未找到对象 mktdata

Question

我认为这是我的指标的格式问题。谁能告诉我我做错了什么？

#....omitted the portfolio initialization above
#returns change from past day, or NA if one of the values is invalid
changeDaily<-function(x,y){if(is.na(x+y)==T){return(NA)};ifelse(x-y>0,"UP","DOWN")}

#creates column called lagPredict which uses the function changeDaily
add.indicator(strat, name = "changeDaily",arguments = list(HLC = quote(mktdata),Cl(mktdata),Lag(Cl(mktdata))), label='lagPredict')

错误：

Error in has.Cl(x) : object 'mktdata' not found

回溯：

traceback()
3: has.Cl(x)
2: Cl(mktdata)
1: add.indicator(strat, name = "changeDaily", arguments = list(HLC = quote(mktdata), 
       Cl(mktdata), Lag(Cl(mktdata))), label = "lagPredict")

完整代码：

source("forex.functions.R")
startDate <- '2010-01-01' # start of data
endDate <- '2015-05-01' # end of data
symbols<-c("USD/EUR")
portfolio<-acct<-strat<-"simpleLookAhead"

initSetup(symbols,portfolio,acct,strat)
dump<-lapply(symbols,function(x)forex.weeklyOHLC(x))
symbols<-gsub("/","",symbols)
#############################################################
#returns change from past day, or NA if one of the values is invalid
changeDaily<-function(x,y){if(is.na(x+y)==T){return(NA)};ifelse(x-y>0,"UP","DOWN")}

#creates column called lagPredict which uses the function changeDaily to return UP or DOWN in reference to yesterdays price
add.indicator(strat, name = "changeDaily",arguments = list(HLC = quote(mktdata),Cl(mktdata),Lag(Cl(mktdata))), label='lagPredict')

forex.functions.R

library(PerformanceAnalytics)
library(quantmod)
library(lattice)
library(IKTrading)
library(quantstrat)
Sys.setenv(TZ="EST") # set time zone
if (!exists('.blotter')) .blotter <- new.env()
if (!exists('.strategy')) .strategy <- new.env()

forex.weeklyOHLC<-function(ss){
    ss<-getSymbols(ss,src="oanda",from=startDate,to=endDate)
    x<-get(ss)
    #x<-adjustOHLC(x,symbol.name=symbol) #calls get Splits which calls getSymbols which fails bc src != oanda
    x<-to.weekly(x,indexAt='lastof',drop.time=TRUE)
    indexFormat(x)<-'%Y-%m-%d'
    colnames(x)<-gsub("x",ss,colnames(x)) 
    assign(ss,x)    
}

initSetup<-function(symbols,portfolio, acct, strat){
    initDate <- '2009-12-31'
    initEq <- 1e6
    currency("USD")
    stock(symbols, currency="USD", multiplier=1)
    rm.strat(strat) # remove portfolio, account, orderbook if re-run
    initPortf(name=portfolio, symbols, initDate=Sys.Date())
    initAcct(name=acct, portfolios=portfolio,initDate=Sys.Date(), initEq=initEq)
    initOrders(portfolio=portfolio, initDate=Sys.Date())
    strategy(strat, store=TRUE)
}

Answer 1

您需要在 add.indicator 调用中 quote arguments 列表中的所有对象，以防止对它们进行求值。您还需要指定要传递给 changeDaily 函数的正确参数。您传递 HLC，但 changeDaily 没有 HLC 参数。

您的 add.indicator 调用应如下所示：

add.indicator(strat, name = "changeDaily",
  arguments = list(x = quote(Cl(mktdata)), y = quote(Lag(Cl(mktdata)))),
  label = 'lagPredict')

未找到对象 mktdata

object mktdata not found

r

algorithmic-trading

quantmod

quantstrat