问题1：我正在尝试在quantstrat中使用指示器。我出错了try.xts中的错误(HLC，错误=为.matrix(：论点"；HLC"；缺少，没有默认
add.indicator(strategy = strategy.st,
# correct name of function:
name = "ATR",
arguments = list(atrx=quote(HLC(mktdata)), n=14),
label="atr")
我将名称映射到功能，并通过HLC 提供xts
问题2：我将创建一个NR7(7小节中的最窄范围(。我该如何为quantstrat中不存在的相同内容添加自定义指示符。
library(quantstrat)
portfolio.st <- "Port.Luxor"
account.st <- "Acct.Luxor"
strategy.st <- "Strat.Luxor"
init_date <- "2007-12-31"
start_date <- "2008-01-01"
end_date <- "2009-12-31"
adjustment <- TRUE
init_equity <- 1e4 # $10,000
Sys.setenv(TZ = "UTC")
currency('USD')
symbols <- c(
"IWM", # iShares Russell 2000 Index ETF
"QQQ", # PowerShares QQQ TRust, Series 1 ETF
"SPY", # SPDR S&P 500 ETF Trust
"TLT" # iShares Barclays 20+ Yr Treas. Bond ETF
)
getSymbols(Symbols = symbols,
src = "yahoo",
index.class = "POSIXct",
from = start_date,
to = end_date,
adjust = adjustment)
stock(symbols,
currency = "USD",
multiplier = 1)
rm.strat(portfolio.st)
rm.strat(account.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)
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.indicator(strategy = strategy.st,
# correct name of function:
name = "ATR",
arguments = list(atrx=quote(HLC(mktdata)), n=14),
label="atr")
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "gte"),
label = "long")
add.rule(strategy = strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderqty = 100,
ordertype = "stoplimit",
orderside = "long",
threshold = 0.0005,
prefer = "High",
TxnFees = -10,
replace = FALSE),
type = "enter",
label = "EnterLONG")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderside = "short",
ordertype = "market",
orderqty = "all",
TxnFees = -10,
replace = TRUE),
type = "exit",
label = "Exit2LONG")
results <- applyStrategy(strategy.st, portfolios = portfolio.st, verbose = TRUE)
updatePortf(portfolio.st)
updateAcct(account.st)
updateEndEq(account.st)
for(symbol in symbols) {
inds <- applyIndicators(strategy.st, get(symbol))
print( head(inds))
# Optionally, if you also want the strategy signals per symbol, do this:
sigs <- applySignals(strategy.st, inds)
print( head(sigs))
chart.Posn(portfolio.st, Symbol = symbol)
}
您的arguments列表不适合ATR()指示符。不存在名为"；atrx"；对于CCD_ 3。查看formals(ATR)/ATR的函数定义，查看正确的参数名称。
这修复了问题：
add.indicator(strategy = strategy.st,
# correct name of function:
name = "ATR",
arguments = list(HLC=quote(HLC(mktdata)), n=14),
label="atr")
add.indictor和add.signal的自变量参数必须有一个命名的列表，其中名称(即本例中的HLC，n(与add.indicator函数中name自变量(即此处的""(指定的函数的参数匹配。
你的问题2是另一个问题，建议你发布一个新问题，具体概述NR7是什么(它只是最后7小节的高低滚动吗，等等。定义中有滞后吗，等等(。