Just remembered that Outlook sent emails in HTML format, so here is the problem in plain text format in case you couldn't see it before. Still couldn't find a way to make this work.
From: Atakan Okan <[email protected]> Sent: Wednesday, February 15, 2017 11:54 AM To: [email protected] Subject: Custom Indicator Problem Hi everyone, I am facing a problem regarding a higher-time-frame custom indicator. I have daily yahoo finance data but would like to use the technical indicator MACD on weekly close data. I have written a custom function as I have seen in a previous post some years ago but couldn't manage to add the weekly indicator output to mktdata. Any help is appreciated, thank you Reproducible example: #Custom Indicator Problem library(quantmod) library(quantstrat) library(TTR) Sys.setenv(TZ = "UTC") .strategy <- new.env() .blotter <- new.env() getSymbols("GARAN.IS") #Stock symbol.name = "GARAN.IS" tick.size = 0.01 currency('TRY') stock(symbol.name, currency="TRY", multiplier=1,tick_size= tick.size) initialEquity = 1000 port.acct.currency <- "TRY" strategy.st <- 'Custom_Prob' rm.strat(strategy.st) initDate = as.character(as.Date(index(GARAN.IS[1])-1)) initPortf(strategy.st, symbol.name, initDate=initDate, currency = port.acct.currency) initAcct(strategy.st, portfolios=strategy.st, initDate=initDate, initEq=initialEquity, currency = port.acct.currency) initOrders(portfolio=strategy.st,initDate=initDate) strategy(strategy.st,store=TRUE) summary(getStrategy(strategy.st)) #MACD W1 indicator MACD_W1 <- function(mktdata=quote(mktdata), nFast = 12, nSlow = 26, nSig = 9){ y <- GARAN.IS is.xts(y) y <- to.weekly(y) y <- Cl(y) y <- MACD(y, nFast = nFast, nSlow = nSlow, nSig = nSig, maType = "EMA") y <- cbind(mktdata, y[paste(first(index(mktdata)), last(index(mktdata)), sep = "/")]) y <- y[-which(is.na(y[,1])),] y <- na.locf(y) y <- y[,c((ncol(y)-1),ncol(y))] y } add.indicator(strategy.st, name = "MACD", arguments = list(x=Cl(GARAN.IS)), label='macd') add.indicator(strategy.st, name = "MACD_W1", arguments = list(mktdata=quote(mktdata))) apply.indicators.df <- applyIndicators(strategy.st, mktdata=GARAN.IS) #testing indicator calculations -Atakan Okan _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
