添加指标 Quantstrat R

Question

我想在 quantstrat 中添加自定义指标，但该指标不是根据价格序列计算的。例如：

# Get SPY from Yahoo Finance
getSymbols("SPY", from = "2016-01-01", to = "2016-01-31", src =  "yahoo", adjust =  TRUE)
SPY <- SPY[,1:4]

#Create Indicator
set.seed(123)
indicator <- sample(seq(from = 0, to = 100, by = 5), size = nrow(SPY), replace = TRUE)

如何将该指标添加到我的策略中并从中生成信号？我只找到了添加指标的基本符号，但是是否可以添加已经计算好的指标？

# Add a 5-day simple moving average indicator to your strategy
add.indicator(strategy = strategy.st,
              # Add the SMA function
              name = "SMA",
              # Create a lookback period
              arguments = list(x = quote(Cl(mktdata)), n = 5),
              # Label your indicator SMA5
              label = "SMA5")

Answer 1

我喜欢使用"ifelse"功能

   Rule1<-function(price,SMA,...)
  {ifelse(price>SMA,1,-1)}
add.indicator(strategy=strategyname,name="SMA",
          arguments=list(x=quote(mktdata$Close),n=5),label="SMA40")
add.indicator(strategyname, name="Rule1", arguments=list(price = quote(mktdata$Close), SMA=quote(mktdata$SMA.SMA5)), label="Rule1Signal")

这将为您提供 SMA 和一列，其中包含可用作买入信号的 1 或可用作卖出信号的 -1。

添加指标 Quantstrat R

Adding Indicator Quantstrat R

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indicator

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