Quantstrat applyStrategy故障

Question

我使用的是quantstart，但是由于某些原因，applyStrategy函数没有输出任何信息。它就这样通过了。结果，当我执行tradeStats函数时，我得到的结果是null。下面是我使用的代码:谢谢！

library(quantstrat)
library(quantmod)
initDate = "1999-01-01"
from = "2003-01-01"
to = "2015-12-31"

Sys.setenv (TZ = "UTC")
currency ("USD")
getSymbols ("SPY", from = from,
 to = to, src = "yahoo",
 adjust = TRUE)

tradesize <- 100000
initeq <- 100000
strategy.st <- portfolio.st <- account.st <- "firststrat"
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.indicator(strategy = strategy.st,
 name = "SMA",
 arguments = list(x = quote(Cl(mktdata)), n = 200),
 label = "SMA200")

add.indicator(strategy = strategy.st,
 name = "SMA",
 arguments = list(x = quote(Cl(mktdata)), n = 50),
 label = "SMA50")

test4 <- applyIndicators(strategy = strategy.st, mktdata) 

add.signal(strategy.st,
 name = "sigCrossover",
 arguments = list(columns = c("SMA50", "SMA200"),
 relationship = "gt"),
 label = "longfilter")

add.signal(strategy.st,
 name = "sigComparison",
 arguments = list(columns = c("SMA50", "SMA200"),
 relationship = "lt" ),
 label = "filterexit")

test4 <- applySignals(strategy.st, mktdata)

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

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



applyStrategy(strategy.st, portfolio.st)

updatePortf(portfolio.st)
daterange <- time(getPortfolio(portfolio.st)$summary)[-1]

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

tradeStats(Portfolios = portfolio.st)

Answer 1

以下是你的问题：

1)为了保持一致，您的initDate应该是第3行的initdate。2)回车类型规则不要使用orderqty = "all"。使用实际数量。请参阅下面的条目添加规则。以下是您可能打算如何运行代码的详细信息。一般来说，对于退出/停止/获利类型规则，请使用orderqty = "all"。"all“是指当你想要出脱现有头寸的时候，而不是指定当时的头寸可能是什么(你可能事先不知道你是不是在将交易金字塔聚合成所需的风险敞口)

3)如果不像下面这样在getSymbols调用中设置index.class参数，您可能会遇到另一个与date和POSIXct对象比较相关的错误

4)您没有为SPY定义仪器对象。例如，您发布的代码缺少stock("SPY", currency = "USD")

5)你的代码不能按原样重现。像这样的调用：

test4 <- applyIndicators(strategy = strategy.st, mktdata)

只有在获得marketdata对象(它在调用applyStrategy之后存在)之后才能工作。

代码的这种经过编辑的形式可以工作：

library(quantstrat)
library(quantmod)
initdate = "1999-01-01"
from = "2003-01-01"
to = "2015-12-31"

currency ("USD")
stock("SPY", currency = "USD")

Sys.setenv (TZ = "UTC")

getSymbols ("SPY", from = from,
            to = to, src = "yahoo",
            adjust = TRUE,
            index.class=c("POSIXt","POSIXct"))

tradesize <- 100000
initeq <- 100000
strategy.st <- portfolio.st <- account.st <- "firststrat"
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.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x = quote(Cl(mktdata)), n = 200),
              label = "SMA200")

add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x = quote(Cl(mktdata)), n = 50),
              label = "SMA50")

add.signal(strategy.st,
           name = "sigCrossover",
           arguments = list(columns = c("SMA50", "SMA200"),
                            relationship = "gt"),
           label = "longfilter")

add.signal(strategy.st,
           name = "sigComparison",
           arguments = list(columns = c("SMA50", "SMA200"),
                            relationship = "lt" ),
           label = "filterexit")

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

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



applyStrategy(strategy.st, portfolio.st)

updatePortf(portfolio.st)
daterange <- time(getPortfolio(portfolio.st)$summary)[-1]

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

tradeStats(Portfolios = portfolio.st)

最后一条建议。在运行你想要重现的代码之前重启一个干净的r会话，然后通过运行源代码来检查它。上面列出的许多问题，你可以通过在一个新的clean R会话中运行你的源代码来发现。(如果你使用Rstudio，这可以通过使用快捷键ctrl + shift +f10轻松完成)。