Chart Quantstrat 没有 transactions/positions，"logical" 错误？

Question

我收到错误消息，尽管使用了信号和规则，但没有 transactions/positions 图表。有人可以解释我做错了什么吗？可能是在规则的逻辑发展中？我希望我的规则执行以下操作：如果 CNOwma 超过 0.6，则进入多头并退出空头。如果 CNOwma 低于 0.6，则进入空头并退出多头。请参考以下代码。错误在最后一行。

谢谢。

library(devtools)
library(quantmod)
library(quantstrat)
library(TTR)
library(IKTrading)

rm(list = ls(.blotter), envir = .blotter)
initdate <- "2010-01-01"
from <- "2012-01-01" #start of backtest
to <- "2017-31-12" #end of backtest

Sys.setenv(TZ= "EST") #Set up environment for timestamps

currency("USD") #Set up environment for currency to be used

symbols <- c("RUT") #symbols used in our backtest
getSymbols("^RUT",src="yahoo", from="2012-01-01", to="2017-12-31", periodicity="daily")

stock(symbols, currency = "USD", multiplier = 1) #tells quanstrat what instruments present and what currency to use

n <- 30

wma <-  WMA(Cl(RUT), n=4, wts=c(1:4))
wmamaxt <-  rollmaxr(wma, n, fill = NA)
wmamint <- - rollmaxr(- wma, n, fill = NA)
CNOwma <- function (RUT) {(wma - wmamint) / (wmamaxt - wmamint)}

tradesize <-10000 #default trade size
initeq <- 100000 #default initial equity in our portfolio

strategy.st <- portfolio.st <- account.st <- "firststrat" #naming strategy, portfolio and account

#removes old portfolio and strategy from environment
rm.strat(portfolio.st)
rm.strat(strategy.st) 

#initialize portfolio, account, orders and strategy objects
initPortf(portfolio.st, symbols = symbols, initDate = initdate, currency = "USD")

initAcct(account.st, portfolios = portfolio.st, initDate = initdate, currency = "USD", initEq = initeq)

initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store=TRUE)

add.indicator(strategy = strategy.st,
name = 'CNOwma',
arguments = list(x = quote(Cl(mktdata)), n=4),
label = 'CNOwma4')
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "CNOwma4", threshold = 0.6,
relationship = "gt", cross = TRUE),
label = "longthreshold")


add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "CNOwma4", threshold = 0.6,
relationship = "lt", cross = TRUE),
label = "shortthreshold")




add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "long", replace = FALSE,
prefer = "Open"), osFUN = IKTrading::osMaxDollar,
tradeSize = tradesize, maxSize = tradesize, type = "enter")


add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "shortthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "long", replace = FALSE,
prefer = "Open"),
type = "exit")

add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "shortthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "short", replace = FALSE,
prefer = "Open"),osFUN = IKTrading::osMaxDollar, 
tradeSize = tradesize, maxSize = tradesize, type = "enter")

add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "short", replace = FALSE,
prefer = "Open"),
type = "exit")



out <- applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
updatePortf(portfolio.st)
daterange <- time(getPortfolio(portfolio.st)$summary)[-1]

updateAcct(account.st, daterange)
updateEndEq(account.st)


for(symbol in symbols){

chart.Posn(Portfolio = portfolio.st, Symbol = symbol, 
TA= c("add_SMA(n=50, col='blue')", "add_SMA(n=200, col='red')"))
}

Error in chart.Posn(Portfolio = portfolio.st, Symbol = symbol, TA = c("add_SMA(n=50, col='blue')",  : 
  no transactions/positions to chart

Answer 1

我解决了这个问题。

Quantstrat 回溯测试中出现的很多错误都是由于列名指定错误造成的。

问题已通过更改代码解决：

add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "X1.CNOwma4", threshold = 0.6,
relationship = "gt", cross = TRUE),
label = "longthreshold")

add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "X1.CNOwma4", threshold = 0.6,
relationship = "lt", cross = TRUE),
label = "shortthreshold")

也就是说，列 = "CNOwma4" 被替换为列 = "X1.CNOwma4"

Chart Quantstrat 没有 transactions/positions，"logical" 错误？

No transactions/positions to Chart Quantstrat, "logical" error?

r

quantstrat