在 Quantstrat 中使用 add.indicator() 时出错

Question

我对这个问题真的很绝望，我还没有找到任何解决办法。如果我删除了对 add.indicator applyIndicators 的最后一次调用，因此回测将起作用，但这样我总是运行在运行Sum 错误消息中。

有人有想法吗？

# load necessary packages
library(quantstrat)
library(quantmod)

# initialize basic settings
initdate = "1999-01-01"
from = "2003-01-01"
to = "2015-12-31"
currency("USD")
stock("SPY", currency = "USD")
Sys.setenv(TZ = "UTC")

tradesize <- 100000
initeq <- 100000
strategy.st <- portfolio.st <- account.st <- "firststrat"

# load market data from yahoo finance
getSymbols ("SPY", from = from,
            to = to, src = "yahoo",
            adjust = TRUE,
            index.class=c("POSIXt","POSIXct"))

# initialize portfolio, account, orders and strategy
rm.strat(strategy.st)

initPortf(portfolio.st,
          symbols = "SPY",
          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 the strategy's backbone: indicators, signals and rule
add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x = quote(Cl(mktdata)), n = 20),
              label = "SMAClose")
add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x = quote(Op(mktdata)), n = 20),
              label = "SMAOpen")
add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x = quote(Hi(mktdata)), n = 200),
              label = "SMA200")
add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x = quote(Cl(mktdata)), n = 10),
              label = "SMA10")

applyIndicators(strategy.st, SPY)
Fehler in runSum(x, n) : ncol(x) > 1. runSum only supports univariate 'x'

Answer 1

该错误表明您的 x 变量是多变量的。如果你运行 head(x) 你会看到系列'

    Browse[1]> head(x)
               SPY.Close SMA.SMAClose
    2003-01-02  70.37356           NA
    2003-01-03  70.58992           NA
    2003-01-06  71.83404           NA
    2003-01-07  71.65631           NA
    2003-01-08  70.62083           NA
    2003-01-09  71.71812           NA

问题源于您的第一个指标中的标签“SMAClose”。 quantmod 的 Cl() 函数使用 grep 和模式“收盘价”来识别收盘价。当您尝试创建您的第 4 个指标时，您的 mktdata 对象中有 2 个名称为“Close”的列...所以两者都被返回并且 SMA 错误出现。简单地将第一个指标命名为 "SMACl20" 或任何没有“关闭”一词的名称都可以很好地用于您的上述代码。 HTH.

在 Quantstrat 中使用 add.indicator() 时出错

Error with using add.indicator() in Quantstrat

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quantstrat