Question

下面是可复制的代码：

library(quantstrat)

start_date <- as.Date("2017-02-02")
end_date <- as.Date("2018-06-24")
init_date <- as.Date("2017-01-01")
init_equity <- "50000"
adjustment <- TRUE
symbol <- "PETR4.SA"


getSymbols(symbol, src = "yahoo",from = start_date, to=end_date, adjust = adjustment)


portfolio.st <- "basic_port"
account.st <- "basic_account"
strategy.st <- "basic_strategy"


rm.strat(portfolio.st)
rm.strat(account.st)

stock(symbol, currency = currency("BRL"), multiplier = 1)
initPortf(name = portfolio.st, symbols = symbol, initDate = init_date)
initAcct(name = account.st, portfolios = portfolio.st, initDate = init_date, initEq =init_equity)
initOrders(portfolio.st, symbol, init_date)
strategy(strategy.st, store = TRUE)

add.indicator(strategy = strategy.st, name = "SMA", arguments = list(x = quote(Cl(mktdata)), n=10), label ="nFast")
add.indicator(strategy = strategy.st, name = "SMA", arguments = list(x = quote(Cl(mktdata)), n=30), label = "nSlow")

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")

#Add rules for entering positions
#enter long position
add.rule(strategy.st, 
         name = "ruleSignal", 
         arguments = list(sigcol = "long",
                          sigval = TRUE,
                          orderqty = 100,
                          ordertype = "stoplimit",
                          orderside = "long",
                          threshold = "0.0005",
                          prefer = "High",
                          TxnFees = -.8,
                          replace = FALSE),
         type = "enter",
         label = "EnterLong")

#enter short position
add.rule(strategy.st,
         name = "ruleSignal",
         arguments = list(sigcol = "short",
                          sigval = TRUE,
                          orderqty = -100,
                          ordertype = "stoplimit",
                          threshold = -0.005, 
                          orderside = "short", 
                          replace = FALSE, 
                          TxnFees = -.8, 
                          prefer = "Low"),
         type = "enter",
         label = "EnterShort")

#Add rules for exiting opened postions
#exit long positions
add.rule(strategy.st, 
         name = "ruleSignal", 
         arguments = list(sigcol = "short", 
                          sigval = TRUE, 
                          orderside = "long", 
                          ordertype = "market", 
                          orderqty = "all", 
                          TxnFees = -.8, 
                          replace = TRUE), 
         type = "exit", 
         label = "Exit2SHORT")

#exit short positions
add.rule(strategy.st, 
         name = "ruleSignal", 
         arguments = list(sigcol = "long", 
                          sigval = TRUE, 
                          orderside = "short", 
                          ordertype = "market", 
                          orderqty = "all", 
                          TxnFees = -.8, 
                          replace = TRUE), 
         type = "exit", 
         label = "Exit2LONG")

#Apply strategy
applyStrategy(strategy.st, portfolios = portfolio.st,debug = TRUE)
updatePortf(portfolio.st)
updateAcct(account.st)
updateEndEq(account.st)

#Chart
chart.Posn(portfolio.st, Symbol = symbol, Dates="2017-01-01::2018-06-24", 
           TA="add_SMA(n = 10, col = 2); add_SMA(n = 30, col = 4)")

输出：

chart.Posn（portfolio.st，Symbol = symbol，Dates =“ 2017-01-01 :: 2018-06-24”，：     没有交易/排名图表

R版本3.4.4（2018-03-15）平台：x86_64-pc-linux-gnu（64位）   运行于：Ubuntu 18.04 LTS

getTxns(portfolio.st, symbol)

输出： Txn数量Txn价格价格Txn费用Txn值Txn平均成本净值Txn实现的PL 2016-12-31 21:00:00 0 0 0 0 0 0

但是，在检查mktdata对象时，我们发现进行交易10次的信号：

mktdata[mktdata$long == 1 | mktdata$short==1]

有趣的是，我在运行demo('bbands', ask=FALSE)时遇到了相同的错误（无交易/无图表位置），如本link

所述

sessionInfo()

R版本3.4.4（2018-03-15）平台：x86_64-pc-linux-gnu（64位）   运行于：Ubuntu 18.04 LTS

Matrix产品：默认BLAS：   /usr/lib/x86_64-linux-gnu/blas/libblas.so.3.7.1 LAPACK：   /usr/lib/x86_64-linux-gnu/lapack/liblapack.so.3.7.1

语言环境：1 LC_CTYPE = pt_BR.UTF-8 LC_NUMERIC = C
  LC_TIME = pt_BR.UTF-8 [4] LC_COLLATE = zh_CN.UTF-8
  LC_MONETARY = pt_BR.UTF-8 LC_MESSAGES = zh_CN.UTF-8 [7]   LC_PAPER = pt_BR.UTF-8 LC_NAME = C LC_ADDRESS = C
  [10] LC_TELEPHONE = C LC_MEASUREMENT = pt_BR.UTF-8   LC_IDENTIFICATION = C

附加的基本软件包：1统计信息图形grDevices utils
  数据集方法基础

其他附带的软件包：1 quantstrat_0.14.5
  foreach_1.4.4 blotter_0.14.2 [4]   PerformanceAnalytics_1.5.2.2 FinancialInstrument_1.3.0
  quantmod_0.4-13 [7] TTR_0.23-3
  xts_0.10-2 zoo_1.8-2

通过名称空间（未附加）加载：1 quadprog_1.5-5
  点阵_0.20-35 codetools_0.2-15 MASS_7.3-49 grid_3.4.4
  [6] curl_3.2 boot_1.3-20迭代器_1.0.9工具_3.4.4
  yaml_2.1.19 [11]编译器_3.4.4

Answer 1

这是0.14.5版的错误。它已在版本0.14.6中修复。

来源：https://github.com/braverock/quantstrat/issues/88

RQuantstrat：尽管有所有信号，但仍未完成任何交易

1 个答案: