应用规则时出错:组合技术指标

Question

我尝试在quantstrat中将几个EMA和RSI组合在一起。最终，我的目标是生成交易策略的一些图表和性能。不幸的是，我似乎被混合指示器卡住了，并且一直收到错误消息(如下所述)。代码如下：

### Add Indicators

nRSI <- 21
buyThresh <- 50
sellThresh <- 50

#Indicator for EMA long medium short

nEMAL<- 80
nEMAM<- 21
nEMAS<- 13
nEMAF<- 5

add.indicator(strategy.st, name="RSI",
              arguments=list(price=quote(Cl(mktdata)), n=nRSI),
              label="rsi")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAL),
              label="EMAL")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAM),
              label="EMAM")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAS),
              label="EMAS")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAF),
              label="EMAF")

#customsig <- function(data) {
  sig <- data[, "EMA.EMAF"] > data[, "EMA.EMAS"] & data[, "EMA.EMAF"] > data[, "EMA.EMAM"] & data[, "rsi"] >50 & data[, "EMA.EMAM"] > data[, "EMA.EMAL"] & data[, "EMA.EMAS"] > data[, "EMA.EMAL"]  
  colnames(sig) <- "upSig"
  sig
}

#downsig <- function(data) {
  sig <- data[, "EMA.EMAF"] < data[, "EMA.EMAS"] & data[, "EMA.EMAF"] < data[, "EMA.EMAM"] & data[, "rsi"] <50 & data[, "EMA.EMAM"] < data[, "EMA.EMAL"] & data[, "EMA.EMAS"] < data[, "EMA.EMAL"]  
  colnames(sig) <- "downSig"
  sig
}



### Add Signal- Enter

add.signal(strategy.st, name="customsig",
           arguments=list(data = quote(mktdata)),
           label = "entersig")

add.signal(strategy.st, name="downsig",
           arguments=list(data = quote(mktdata)),
           label = "downsig.exitsig")

### Add rule - Enter

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="entersig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          threshold=NULL),
         type='enter',
         path.dep=TRUE)


### Add rule- Exit

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="downsig.exitsig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          pricemethod='market',
                          replace=FALSE),
         type='exit',
         path.dep=TRUE)

start_t<-Sys.time()
out<-try(applyStrategy(strategy=strategy.st,
                       portfolios=portfolio.st))


updatePortf(portfolio.st)
updateAcct(portfolio.st)
updateEndEq(account.st)

for(symbol in symbols) {
  chart.Posn(
    Portfolio=portfolio.st,
    Symbol=symbol,
    log=TRUE)
}

我得到的错误是

Error in applyRules(portfolio = portfolio, symbol = symbol, strategy = strategy,  : mktdata does not contain 'sigcol': entersig

我如何才能完全应用这些规则？

Answer 1

您还没有正确地识别信号的列名。看看这个，你会发现你的信号列没有你期望的标签：

head(mktdata)
    # SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted rsi EMA.EMAL EMA.EMAM EMA.EMAS EMA.EMAF upSig.entersig downSig.downsig.exitsig
    # 2007-01-03   142.25   142.86  140.57    141.37   94807600     112.1708  NA       NA       NA       NA       NA             NA                      NA
    # 2007-01-04   141.23   142.05  140.61    141.67   69620600     112.4089  NA       NA       NA       NA       NA             NA                      NA
    # 2007-01-05   141.33   141.40  140.38    140.54   76645300     111.5123  NA       NA       NA       NA       NA             NA                      NA
    # 2007-01-08   140.82   141.41  140.25    141.19   71655000     112.0280  NA       NA       NA       NA       NA             NA                      NA
    # 2007-01-09   141.31   141.60  140.40    141.07   75680100     111.9328  NA       NA       NA       NA  141.168             NA                      NA
    # 2007-01-10   140.58   141.57  140.30    141.54   72428000     112.3057  NA       NA       NA       NA  141.292             NA                      NA

在进行了3次更正后，以下代码可以正常工作。由于您的示例不可重现，我不得不在上面的示例中添加一些额外的代码：

library(quantstrat)


### Add Indicators
strategy.st <- "test"
portfolio.st <- "test"
account.st <- "test"
rm.strat(strategy.st)

nRSI <- 21
buyThresh <- 50
sellThresh <- 50

#Indicator for EMA long medium short

stock.str <- "SPY"
getSymbols("SPY")
currency("USD")
stock(stock.str, "USD")

nEMAL<- 80
nEMAM<- 21
nEMAS<- 13
nEMAF<- 5

initPortf(portfolio.st,symbols=stock.str)
initAcct(account.st,portfolios=portfolio.st)
initOrders(portfolio=portfolio.st)


strategy(strategy.st, store=TRUE)

add.indicator(strategy.st, name="RSI",
              arguments=list(price=quote(Cl(mktdata)), n=nRSI),
              label="rsi")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAL),
              label="EMAL")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAM),
              label="EMAM")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAS),
              label="EMAS")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAF),
              label="EMAF")

customsig <- function(data) {
  sig <- data[, "EMA.EMAF"] > data[, "EMA.EMAS"] & data[, "EMA.EMAF"] > data[, "EMA.EMAM"] & data[, "rsi"] >50 & data[, "EMA.EMAM"] > data[, "EMA.EMAL"] & data[, "EMA.EMAS"] > data[, "EMA.EMAL"]  
  colnames(sig) <- "upSig"
  sig
}

downsig <- function(data) {
  sig <- data[, "EMA.EMAF"] < data[, "EMA.EMAS"] & data[, "EMA.EMAF"] < data[, "EMA.EMAM"] & data[, "rsi"] <50 & data[, "EMA.EMAM"] < data[, "EMA.EMAL"] & data[, "EMA.EMAS"] < data[, "EMA.EMAL"]  
  colnames(sig) <- "downSig"
  sig
}



### Add Signal- Enter

add.signal(strategy.st, name="customsig",
           arguments=list(data = quote(mktdata)),
           label = "entersig")

add.signal(strategy.st, name="downsig",
           arguments=list(data = quote(mktdata)),
           # CORRECTION:
           label = "exitsig")

### Add rule - Enter

add.rule(strategy.st,
         name='ruleSignal',
         #CORRECTION:
         arguments = list(sigcol="upSig.entersig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          threshold=NULL),
         type='enter',
         path.dep=TRUE)


### Add rule- Exit

add.rule(strategy.st,
         name='ruleSignal',

         # CORRECTION:
         arguments = list(sigcol="downSig.exitsig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          pricemethod='market',
                          replace=FALSE),
         type='exit',
         path.dep=TRUE)

start_t<-Sys.time()
out<-try(applyStrategy(strategy=strategy.st,
                       portfolios=portfolio.st))


updatePortf(portfolio.st)
updateAcct(portfolio.st)
updateEndEq(account.st)