Question

请忽略我以前的帖子。我试图在quanstrat中运行一种贸易策略，但我陷入困境。任何帮助将不胜感激。代码在下面，当我运行applyStrategy时收到以下错误：

if（inherits（sret $ indicators，“ xts”）＆nrow（mktdata）==时出错 nrow（sret $ indicators））{：参数长度为零

代码：

getSymbols("AUD=X",src="yahoo",from="1975-01-02")
colnames(`AUD=X`) <- c("Open", "High", "Low", "Close", "Vol", "Adj")

if (!exists('.blotter')) .blotter <- new.env()
.strategy <- new.env()

initdate = as.character("2006-05-15")
from = as.character("2007-05-15")
to = as.character("2018-06-01")
Sys.setenv(TZ = "UTC")
currency("USD")
stock(`AUD=X`, currency="USD", multiplier = 1)

tradesize <- 100000
initeq <- 100000
strategy.st <- portfolio.st <- account.st <- "firststrat"

rm.strat(strategy.st)
initPortf(portfolio.st, symbols = na.locf("AUD=X"), initDate = initdate, currency = "USD")
initAcct(account.st, portfolios = portfolio.st, initDate = initdate, currency = "USD", initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store = TRUE)

add.indicator(strategy = strategy.st,
          name = "SMA",
          arguments = list(x = quote(na.omit(Cl(mktdata))), n = 200),
          label = "SMA200")

add.indicator(strategy = strategy.st,
          name = "SMA",
          arguments = list(x = quote(na.omit(Cl(mktdata))), n = 50),
          label = "SMA50")

test <- applyIndicators(strategy = strategy.st, mktdata = na.locf(Cl(`AUD=X`)))
tail(test)

add.signal(strategy.st,
       name = "sigCrossover",
       arguments = list(columns = c("SMA.SMA50", "SMA.SMA200"),
       relationship = "gt"),
       label = "Crossover")

add.signal(strategy.st,
       name = "sigComparison",
       arguments = list(columns = c("SMA.SMA50", "SMA.SMA200"),
       relationship = "lt"),
       label = "Compare")

add.signal(strategy.st,
       name = "sigThreshold",
       arguments = list(column = "Close",
                        threshold = 1.5,
                        cross = FALSE,
                        relationship = "lt"),
       label = "threshold_high")

add.signal(strategy.st,
       name = "sigThreshold",
       arguments = list(column = "Close",
                        threshold = 1,
                        cross = FALSE,
                        relationship = "gt"),
       label = "threshold_low")

test2 <- applySignals(strategy = strategy.st, mktdata = test)
tail(test2)
add.rule(strategy.st, name = "ruleSignal",
     arguments = list(sigcol = "threshold_low", sigval = FALSE,
                      orderqty = "all", ordertype = "market",
                      orderside = "short", replace = FALSE,
                      prefer = "Open"),
     type = "enter")

add.rule(strategy.st, name = "ruleSignal",
     arguments = list(sigcol = "threshold_high", sigval = TRUE,
                      orderqty = "all", ordertype = "market",
                      orderside = "long", replace = FALSE,
                      prefer = "Open"),
     type = "enter")


applyStrategy(strategy = strategy.st, portfolios = portfolio.st)

Answer 1

一年多以前，Yahoo API已关闭。试试这个吧。

library(quantmod)


# enter tickers to download time-series data
e <- new.env()
getSymbols("SBUX", env = e)
pframe <- do.call(merge, as.list(e))
head(pframe)

您也可以尝试。

library(quantmod)
library(tidyverse) # rather than just dplyr
df <- data.frame(getSymbols(Symbols = 'SBUX', env = NULL))

R / quantstrat / apply策略

1 个答案: