如何在 quantmod 包中创建技术指标 [英] How to create a technical indicator in quantmod package

问题描述

我是 R 的新手，我在创建技术指标时遇到了一些问题.更具体地说，我想创建一个指标，Fibonacci，它将被添加到 chartSeries 并由 5 条水平线组成.我正在处理的数据是股票的收盘价.因此，我要创建的图形将在最大收盘价点处有一条水平线，在最小收盘价点处有一条水平线，前两者之间有 3 条水平线.为了获取股票收盘价时间序列的五个值，我编写的代码如下:

I'm a newbie to R and I am facing some problems with the creation of a technical indicator. More specifically, I want to create an indicator, Fibonacci, which will be added to the chartSeries and will consist of 5 horizontal lines. The data I am working with are the closing prices of a stock. So the graph I want to create will have one horizontal line in the point of the max closing price, one horizontal line in the point of the min closing price and three horizontal lines between the previous two. The code I wrote in order to take the five values of a time series of closing prices of a stock is the following:

Fibonacci <- function(x) {
x <- try.xts(x, error = as.matrix)
n <- nrow(x)
min <- runMin(x,n=n)
max <- runMax(x,n=n)
high <- 0.62*(max-min) + min
middle <- 0.5*(max-min) + min
low <- 0.38*(max-min) + min
res <-cbind(na.spline(min),na.spline(max),na.spline(high),
            na.spline(middle),na.spline(low))
colnames(res)<- c("min","max","high","middle","low") 
reclass (res, x)
}

我还编写了以下代码，以便将技术指标添加到 quantmod 包的现有 chartSeries 图中:

I also wrote the following code in order to add the technical indicator to the existing chartSeries plot of quantmod package :

addFibonacci<- function(col = "red",overlay = TRUE){
stopifnot("package:TTR" %in% search() || require("TTR", quietly = TRUE))
lchob <- quantmod:::get.current.chob() 
x <- as.matrix(lchob@xdata)
chobTA <- new("chobTA")
chobTA@new <- !overlay
if (!is.OHLC(x)) 
    stop("Fibonacci requires HL series")
else {
fibon <- Fibonacci(Cl(x))
}
[e-mail] <- fibon[lchob@xsubset]
chobTA@call <- match.call()
chobTA@on <- 1
chobTA@params <- list(xrange = lchob@xrange, colors = lchob@colors, 
    color.vol = [e-mail], multi.col = [e-mail], 
    spacing = lchob@spacing, width = lchob@width, bp = lchob@bp, 
    x.labels = [e-mail], time.scale = [e-mail], 
    col = col)
if (is.null(sys.call(-1))) {
    TA <- [e-mail]$TA
    [e-mail]$TA <- c(TA, chobTA)
    lchob@windows <- lchob@windows + ifelse(chobTA@new, 1, 
        0)
    chartSeries.chob <- quantmod:::chartSeries.chob
    do.call(chartSeries.chob, list(lchob))
    invisible(chobTA)
}
else {
    return(chobTA)
}
}

问题是指标没有添加到图表中，我也收到以下错误消息:

The problem is that the indicator is not getting added to the chart and I am also getting the following error message:

Error in do.call([e-mail]$TA[[j]]@name, list([e-mail]$TA[[j]])) :
  'what' must be a character string or a function

对我做错了什么有什么想法吗?

Any ideas for what I am doing wrong?

推荐答案

与其从头开始编写 add* 函数，不如直接使用 newTA:

Rather than writing the add* function from scratch, you could just use newTA:

> library(quantmod)
> getSymbols("AAPL")
[1] "AAPL"
> addFibonacci <- newTA(Fibonacci,on=1)
> chartSeries(AAPL, TA="addFibonacci()")
Error in addFibonacci() : could not find function "get.current.chob"

嗯，显然 get.current.chob 没有导出……没关系，我们可以自己更改函数.调用addFibonacci <- newTA(Fibonacci,on=1)后，addFibonacci定义为:

Hmm, apparently get.current.chob isn't exported... that's okay, we can just change the function ourselves. After calling addFibonacci <- newTA(Fibonacci,on=1), addFibonacci is defined as:

addFibonacci <- function (..., on = 1, legend = "auto") 
{
    #lchob <- get.current.chob()
    lchob <- quantmod:::get.current.chob()
    x <- as.matrix(lchob@xdata)
    x <- Fibonacci(x = x)
    yrange <- NULL
    chobTA <- new("chobTA")
    if (NCOL(x) == 1) {
        [e-mail] <- x[lchob@xsubset]
    }
    else [e-mail] <- x[lchob@xsubset, ]
    chobTA@name <- "chartTA"
    if (any(is.na(on))) {
        chobTA@new <- TRUE
    }
    else {
        chobTA@new <- FALSE
        chobTA@on <- on
    }
    chobTA@call <- match.call()
    legend.name <- gsub("^add", "", deparse(match.call()))
    gpars <- c(list(...), list())[unique(names(c(list(), list(...))))]
    chobTA@params <- list(xrange = lchob@xrange, yrange = yrange, 
        colors = lchob@colors, color.vol = [e-mail], multi.col = [e-mail], 
        spacing = lchob@spacing, width = lchob@width, bp = lchob@bp, 
        x.labels = [e-mail], time.scale = [e-mail], 
        isLogical = is.logical(x), legend = legend, legend.name = legend.name, 
        pars = list(gpars))
    if (is.null(sys.call(-1))) {
        TA <- [e-mail]$TA
        [e-mail]$TA <- c(TA, chobTA)
        lchob@windows <- lchob@windows + ifelse(chobTA@new, 1, 
            0)
        chartSeries.chob <- chartSeries.chob
        do.call("chartSeries.chob", list(lchob))
        invisible(chobTA)
    }
    else {
        return(chobTA)
    }
}

你可以看到我在哪里用 quantmod:::get.current.chob() 替换了对 get.current.chob() 的调用.现在它应该可以工作了.

And you can see where I replaced the call to get.current.chob() with quantmod:::get.current.chob(). Now it should work.

chartSeries(AAPL, TA="addFibonacci()")

成功！

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