R: Quantstrat - Guy Yollin 示例 - 错误消息

Question

我试过运行下面的代码

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：

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

谁能解释为什么我会收到这个错误？非常感谢任何提要或回复！

Answer 1

这里：

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

应该是mktdata。但即使那样你也没有指定它。因此，尝试修改为x = quote(Cl(SPY)).

Answer 2

在您的 'add.indicator' 函数中，您在参数列表中指定了 mltdata 的收盘价 (Cl)。但是，脚本中没有其他地方定义 'mltdata' 。我确实看到您下载了 SPY，因此您可能需要更新示例脚本以反映您正在使用的数据。

~贾斯汀

R: Quantstrat - Guy Yollin 示例 - 错误消息

R: Quantstrat - Guy Yollin example - error message

r

quantitative-finance

quantstrat