生成quantstrat中不同周期性的指标 [英] Generating indicators of different periodicity in quantstrat
问题描述
我想使用与我正在使用的数据不同的时间范围指标.我已经问过几次这个问题，但到目前为止还没有解决方案(至少对我而言).
I would like to use indicators of timeframes different to the data I am using. I have seen this asked a few time but no solutions as of yet (at least for me anyway).
以下示例使用每日库存数据，但是实际项目使用当日货币数据.我现在可以轻松地导入日间csv数据，因此示例和真实世界应该可以互换.
The below example uses daily stock data however the actual project uses intraday currency data. I have an easy work around for importing the intraday csv data now so the example and real-world should be interchangeable enough.
library(quantstrat)
initDate="2000-01-01"
from="2003-01-01"
to="2016-12-31"
#set account currency and system timezone
currency('USD')
Sys.setenv(TZ="UTC")
#get data
symbols <- "SPY"
getSymbols(symbols, from=from, to=to, src="yahoo", adjust=TRUE)
stock(symbols, "USD")
#trade sizing and initial equity settings
tradeSize <- 100000
initEq <- tradeSize*length(symbols)
#set up the portfolio, account and strategy
strategy.st <- portfolio.st <- account.st <- "mtf.strat"
rm.strat(strategy.st)
initPortf(portfolio.st, symbols=symbols, 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)
#SMA length
nSMA <- 14
添加SMA，因为在这种情况下，每日指标可以有效治疗
Adding the SMA as, in this case a daily indicator works a treat
add.indicator(strategy.st, name="SMA",
arguments=list(x=quote(Cl(mktdata)), n=nSMA, maType = "SMA"),
label="SMA")
test <- applyIndicators(strategy.st, mktdata=OHLC(SPY))
但尝试添加每周一次的SMA
Yet trying to add, in this case a weekly SMA
add.indicator(strategy.st, name="SMA",
arguments=list(x=quote(to.period(Cl(mktdata), period = "weeks", k = 1, indexAt = "startof")), n=nSMA, maType = "SMA"),
label="SMAw1")
## Or this
add.indicator(strategy.st, name="SMA",
arguments=list(x=quote(to.weekly(Cl(mktdata))), n=nSMA, maType = "SMA"),
label="SMAw1")
test <- applyIndicators(strategy.st, mktdata=OHLC(SPY))
# Error in runSum(x, n) : ncol(x) > 1. runSum only supports univariate 'x'
不使用Cl(x)直接调用关闭"列会导致相同的错误.我这样做是因为TTR:::runSum如果给出多于一列的数据将抛出上述错误.
Calling the Close column directly without Cl(x) results in the same error. I did this as TTR:::runSum will throw the above error if given more than one column of data.
我不确定是什么问题，因此可以提供一些帮助.
I'm not entirely sure what the problem is so some assistance would be great.
推荐答案
问题是to.period(因此是to.weekly)返回OHLC对象，而不是像TTR::SMA那样的单变量序列.因此，您需要将to.period的输出包装在Cl中.
The problem is that to.period (and therefore to.weekly) return OHLC objects, not a univariate series like TTR::SMA expects. So you need to wrap the output of to.period in Cl.
add.indicator(strategy.st, name="SMA",
arguments=list(x=quote(Cl(to.weekly(Cl(mktdata)))), n=nSMA, maType = "SMA"),
label="SMAw1")
test <- applyIndicators(strategy.st, mktdata=OHLC(SPY))
现在该代码可以运行了，但是对您的策略来说仍然可能是个问题.当该指标与每日mktdata合并时，会有很多NA.
Now that code runs, but it may still be a problem for your strategy. There will be a lot of NA when that indicator is merged with the daily mktdata.
R> tail(merge(SPY, test$SMA))
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted SMA.SMAw1
2016-11-25 221.10 221.56 221.01 221.52 37861800 221.52 215.0720
2016-11-28 221.16 221.48 220.36 220.48 70284100 220.48 NA
2016-11-29 220.52 221.44 220.17 220.91 67079400 220.91 NA
2016-11-30 221.63 221.82 220.31 220.38 99783700 220.38 NA
2016-12-01 220.73 220.73 219.15 219.57 77230500 219.57 NA
2016-12-02 219.67 220.25 219.26 219.68 70863400 219.68 215.3207
因此，创建您自己的SMA包装函数来处理所有这些步骤是一个好主意.然后使用包装函数调用add.indicator.
So it's a good idea to create your own SMA wrapper function to handle all these steps. Then call add.indicator using your wrapper function.
mySMA <- function(x, on = "days", k = 1, n = 10) {
agg <- x[endpoints(x, on, k)]
sma <- SMA(agg, n)
# merge with zero-width xts object w/original index, filling NA
result <- merge(sma, xts(,index(x)), fill = na.locf)
return(result)
}
add.indicator(strategy.st, name = "mySMA",
arguments = list(x = quote(Cl(mktdata)),
on = "weeks",
n = nSMA),
label = "SMAw1")
test <- applyIndicators(strategy.st, mktdata = OHLC(SPY))
现在，当mktdata中的每个观察值合并时，指标将具有一个值.
Now the indicator will have a value for every observation in mktdata when it's merged.
> tail(merge(SPY, test$SMA))
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted SMA.SMAw1
2016-11-25 221.10 221.56 221.01 221.52 37861800 221.52 215.0720
2016-11-28 221.16 221.48 220.36 220.48 70284100 220.48 215.0720
2016-11-29 220.52 221.44 220.17 220.91 67079400 220.91 215.0720
2016-11-30 221.63 221.82 220.31 220.38 99783700 220.38 215.0720
2016-12-01 220.73 220.73 219.15 219.57 77230500 219.57 215.0720
2016-12-02 219.67 220.25 219.26 219.68 70863400 219.68 215.3207
这篇关于生成quantstrat中不同周期性的指标的文章就介绍到这了，希望我们推荐的答案对大家有所帮助，也希望大家多多支持IT屋！
