我正在尝试回溯交易策略。
我正在使用R 3.6进行编码
数据在两个数据帧中。首先是五年的每日价格活动（即每五天一次）。第二个数据帧是同一五年内的价格活动，仅在一分钟级别（即五分钟）内。该数据包括低，高，打开和关闭会话。
我的策略是遍历分钟数据帧的各个日期，同时参考并填充每日数据帧中的数据以确定以下内容：
嵌入式循环无法按我认为的方式工作，我不知道为什么。
我知道我可以使代码更简单，但是它会不断被抽出，所以我可以弄清楚哪里出了问题。
我知道在循环中追加向量不是处理向量的首选方法，但是我不知道程序完成后向量的大小。我很想听听任何想法。
这是一种在价格超出一天前五分钟确立的范围时寻求价格的策略。
这是用于识别最初5分钟后价格走势的代码。计数器不工作。目的是了解在五分钟数据集（即今天的日期）内特定事件的索引；我将在下面的下一批代码中使用它。第六分钟计数器从6开始。输出永远不会高于7，因此，它不会在循环的每次迭代中计数。我不知道为什么。
for (i in 1:length(fiveyrdaily$Date)){
todaysdate <- subset(fiveyrminutes, fiveyrdaily$Date[i] == fiveyrminutes$Date) # subset so I'm only seeing the respective days in the minutes dataframe
counter3 <- 6 # start a counter so I can track which position I'm in within the minutes dataframe, start after ORBO
for (t in counter:length(todaysdate$Date)){ #loop over the minutes dataframe
if ((fiveyrdaily$FiveHighClose[i] == 0) & (todaysdate$Close[t] > fiveyrdaily$FiveMinuteHigh[i])) {
fiveyrdaily$FiveHighClose[i] <- todaysdate$Close[t]
fiveyrdaily$FiveHighAfterClose[i] <- todaysdate$High[t] #record the session's high
counter3 <- counter3 + 1
fiveyrdaily$counterhigh[i] <- counter3 # record the position of this event within the subset of the minute dataframe
}
else if ((fiveyrdaily$FiveLowClose[i] == 0) & (todaysdate$Close[t] < fiveyrdaily$FiveMinuteLow[i])) {
fiveyrdaily$FiveLowClose[i] <- todaysdate$Close[t]
fiveyrdaily$FiveLowAfterClose[i] <- todaysdate$Low[t] # record the session's low
counter3 <- counter3 + 1
fiveyrdaily$counterlow[i] <- counter3
}
counter3 <- counter + 1
}
}
这是“ for”循环，用于确定是否购买并记录结果。
#Open a long position
for (i in 1:length(fiveyrdaily$Date)){
if ((fiveyrdaily$counterhigh[i] < fiveyrdaily$counterlow[i]) & openposition < 2) {
#entryprice is the price predetermined ticks above the high
entryprice <- fiveyrdaily$FiveHighAfterClose[i] + (openticksaway * tickvalue)
#create stoploss
stoplossprice <- entryprice - stoplossvalue
#uncover target closest to five minute high
if (possibletargets > fiveyrdaily$FiveHighAfterClose[i]){ fiveyrdaily$ORBOtarget[i] <- min(possibletargets)}
poscounter <- fiveyrdaily$counterhigh[i]
beginforloop <- todaysdate[poscounter]
for (c in beginforloop:length(todaysdate$Date)){ #see where to open position starting from the occurence of the high
if ((entryprice > todaysdate$Low[c]) & (entryprice < todaysdate$High[c]) & (openposition < 2)){ #determine if conditions warrant entry
openposition <- openposition + 1 # open a position
if (openposition > 0){ #trade management
openpos <- 1
if ((stoplossprice < todaysdate$high[c]) & (stoplossprice > todaysdate$Low[c])){ # determine if stoploss has been hit
orderdate <- c(orderdate, todaysdate[c]) #enter data into orders dataframe
orderstrategy <- c(orderstrategy, "ORBO")
ordertype <- c(ordertype, "Long")
ordersymbol <- c(ordersymbol, "ES")
orderentry <- c(orderentry, entryprice)
orderclose <- c(orderclose, stoplossprice)
orderprofit <- c(orderprofit, abs((entryprice - stoplossprice) * pointvalue))
openpos <- 0
}
else if ((fiveyrdaily$ORBOtarget[i] < todaysdate$high[c]) & (fiveyrdaily$ORBOtarget[i] > todaysdate$Low[c])){ # determine if target has been hit
orderdate <- c(orderdate, todaysdate[c]) #enter data into orders dataframe
orderstrategy <- c(orderstrategy, "ORBO")
ordertype <- c(ordertype, "Long")
ordersymbol <- c(ordersymbol, "ES")
orderentry <- c(orderentry, entryprice)
orderclose <- c(orderclose, stoplossprice)
orderprofit <- c(orderprofit, abs((fiveyrdaily$ORBOtarget[i] - entryprice) * pointvalue))
openpos <- 0
}
}
}
}
}
}
以下是每日数据框中的数据-每日五次：
> tail(fiveyrdaily)
Date Time Open High Low Close Vol OI UpperBand
1254 06/12/2019 16:15 2883.50 2889.75 2875.25 2881.00 1205406 2495060 2919.12
1255 06/13/2019 16:15 2894.75 2900.50 2886.75 2898.50 523312 448119 2925.39
1256 06/14/2019 16:15 2893.00 2899.75 2884.25 2894.75 1318938 951568 2927.99
1257 06/17/2019 16:15 2895.50 2902.75 2892.00 2896.25 1649621 1595842 2932.71
1258 06/18/2019 16:15 2914.00 2936.50 2910.25 2926.25 2257843 2093571 2944.19
1259 06/19/2019 16:15 2925.50 2936.75 2915.25 2933.50 1639495 2093571 2954.61
LowerBand MidLine PP RSI OverBot OverSld SlowK SlowD OverBot.1
1254 2751.13 2835.13 2892.58 56.24 70 30 86.82 87.54 80
1255 2749.21 2837.30 2882.00 59.06 70 30 87.60 88.11 80
1256 2748.24 2838.11 2895.25 58.19 70 30 89.01 87.81 80
1257 2746.94 2839.82 2892.92 58.46 70 30 91.79 89.47 80
1258 2743.68 2843.94 2897.00 63.41 70 30 92.63 91.14 80
1259 2740.02 2847.31 2924.33 64.51 70 30 95.20 93.21 80
OverSld.1 Volume Momentum ZeroLine InOrOut GapUpOrDown TypeOfDay PPTrend
1254 20 1205406 49.25 0 Disregard Disregard Bear Uptrend
1255 20 523312 93.50 0 Disregard Gap Up Bull Uptrend
1256 20 1318938 114.75 0 Disregard Disregard Bull Uptrend
1257 20 1649621 105.75 0 Disregard Disregard Bull Uptrend
1258 20 2257843 173.75 0 Disregard Gap Up Bull Uptrend
1259 20 1639495 184.00 0 Disregard Disregard Bull Uptrend
FiveMinuteLow FiveMinuteHigh FiveMinHtoL DollarFiveHtoL FiveHighClose
1254 2881.25 2889.75 8.50 425.0 0.00
1255 2892.00 2895.75 3.75 187.5 2896.00
1256 2886.25 2893.75 7.50 375.0 2894.75
1257 2892.00 2897.00 5.00 250.0 2897.25
1258 2910.25 2915.50 5.25 262.5 2920.75
1259 2923.25 2927.25 4.00 200.0 2930.00
FiveHighAfterClose FiveLowClose FiveLowAfterClose ORBOtarget counterhigh
1254 0.00 2881.00 2880.75 0 0
1255 2896.00 2891.75 2891.00 0 6
1256 2894.75 2886.00 2885.00 0 7
1257 2897.50 0.00 0.00 0 7
1258 2921.75 0.00 0.00 0 7
1259 2931.50 2922.50 2922.25 0 7
counterlow DollarOpentoHigh DollarOpentoClose DollarOpentoLow
1254 7 312.5 125.0 412.5
1255 7 287.5 187.5 400.0
1256 7 337.5 87.5 437.5
1257 0 362.5 37.5 175.0
1258 0 1125.0 612.5 187.5
1259 7 562.5 400.0 512.5
这是分钟数据帧中的数据-五分钟：
Date Time Open High Low Close Up Down UpperBand
509796 06/19/2019 16:10 2932.25 2932.50 2932.25 2932.50 717 430 2935.66
509797 06/19/2019 16:11 2932.25 2932.50 2932.25 2932.25 125 276 2935.46
509798 06/19/2019 16:12 2932.25 2932.75 2932.25 2932.75 612 604 2934.95
509799 06/19/2019 16:13 2932.50 2933.25 2932.50 2933.00 830 153 2934.66
509800 06/19/2019 16:14 2933.25 2933.25 2932.75 2933.00 676 376 2934.26
509801 06/19/2019 16:15 2932.75 2934.00 2932.75 2933.25 2929 2026 2933.90
LowerBand MidLine PP RSI OverBot OverSld SlowK SlowD OverBot.1
509796 2930.27 2932.96 2932.42 47.94 70 30 45.45 40.66 80
509797 2930.24 2932.85 2932.42 46.22 70 30 53.70 46.21 80
509798 2930.45 2932.70 2932.33 50.07 70 30 63.83 54.33 80
509799 2930.56 2932.61 2932.58 51.92 70 30 72.73 63.42 80
509800 2930.76 2932.51 2932.92 51.92 70 30 83.33 73.30 80
509801 2930.97 2932.44 2933.00 53.90 70 30 85.00 80.35 80
OverSld.1 Volume Momentum ZeroLine
509796 20 1147 -0.50 0
509797 20 401 -1.00 0
509798 20 1216 1.75 0
509799 20 983 1.75 0
509800 20 1052 2.00 0
509801 20 4955 1.75 0
这是订单数据框的输出，请注意它是空的-ORBOorders：
ORBOorders
orderdate orderstrategy ordertype ordersymbol orderentry orderclose
1 0 0
orderprofit
1 0
这些是问题所在：
-counter3无法正常工作（以找到应该购买的点）
-第二批代码给出此错误：
beginforloop：length（todaysdate $ Date）中的错误：长度为0的参数 另外：警告消息：如果（（可能的目标> Fiveyrdaily $ FiveHighAfterClose [i]）{：条件的长度> 1 并且只会使用第一个元素
-ORBOorder数据框中绝对没有数据。
感谢您的任何帮助！