal/rules/strategies
results_file <- paste("results", strategy.st, "RData", sep = ".")
if( file.exists(results_file) ) {
file.remove(results_file)}
results <- applyStrategy(strategy.st, portfolios = portfolio.st)
updatePortf(portfolio.st)
updateAcct(account.st)
updateEndEq(account.st)
for(symbol in symbols) {
print(symbol)
chart.Posn(portfolio.st, Symbol = symbol,
TA = "add_SMA(n = fastSMA, col = 4); add_SMA(n = slowSMA, col = 2)")
}
### Tabulate Result Stats by Individual Asset
tstats <- tradeStats(portfolio.st)
knitr::kable(t(tstats))
### Now get Total Portfolio Results ####
final_acct <- getAccount(account.st)
end_eq <- final_acct$summary$End.Eq
returns <- Return.calculate(end_eq, method="log")
charts.PerformanceSummary(returns, colorset = bluefocus, main = "Strategy Performance")
########### Our sharpe ratio and return #########
sr1 = c(SharpeRatio.annualized(returns),sr1)
sr2 = c(table.AnnualizedReturns(returns),sr2)
sr3 = SharpeRatio(returns,add.sharpe = "SPY$Adjusted")
longs=c(longSize,longs)
shorts=c(shortSize,shorts)
p = p+1
print(sr3[3])
sr4[p] = sr3[3]
sr5[p] = SharpeRatio.annualized(returns)
sr6[p] = returns
rm.strat(portfolio.st)
rm.strat(account.st)
rm.strat(strategy.st)
initPortf(name = portfolio.st,
symbols = symbols,
initDate = init_date)
initAcct(name = account.st,
portfolios = portfolio.st,
initDate = init_date,
initEq = init_equity)
initOrders(portfolio = portfolio.st,
symbols = symbols,
initDate = init_date)
strategy(strategy.st, store = TRUE)
print(sr4)
print(sr5)
print(sr6)
}
}
我想使用循环尝试尽可能多的长短组合。因此，我将此添加为功能。但是，当我一一测试时，效果很好。当我切换到循环时，它显示此错误。
答案 0 :(得分：0)
有时，Quantstrat中的错误是由列名的错误指定引起的。 试试这个：
add.signal(strategy = strategy.st,
name="X1.sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "gte"),
label = "long")
add.signal(strategy = strategy.st,
name="X1.sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "lt"),
label = "short")