在quantstrat中繼續獲取「dims與對象的長度不匹配」

我一直在修改幾個月前使用quantstrat製作的backtest。這是一切工作正常，直到我加入信號和規則6（唐氏通道低）我的完整代碼如下。任何幫助將不勝感激。在quantstrat中繼續獲取「dims與對象的長度不匹配」

在此先感謝。

PS：對不起，如果代碼看起來凌亂，這是我第一次在這裏問一個問題。

library(blotter) 
library(quantstrat) 
library(xts) 
library(quantmod) 
Sys.setenv(TZ="UTC") 

getSymbols('^DJI', from="2016-01-01", to="2016-12-31", index.class="POSIXct", adjust=T) 


colnames(DJI)<- c("Open","High","Low","Close","Volume","Adjusted") 

currency("AUD") 
Sys.setenv(TZ="UTC") 
initdate <- '2016-01-03' 
startdate <- '2016-01-04' 
enddate <- '2016-12-30' 
portfolioname <- "Dow Jones" 
accountname <- "Dow Jones" 
contracts <- 1 
txncost <- -0.79 
margin <- 15000 
strategyname <- accountname 
startingcapital <- 1e+6 
symbollist <- 'DJI' 
instrument<-"DJI" 


rm.strat(strategyname) 
initPortf(portfolioname, 
     symbollist,initDate=initdate,currency="AUD") 
initAcct(accountname,portfolios=portfolioname,initDate=initdate,initEq=startingcapital,currency="AUD") 
initOrders(portfolio=portfolioname,initDate=initdate) 
strategy(strategyname,store=TRUE) 
strat <- getStrategy(strategyname) 
summary(strat) 


osInvestAll <- function (data, timestamp, orderqty, ordertype, orderside, equity, portfolio, symbol, ruletype, ..., orderprice) 
{ 
datePos <- format(timestamp,"%Y-%m-%d") 

    updatePortf(Portfolio=portfolio,Symbol=symbol,Dates=datePos) 
updateAcct(portfolio,Dates=datePos) 
updateEndEq(portfolio,Dates=datePos)  
Posn <- getPosQty(portfolio,Symbol=symbol,Date=datePos) 
equity <- getEndEq(portfolio,datePos) 
ClosePrice <- getPrice(get(symbol))[datePos] 
#UnitSize <- as.numeric(trunc(equity*0.25/ClosePrice)) 

if (Posn == 0) { 
    osInvestAll <- UnitSize } else 
     {osInvestAll <- 0 
     } 

} 

Rule1<-function(price,SMA,...) 
{ifelse(price>SMA,1,-1)} 
add.indicator(strategy=strategyname,name="SMA", 
      arguments=list(x=quote(mktdata$Close),n=40),label="SMA40") 

add.indicator(strategyname, name="Rule1", arguments=list(price =  quote(mktdata$Close), SMA=quote(mktdata$SMA.SMA40)), label="Rule1Signal") 

Rule2<-function(SMA2,SMA5,...) 
{ifelse(SMA5>SMA2,1,-1)} 
add.indicator(strategy=strategyname,name="SMA", 
      arguments=list(x=quote(mktdata$Close),n=2),label="SMA2") 
add.indicator(strategy=strategyname,name="SMA", 
      arguments=list(x=quote(mktdata$Close),n=5),label="SMA5") 

add.indicator(strategyname, name="Rule2",  arguments=list(SMA5=quote(mktdata$SMA.SMA5), SMA2=quote(mktdata$SMA.SMA2)), label="Rule2Signal") 




#Daily range less than the 10 day average range, buy next day if todays close was higher (+1) or short if it was lower 
#HLC <- HLC(DJI) 
Rule3<-function(HLC, n) 
{ 
    DJI$TR <- ATR(HLC(DJI),10)[,1]  
    DJI$todays <-DJI$High-DJI$Low 

Rule3 <- ifelse(DJI$todays>DJI$TR, ifelse((HLC$Close > lag.xts(HLC$Close)), -1,1), ifelse((HLC$Close >  lag.xts(HLC$Close)), 1, -1)) 

} 

    add.indicator(strategyname, name="Rule3", arguments=list(HLC=quote(HLC(mktdata)), n=10), label="Rule3Signal") 


##Donchian Channel 
#High 
Rule4 <- function(H,L,Close) 
{ifelse(Close>H,1,0)} 

add.indicator(strategy=strategyname,name="DonchianChannel", 
      arguments=list(HL=quote(mktdata$Close),n=50),label="DCH") 

add.indicator(strategyname, name="Rule4", arguments=list(H=quote(mktdata$high.DCH),L=quote(mktdata$low.DCH),Close=quote(mktdata$Close)), label="Rule4Signal") 
#Low 
Rule6 <- function(H,L,Close) 
{ifelse(Close<L,-1,0)} 

add.indicator(strategy=strategyname,name="DonchianChannel", 
      arguments=list(HL=quote(mktdata$Close),n=50),label="DCH") 

add.indicator(strategyname, name="Rule6", arguments=list(H=quote(mktdata$high.DCH),L=quote(mktdata$low.DCH),Close=quote(mktdata$Close)), label="Rule6Signal") 



#Rule 5 
Rule5<-function(H15,L15) 
{ 
X<-(H15+L15)/2 
ifelse(DJI$Close>X,1,-1)} 

    add.indicator(strategy=strategyname,name="SMA", 
      arguments=list(x=quote(mktdata$High),n=15),label="H15") 
    add.indicator(strategy=strategyname,name="SMA", 
      arguments=list(x=quote(mktdata$Low),n=15),label="L15") 

    add.indicator(strategyname, name="Rule5", arguments=list(Close=quote(mktdata$Close), H15=quote(mktdata$High),L15=quote(mktdata$Low)), label="Rule5Signal") 




RuleSum <- function(R1,R2,R3,R4,R5,R6,...) 
{ 
RuleSum <- (R1 + R2 + R3 + R4 + R5 + R6) 
} 
add.indicator(strategyname, name="RuleSum",  arguments=list(R1=quote(mktdata$Close.Rule1Signal), R2=quote(mktdata$SMA.SMA5.Rule2Signal),R3=quote(mktdata$todays.Rule3Signal),R4=quote(mktdata$Rule4Signal),R5=quote(mktdata$Close.Rule5Signal),R6=quote(mktdata$Close.Rule6Signal)), label="RuleSum") 


#Signals 
add.signal(strategyname,name="sigThreshold", 
     arguments=list(column="Close.Rule1Signal.RuleSum",relationship="gt",threshold=0,cross=FALSE), 
    label="signal.gt.zero") 


add.signal(strategyname,name="sigThreshold", 
    arguments=list(column="Close.Rule1Signal.RuleSum",relationship="lt",threshold=0,cross=FALSE), 
    label="signal.lt.zero") 



#Rules 
add.rule(strategyname,name='ruleSignal', 
arguments = list(sigcol="signal.gt.zero", sigval=TRUE, 
replace=FALSE, 
prefer='open', 
orderside='long', 
ordertype='market', 
orderqty=1, 
orderset='ocolong' 
), 
    type='enter', 
    label='LE' 
) 


add.rule(strategyname,name='ruleSignal', 
arguments = list(sigcol="signal.gt.zero", sigval=TRUE, 
replace=FALSE, 
prefer='close', 
orderside='long', 
ordertype='market', 
orderqty='all', 
orderset='ocolong' 
), 
    type='exit', 
    label='LX' 
) 

trailingStopPercent <- .20 

add.rule(strategyname, name = 'ruleSignal', 
arguments=list(sigcol="signal.gt.zero" , sigval=TRUE, 
replace=FALSE, 
prefer='close', 
orderside='long', 
ordertype='stoptrailing', 
tmult=TRUE, 
threshold=quote(trailingStopPercent), 
orderqty='all', 
orderset='ocolong' 
), 
type='chain', parent="LE", 
label='StopTrailingLong', 
enabled=TRUE 
) 

###short rules 
add.rule(strategyname,name='ruleSignal', 
arguments = list(sigcol="signal.lt.zero", sigval=TRUE, 
replace=FALSE, 
prefer='open', 
orderside='short', 
ordertype='market', 
orderqty=-1, 
orderset='ocoshort' 
), 
type='enter', 
label='SE' 
) 


add.rule(strategyname,name='ruleSignal', 
arguments = list(sigcol="signal.lt.zero", sigval=TRUE, 
replace=FALSE, 
prefer='close', 
orderside='short', 
ordertype='market', 
orderqty='all', 
orderset='ocoshort' 
), 
    type='exit', 
    label='SX' 
) 

trailingStopPercent <- .20 

add.rule(strategyname, name = 'ruleSignal', 
arguments=list(sigcol="signal.lt.zero" , sigval=TRUE, 
replace=FALSE, 
prefer='close', 
orderside='long', 
ordertype='stoptrailing', 
tmult=TRUE, 
threshold=quote(trailingStopPercent), 
orderqty='all', 
orderset='ocoshort' 
), 
type='chain', parent="SE", 
label='StopTrailingShort', 
enabled=TRUE 
) 

summary(getStrategy(strategyname)) 

    applyStrategy(strategy=strategyname,portfolios=portfolioname,verbose=TRUE,update.equity = TRUE, showEq = TRUE) #verbose=FALSE not to print 


updatePortf(strategyname) 
updateAcct(strategyname) 
updateEndEq(strategyname)

來源

2017-02-13 Cameron Giles

如果您在得到錯誤後運行traceback()，則可以快速確定代碼中可能存在的問題所在。

對於RuleSum指標，您尚未正確指定R4中使用的列名稱，該指標應爲R4=quote(mktdata$Close.Rule4Signal)。

你回溯測試工作，一旦你糾正add.indicator爲RuleSum：

add.indicator(strategyname, name="RuleSum",  arguments=list(R1=quote(mktdata$Close.Rule1Signal), R2=quote(mktdata$SMA.SMA5.Rule2Signal),R3=quote(mktdata$todays.Rule3Signal),R4=quote(mktdata$Close.Rule4Signal),R5=quote(mktdata$Close.Rule5Signal),R6=quote(mktdata$Close.Rule6Signal)), label="RuleSum")

提示：爲了調試的目的，你可以測試的所有指標從信號和規則隔離工作，通過調用

res <- applyIndicators(strategyname, DJI)

完成全部add.indicator之後。（並且在添加add.signal s之前，以及在運行applyStrategy之前的方法，如果此代碼按預期工作，則您知道問題可能是信號或規則，然後您可以使用applySignals等測試信號工作。。

來源

2017-02-13 18:20:48 FXQuantTrader

在quantstrat中繼續獲取「dims與對象的長度不匹配」

回答

相關問題