引用其他信号的 quantstrat 信号

Question

让信号参考其他信号的正确方法是什么？这不是预期的功能吗？我似乎无法在我的代码中找到一种方法来做到这一点。

library(PerformanceAnalytics)
library(quantmod)
library(lattice)
startDate <- '2010-01-01' # start of data
endDate <- '2015-05-01' # end of data
.blotter<-new.env()
.strategy<-new.env()


Sys.setenv(TZ="EST") # set time zone
symbols<-c("GOOG")
data<-getSymbols(symbols, from=startDate, to=endDate, index.class="POSIXct",env=NULL)

library(quantstrat)
initDate <- '2009-12-31'
initEq <- 1e6
currency("USD")
stock(symbols, currency="USD", multiplier=1)

rm.strat("multiAsset.bb1") # remove portfolio, account, orderbook if re-run
initPortf(name="multiAsset.bb1", symbols, initDate=initDate)
initAcct(name="multiAsset.bb1", portfolios="multiAsset.bb1",initDate=initDate, initEq=initEq)
initOrders(portfolio="multiAsset.bb1", initDate=initDate)

strategy("bbands", store=TRUE)
#Indicators are applied before signals and rules, and the output of indicators may be used as inputs to construct signals or fire rules

#mktdata is the time series object that holds the current symbols data during evaluation (pg 55)
add.indicator("bbands", name = "BBands",arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'), label='bbInd')

test <- applyIndicators("bbands", mktdata=data)
head(test, 10)

add.signal("bbands", name="sigThreshold", arguments=list(columns=c("pctB.bbInd",".77"),relationship="gt"),label="H.gt.UpperBand")

add.signal("bbands", name="sigThreshold", arguments=list(columns=c("H.gt.UpperBand","0"),relationship="gt"),label="true.upper.band")

test <- applySignals("bbands", mktdata=test)
head(test, 10)

错误

Error in match.names(column, colnames(data)) : 
  argument "column" is missing, with no default

请注意，这是一个通用示例。在这种特定情况下，将第一个信号作为指标并避免这个问题是微不足道的。

Answer 1

您向 sigThreshold 传递了错误的参数。此更正后的代码按预期工作，第二个信号使用第一个信号的 H.gt.UpperBand 列（单数）。 sigThreshold 函数代码中缺少的参数是 column（单数）和 threshold.

library(quantstrat)

startDate <- '2010-01-01' # start of data
endDate <- '2015-05-01' # end of data

Sys.setenv(TZ="EST") # set time zone
symbols<-c("GOOG")
data<-getSymbols.yahoo(symbols, from=startDate, to=endDate, index.class="POSIXct",auto.assign=FALSE)

initDate <- '2009-12-31'
initEq <- 1e6
currency("USD")
stock(symbols, currency="USD", multiplier=1)

rm.strat("multiAsset.bb1") # remove portfolio, account, orderbook if re-run
initPortf(name="multiAsset.bb1", symbols, initDate=initDate)
initAcct(name="multiAsset.bb1", portfolios="multiAsset.bb1",initDate=initDate, initEq=initEq)
initOrders(portfolio="multiAsset.bb1", initDate=initDate)

strategy("bbands", store=TRUE)
#Indicators are applied before signals and rules, and the output of indicators may be used as inputs to construct signals or fire rules

#mktdata is the time series object that holds the current symbols data during evaluation (pg 55)
add.indicator("bbands"
              , name = "BBands"
              , arguments = list(HLC = quote(HLC(mktdata))
                                 , maType='SMA')
              , label='bbInd')

test <- applyIndicators("bbands", mktdata=data)
head(test, 10)

add.signal("bbands"
           , name="sigThreshold"
           , arguments=list(column="pctB.bbInd"
                            , threshold=.77
                            , relationship="gt")
           , label="H.gt.UpperBand")

add.signal("bbands"
           , name="sigThreshold"
           , arguments=list(column="H.gt.UpperBand"
                            , threshold=0
                            , relationship="gt")
           ,label="true.upper.band")

test <- applySignals("bbands", mktdata=test)
head(test, 10)

引用其他信号的 quantstrat 信号

quantstrat signal referencing other signals

r

quantmod

quantstrat