I'm testing out quantstrat using a simple one-indicator strategy.
The error I get after applyStrategy(...) is
Error in .xts(e, .index(e1), .indexCLASS = indexClass(e1), .indexFORMAT =
indexFormat(e1), :
index length must match number of observations
In addition: Warning messages:
1: In match.names(column, colnames(data)) :
all columns not located in roc_15 for STOXX.Open STOXX.High STOXX.Low
STOXX.Close STOXX.Close.1
2: In min(j, na.rm = TRUE) :
no non-missing arguments to min; returning Inf
3: In max(j, na.rm = TRUE) :
no non-missing arguments to max; returning -Inf
my code:
####################################################
# Environments
#
####################################################
if( !exists(".instrument") ) .instrument <<- new.env()
if( !exists(".blotter") ) .blotter <<- new.env()
if( !exists(".strategy") ) .strategy <<- new.env()
suppressWarnings( rm("account.STOXX", "portfolio.STOXX", pos=.blotter) )
suppressWarnings( rm("stratROC", "initDate", "initEq") )
suppressWarnings( rm("order_book.STOXX", pos=.strategy) )
##################################################
# Get Data #
##################################################
ch <- odbcConnect("PostgreSQL35W")
tablenames <- sqlTables(ch, schema = "marketdata")[,"TABLE_NAME"]
chooseTable <- function(table.name) x <- table.name
table.name <- guiv(chooseTable,
argList = list(table.name = tablenames))
data.df <- sqlFetch(ch,
paste("marketdata",
table.name,
sep = "."),
colnames = TRUE,
rownames = TRUE)
data.xts <- as.xts(data.df)
STOXX <- xts( cbind( as.numeric(data.xts$open),
as.numeric(data.xts$high),
as.numeric(data.xts$low),
as.numeric(data.xts$close) ),
order.by=index(data.xts) )
colnames(STOXX) <- c("STOXX.Open", "STOXX.High", "STOXX.Low", "STOXX.Close")
rm(table.name, tablenames, ch, chooseTable)
stock('STOXX', currency="ZAR", multiplier=1)
mktdata <- STOXX
spot <- as.xts( as.numeric(data.xts$spot),
order.by=index(data.xts) )
colnames(spot) <- "spot"
################################################
# Initialise #
################################################
initDate = index( first(data.xts) )
initEq = 100
currency("ZAR")
initPortf('STOXX', symbols='STOXX', initDate=initDate)
initAcct('STOXX', portfolios='STOXX', initDate=initDate, initEq=100)
initOrders(portfolio='STOXX', initDate=initDate)
stratROC <- strategy("ROC")
#####################################################
# Construct Strategy
#
#####################################################
stratROC <- add.indicator( strategy = stratROC,
name = "ROC",
arguments=list( x=Cl(STOXX) ),
label="roc_15" )
# gte
stratROC <- add.signal( stratROC,
name="sigThreshold",
arguments = list(column="roc_15",
Threshold=5,
relationship="gte"),
label="roc.gte" )
# lte
stratROC <- add.signal( stratROC,
name="sigThreshold",
arguments = list(column="roc_15",
Threshold=-5,
relationship="lte"),
label="roc.lte" )
# long enter
stratROC <- add.rule( stratROC,
name='ruleSignal',
arguments = list(sigcol="roc.gte", sigval=TRUE,
orderqty=1,
ordertype='market', orderside='long',
pricemethod='market', TxnFees=-2),
type='enter', path.dep=TRUE )
# long exit
stratROC <- add.rule( stratROC,
name='ruleSignal',
arguments = list(sigcol="roc.lte", sigval=TRUE,
orderqty='all',
ordertype='market', orderside='long',
pricemethod='market', TxnFees=-2),
type='exit', path.dep=TRUE )
# short enter
stratROC <- add.rule( stratROC,
name='ruleSignal',
arguments = list(sigcol="roc.lte", sigval=TRUE,
orderqty=-1,
ordertype='market', orderside='short',
pricemethod='market', TxnFees=-2),
type='enter', path.dep=TRUE )
# short exit
stratROC <- add.rule( stratROC,
name='ruleSignal',
arguments = list(sigcol="roc.gte", sigval=TRUE,
orderqty='all',
ordertype='market', orderside='short',
pricemethod='market', TxnFees=-2),
type='exit', path.dep=TRUE )
out <- try( applyStrategy(strategy=stratROC, portfolios='STOXX') )
updatePortf( Portfolio='STOXX', Dates=paste('::', as.Date(Sys.time()), sep='') )
#################################################
# End
#
#################################################
Any help would be much appreciated.
Steven Kukard
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