我正在尝试遍历quantstrat的示例（https://statsmaths.github.io/stat395-f17/assets/final_project/amarnani.html）：Dhiraj Amarnani的《定量交易简介》和Quanstrat [sic]库 2017年11月29日，但出现错误。
我试图找到未定义的变量；例如，定义了“策略”，但没有定义。我没有足够的经验来进一步解决问题。 我在Github上发布了一个问题。我还在通过DataCamp上的quantstrat课程学习，但是还无法解决问题。最后，我搜索了堆栈溢出；还有其他quantstrat示例，但此处未引用该示例（尽管另有很多引用）。
library(devtools)
library(quantmod)
library(quantstrat)
library(TTR)
library(png)
library(IKTrading)
rm(list = ls(.blotter), envir = .blotter)
initdate <- "2010-01-01"
from <- "2011-01-01" #start of backtest
to <- "2017-01-01" #end of backtest
Sys.setenv(TZ= "EST") #Set up environment for timestamps
currency("USD") #Set up environment for currency to be used
symbols <- c("AAPL", "MSFT", "GOOG", "FB", "TWTR", "AMZN", "IBM") #symbols used in our backtest
getSymbols(Symbols = symbols, src = "google", from=from, to=to, adjust = TRUE) #receive data from google finance, adjusted for splits/dividends
stock(symbols, currency = "USD", multiplier = 1) #tells quanstrat [sic] what instruments present and what currency to use
tradesize <-10000 #default trade size
initeq <- 100000 #default initial equity in our portfolio
strategy.st <- portfolio.st <- account.st <- "firststrat" #naming strategy, portfolio and account
# removes old portfolio and strategy from environment
rm.strat(portfolio.st)
rm.strat(strategy.st)
# initialize portfolio, account, orders and strategy objects
initPortf(portfolio.st, symbols = symbols, 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)
# graphs creation code excluded here
add.indicator(strategy = strategy.st,
name = 'SMA',
arguments = list(x = quote(Cl(mktdata)), n=200),
label = 'SMA200')
add.indicator(strategy = strategy.st,
name = 'SMA',
arguments = list(x = quote(Cl(mktdata)), n=50),
label = 'SMA50')
add.indicator(strategy = strategy.st,
name = 'RSI',
arguments = list(price = quote(Cl(mktdata)), n=3),
label = 'RSI_3')
# graphs creation code excluded here
#First Signal: sigComparison specifying when 50-day SMA above 200-day SMA
add.signal(strategy.st, name = 'sigComparison',
arguments = list(columns=c("SMA50", "SMA200")),
relationship = "gt",
label = "longfilter")
#Second Signal: sigCrossover specifying the first instance when 50-day SMA
# below 200-day SMA
add.signal(strategy.st, name = "sigCrossover",
arguments = list(columns=c("SMA50", "SMA200")),
relationship = "lt",
lablel = "sigCrossover.sig")
#Third Signal: sigThreshold which specifies all instance when RSI is below 20 (indication of asset being oversold)
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "RSI_3", threshold = 20,
relationship = "lt", cross = FALSE),
label = "longthreshold")
#Fourth Signal: sigThreshold which specifies the first instance when rsi is above 80 (indication of asset being overbought)
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "RSI_3", threshold = 80,
relationship = "gt", cross = TRUE),
label = "thresholdexit")
#Fifth Signal: sigFormula which indicates that both longfilter and longthreshold must be true.
add.signal(strategy.st, name = "sigFormula",
arguments = list(formula = "longfilter & longthreshold",
cross = TRUE),
label = "longentry")
#The first rule will be an exit rule. This exit rule will execute when the market environment is no longer conducive to a trade (i.e. when the SMA-50 falls below SMA-200)
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "sigCrossover.sig", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "long", replace = FALSE,
prefer = "Open"),
type = "exit")
#The second rule, similar to the first, executes when the RSI has crossed above 80.
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "thresholdexit", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "long", replace = FALSE,
prefer = "Open"),
type = "exit")
#Additionally, we also need an entry rule. This rule executes when
# longentry is true (or when long filter and longthreshold are true).
# That is when SMA-50 is above SMA-200 and the RSI is below 20.
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longentry", sigval = TRUE,
orderqty = 1, ordertype = "market",
orderside = "long", replace = FALSE,
prefer = "Open", osFUN = IKTrading::osMaxDollar,
tradeSize = tradesize, maxSize = tradesize),
type = "enter")
# Here is the code that didn't work (first line):
out <- applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
updatePortf(portfolio.st)
daterange <- time(getPortfolio(portfolio.st)$summary)[-1]
updateAcct(account.st, daterange)
updateEndEq(account.st)
# Error in `dimnames<-.xts`(`*tmp*`, value = dn) : length of 'dimnames' [2] not equal to array extent
# In addition: Warning messages:
# 1: In match.names(columns, colnames(data)) :
# all columns not located in SMA50 SMA200 for AAPL.Open AAPL.High AAPL.Low
# AAPL.Close AAPL.Volume AAPL.Adjusted
# 2: In min(j, na.rm = TRUE) :
# no non-missing arguments to min; returning Inf
# 3: In max(j, na.rm = TRUE) :
# no non-missing arguments to max; returning -Inf
# 4: In min(j, na.rm = TRUE) :
# no non-missing arguments to min; returning Inf
# 5: In max(j, na.rm = TRUE) :
# no non-missing arguments to max; returning -Inf
# 6: In match.names(column, colnames(data)) :
# all columns not located in RSI_3 for AAPL.Open AAPL.High AAPL.Low
# AAPL.Close AAPL.Volume AAPL.Adjusted longfilter sigCrossover.sig
# 7: In min(j, na.rm = TRUE) : no non-missing arguments to min; returning Inf
# 8: In max(j, na.rm = TRUE) : no non-missing arguments to max; returning -Inf
答案 0 :(得分：0)
回答我自己的问题；从我的目标开始，这是获得quantstrat运行的示例，以便我可以逐步进行更改以符合我们团队的交易策略。令我失望的是，我无法使上面引用的示例正常工作（并且我对Stack Overflow也一无所获），我最终找到了DataCamp上的一门课程，名为“ R中的金融交易”，以非常简单的方式介绍了Quantstrat软件包。在我看来，我在这里引用的示例似乎是从该课程中摘取的。我尝试从DataCamp幻灯片中运行quantstrat失败，但是使用课程中的示例能够使Quantstrat工作。强烈推荐。如果有人感兴趣，很高兴传递R代码。