在Quantstrat中使用add.indicator()时出错

Question

我真的对这个问题感到绝望，而且我还没有找到任何解决方案。如果我删除了对add.indicator的最后一次调用，applyIndicators就会正常工作，但这样我总是会在runSum错误消息中运行。

有想法的人吗？

# 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

该错误指示您的x变量是多变量。如果运行head(x)，您将看到该系列的

    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示器中的标签"SMAClose“。quantmod的Cl()函数使用grep和模式" Close“来标识收盘价。当您尝试创建第4个指示器时，在mktdata object...so中有两列名称为"Close“的列都被返回，并且SMA错误输出。只需将第一个指示器命名为"SMACl20"或不带"Close“一词的任何内容，就可以很好地用于上面的代码。HTH。