r语言 - 使用 apply.paramset 返回错误优化 Quanstrat MACD

Question

我正在尝试测试一些涉及数字货币的交易策略。其中一个策略涉及MACD交叉，但我想优化nSlow和nFast参数。

下面是一个可重现的示例（运行）：

library(httr)
library(plyr)
library(quantstrat)
library(PerformanceAnalytics)
library(IKTrading)  # install_github("IlyaKipnis/IKTrading")
poloniex.ohlc.30m <- content(GET("https://poloniex.com/public?command=returnChartData&currencyPair=BTC_ETH&start=1439010600&end=9999999999&period=1800"))  # https://poloniex.com/support/api/
ETHBTC.30m <- ldply(poloniex.ohlc.30m, data.frame)  # Convert OHLCV to data.frame
ETHBTC.30m$date <- as.POSIXct(ETHBTC.30m$date, origin = "1970-01-01")
# Create 'xts' object:
ethbtc.30m.xts <- xts(ETHBTC.30m[, 2:8], order.by = ETHBTC.30m$date)  # is.OHLCV(ETHBTC.30m)
# Rebuild empty environments if RStudio's "Clear All" has been used:
if (!exists('.instrument')) .instrument <- new.env()
if (!exists('.blotter')) .blotter <- new.env()
if (!exists('.strategy')) .strategy <- new.env()
## Optional: Subset timeframe
ETHBTC <- ethbtc.30m.xts[,c("open", "high", "low", "close", "volume")]["2016-02-01::"]
## Define instruments
currency(c('BTC', 'ETH'))  # ls_currencies()
exchange_rate('ETHBTC', currency = 'BTC', counter_currency = 'ETH', tick_size = 0.00001)
initDate = '2016-02-01'
initBTC <- 100
initETH <- 0
portfolio.name <- "crypto"
account.name <- "poloniex"
strategy.name <- "accumulator"
symbols <- "ETHBTC"
## To rerun
rm.strat(portfolio.name)
rm.strat(account.name)
rm.strat(strategy.name)
## Initialize Portfolio, Account, and Orderbook
initPortf(name = portfolio.name, symbols = symbols, initPosQty = 0, initDate = initDate, currency = "BTC")  # getPortfolio(portfolio.name)
initAcct(name = account.name, portfolios = portfolio.name, initDate = initDate, initEq = 0, currency = "BTC")  # getAccount(account.name)
initOrders(portfolio = portfolio.name, symbols = symbols, initDate = initDate)  # getOrderBook(portfolio.name)
strategy(strategy.name, store = TRUE)  # summary(getStrategy(strategy.name))
## Indicators
# Parameters
.nFast = 60 # 90
.nSlow = 130
.nSig = 45 # 75
add.indicator(strategy.name, name = "MACD", arguments = list(x=quote(Cl(mktdata))), label=NULL)
## Signals
# See Also: applySignals add.indicator link{add.rule} sigComparison sigCrossover sigFormula sigPeak sigThreshold
# MACD
add.signal(strategy.name, "sigCrossover",
           arguments = list(columns = c("macd.MACD.ind", "signal.MACD.ind"), relationship = "gt"),
           label = 'longEntry')
add.signal(strategy.name, "sigCrossover",
           arguments = list(columns = c("signal.MACD.ind", "macd.MACD.ind"), relationship = "gt"),
           label = 'signal.gt.macd')
add.signal(strategy.name, "sigThreshold",
           arguments = list(column = "macd.MACD.ind", threshold = 0, relationship = "gte"),
           label = 'macd.gte.threshold')
add.signal(strategy.name, "sigAND",
           arguments=list(columns=c('signal.gt.macd', 'macd.gte.threshold'), cross=FALSE),
           label="longExit")
# Order sizing
osFixedDollar <- function(timestamp, orderqty, portfolio, symbol, ruletype, ...)
{
  ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
  orderqty <- round(tradeSize/ClosePrice,-2)
  return(orderqty)
}
tradeSize <- initBTC/2
## Rules
# Entry
add.rule(strategy.name,name='ruleSignal',
         arguments = list(sigcol="longEntry",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          osFUN='osFixedDollar'),
         type='enter',
         label='EnterLONG',
         storefun=FALSE)
# Exit
add.rule(strategy.name,name='ruleSignal',
         arguments = list(sigcol="longExit",
                          sigval=TRUE,
                          orderqty='all',
                          ordertype='market',
                          orderside='long',
                          osFUN='osFixedDollar'),
         type='exit',
         label='ExitLONG',
         storefun=FALSE)
## Run it
applyStrategy(strategy.name,
              portfolios=portfolio.name,
              parameters=list(nFast = .nFast, nSlow = .nSlow, nSig = .nSig, maType = 'EMA'),
              verbose=TRUE)
updatePortf(Portfolio=portfolio.name,Dates=paste('::',as.Date(Sys.time()),sep=''))
updateAcct(account.name)
updateEndEq(account.name)
## Evaluate
t(tradeStats(portfolio.name))
getTxns(portfolio.name, Symbol = 'ETHBTC')
perTradeStats(portfolio.name, "ETHBTC")
chart.Posn(Portfolio=portfolio.name,Symbol=symbols, type = "line", log.scale = T)
plot(add_Vo())
plot(add_MACD(fast=.nFast, slow=.nSlow, signal=.nSig,maType="EMA"))  # nFast = 60, nSlow = 180, nSig = 40, maType = 'EMA'

以上运行完美。但是，我想改变nFast和nSlow参数以更改为MACD()函数：

## Parameter distribution testing
add.distribution(strategy.name,
                 paramset.label = 'optEMA',
                 component.type = 'indicator',
                 component.label = 'nFast',
                 variable = list(nFast = 60:80),
                 label = 'NFAST')
add.distribution(strategy.name,
                 paramset.label = 'optEMA',
                 component.type = 'indicator',
                 component.label = 'nSlow',
                 variable = list(nFast = 180:200),
                 label = 'NSLOW')
library(doMC)
registerDoMC(cores=detectCores())
results <- apply.paramset(strategy.name, paramset.label = "optEMA", portfolio=portfolio.name, account=account.name, nsamples=0)

这给了我以下错误，我不确定如何调试：

error calling combine function:
<simpleError in fun(result.1, result.2, result.3, result.4, result.5, result.6, ... attempt to select less than one element>

我做错了什么？FWIW，我正在使用 Ubuntu 12.04/14.04。任何帮助都非常感谢。谢谢！！

Answer 1

好的，我想通了。

add.distribution函数中的component.label参数需要与add.indicator中的label参数匹配。因此，在这种特殊情况下，我将add.indicator更改为：

add.indicator(strategy.name, name = "MACD", arguments = list(x=quote(Cl(mktdata))), label='MACD')

然后将我的add.distribution更改为：

add.distribution(strategy.name,
                 paramset.label = 'optEMA',
                 component.type = 'indicator',
                 component.label = 'MACD',
                 variable = list(nFast = 60:80),
                 label = 'NFAST')
add.distribution(strategy.name,
                 paramset.label = 'optEMA',
                 component.type = 'indicator',
                 component.label = 'MACD',
                 variable = list(nSlow = 180:200),
                 label = 'NSLOW')

它运行。把它留在这里，以防其他人遇到类似的错误。

Answer 2

我或多或少地遇到了同样的问题

################################# MACD PARAMETERS OPTIMIZATION
.fastMA = (30:60)
.slowMA = (50:80)
.nsamples = 10
# Paramset
add.distribution(volStrat,
                 paramset.label = 'optEMA',
                 component.type = 'indicator',
                 component.label = 'macd.out', 
                 variable = list(n = .fastMA),
                 label = 'nFAST'
)
add.distribution(volStrat,
                 paramset.label = 'optEMA',
                 component.type = 'indicator',
                 component.label = 'macd.out', 
                 variable = list(n = .slowMA),
                 label = 'nSLOW'
)
add.distribution.constraint(volStrat,
                            paramset.label = 'optEMA',
                            distribution.label.1 = 'nFAST',
                            distribution.label.2 = 'nSLOW',
                            operator = '<',
                            label = 'optEMA'
)
results <- apply.paramset(volStrat, 
                          paramset.label = 'optEMA', 
                          portfolio = portfolio2.st, 
                          account = account.st, 
                          nsamples = .nsamples, 
                          verbose = TRUE)
stats <- results$tradeStats
print(stats)

出现的错误是：

Error in must.be.paramset(strategy, paramset.label) : 
  optEMA : no such paramset in strategy VIXSPY_MACD

我真的不明白如何确定paramset.label值。

非常感谢