R:Quantstrat -Guy Yollin示例 - 错误消息

Question

我尝试运行以下代码

library(quantstrat)
library(blotter)
search()
currency("USD")
stock("SPY", currency = "USD", multiplier = 1)
ls(envir = FinancialInstrument:::.instrument)
ls(all=T)
initDate <- '1997-12-31'
startDate <- '1998-01-01'
endDate <- '2014-06-30'
initEq <- 1e6
Sys.setenv(TZ = "UTC")
options("getSymbols.yahoo.warning"=FALSE)
getSymbols('SPY', from = startDate, to = endDate, index.class = "POSIXct", adjust = T)
SPY$SMA10m <- SMA(Cl(SPY), 10)
#rm.strat(qs.strategy)
qs.strategy <- "qsFaber"
initPortf(qs.strategy, 'SPY', initDate = initDate)
initAcct(qs.strategy, portfolios = qs.strategy, initDate = initDate, initEq = initEq)
initOrders(portfolio = qs.strategy, initDate = initDate)
strategy(qs.strategy, store = TRUE)
strat <- getStrategy(qs.strategy)
add.indicator(
    strategy = qs.strategy,
    name = "SMA",
    arguments = list(
                x = quote(Cl(mltdata)), 
                n=10),
  label = "SMA10"
)

add.signal(
  qs.strategy,
  name = "sigCrossover",
  arguments = list(
    columns = c("Close", "SMA10"),
    relationship = "gt"),
  label = "Cl.gt.SMA"
)
add.signal(
  qs.strategy,
  name = "sigCrossover",
  arguments = list(
    columns = c("Close", "SMA10"),
    relationship = "lt"),
  label = "Cl.lt.SMA"
)
add.rule(
  qs.strategy,
  name = "ruleSignal",
  arguments = list(
    sigcol = "Cl.gt.SMA",
    sigval = TRUE,
    orderqty = 900,
    ordertype = "market",
    orderside = "long"),
  type = "enter"
)
add.rule(
  qs.strategy,
  name = "ruleSignal",
  arguments = list(
    sigcol = "Cl.lt.SMA",
    sigval = TRUE,
    orderqty = "all",
    ordertype = "market",
    orderside = "long"),
  type = "exit"
)
applyStrategy(strategy = qs.strategy, portfolios = qs.strategy)

我收到以下错误消息：

has.cl(x(中的错误：未找到对象'mltdata'

谁能解释为什么我会遇到这个错误？非常感谢任何提要或答复！

Answer 1

在这里：

add.indicator(
    strategy = qs.strategy,
    name = "SMA",
    arguments = list(
                x = quote(Cl(mltdata)), 
                n=10),
  label = "SMA10"
)

应该是mktdata。但是即使那样，您也没有指定它。因此，尝试将其修改为x = quote(Cl(SPY))。

Answer 2

在您的'add.Indicator'函数中，您在参数列表中命名了mltdata的收盘价(Cl(。但是，脚本中没有其他地方定义了" mltdata"。我确实看到您下载了SPY，所以也许您需要更新示例脚本以反映您正在使用的数据。

〜贾斯汀