Re: [R-SIG-Finance] Do the blotter demos work?
On Mon, Jul 22, 2013 at 3:14 PM, Jim Green student.northwest...@gmail.com wrote: Mark, on windows you can use tortoise svn to checkout the trunk source code, build and install if you don't want to wait the path is: svn checkout svn://svn.r-forge.r-project.org/svnroot/blotter/ Jim Thanks Jim. As I'm focused on a lot of things in R right now I think I'll wait a while and see what shows up. If I get some time then I'll give that a try. Cheers, Mark ___ R-SIG-Finance@r-project.org 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.
Re: [R-SIG-Finance] Do the blotter demos work?
Looks like it's built on r-forge. You should be able to install it with install.packages(blotter, repos=http://r-forge.r-project.org;) Regards, Garrett ___ R-SIG-Finance@r-project.org 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.
Re: [R-SIG-Finance] Do the blotter demos work?
On Mon, Jul 22, 2013 at 4:27 PM, G See gsee...@gmail.com wrote: Looks like it's built on r-forge. You should be able to install it with install.packages(blotter, repos=http://r-forge.r-project.org;) Regards, Garrett Thanks Garrett, I installed as per your suggestion. No errors but I still see 0.8.14. Maybe that's right, or possibly wrong. I don't know how that number matches Joshua's version number of 1484. Unfortunately when I run the longtrend demo it fails: demo(longtrend, package=blotter) demo(longtrend) ~ Type Return to start : # This is a very simple trend following strategy for testing the results of: # Faber, Mebane T., A Quantitative Approach to Tactical Asset Allocation. # Journal of Risk Management (Spring 2007). SNIP + # Calculate PL and resulting equity with blotter + updatePortf(ltportfolio, Dates = CurrentDate) + updateAcct(ltaccount, Dates = CurrentDate) + updateEndEq(ltaccount, Dates = CurrentDate) + } # End dates loop . [1] 1998-10-30 00:00:00 GSPC 91 @ 1098.67 Error in lag.xts(TmpPeriods$Pos.Value, 1) : abs(k) must be less than nrow(x) In addition: There were 16 warnings (use warnings() to see them) I'll be happy to try things out if it helps the group but someone will have to make suggestions. If this requires a newer version of xts or something else then I'd appreciate knowing where to look to figure that out. Thanks, Mark ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Do the blotter demos work?
Mark, It's been awhile, but I finally looked at this and patched it in revision 1483. It's forces the session timezone to UTC... not ideal, but it works. Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com On Sat, May 11, 2013 at 7:04 AM, Joshua Ulrich josh.m.ulr...@gmail.com wrote: The longtrend and turtles demos appear to be broken by recent changes to xts and quantmod (regarding timezone issues with Date-classed indexes). I don't have time to work on a fix at the moment, but wanted to answer in case others might investigate and work on a patch. Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com R/Finance 2013: Applied Finance with R | www.RinFinance.com On Fri, May 10, 2013 at 4:47 PM, Mark Knecht markkne...@gmail.com wrote: Hi, I'm struggling to get any of the demos in the blotter package to work. Using a command such as: demo(longtrend, package=blotter) it runs along for a second and then fails with this message: + # Calculate PL and resulting equity with blotter + updatePortf(ltportfolio, Dates = CurrentDate) + updateAcct(ltaccount, Dates = CurrentDate) + updateEndEq(ltaccount, Dates = CurrentDate) + } # End dates loop . [1] 1998-10-30 00:00:00 GSPC 91 @ 1098.67 Error in lag.xts(TmpPeriods$Pos.Value, 1) : abs(k) must be less than nrow(x) In addition: Warning messages: 1: In rm(account.longtrend, portfolio.longtrend, pos = .blotter) : object 'account.longtrend' not found 2: In rm(account.longtrend, portfolio.longtrend, pos = .blotter) : object 'portfolio.longtrend' not found 3: In rm(ltaccount, ltportfolio, ClosePrice, CurrentDate, equity, : object 'ltaccount' not found 4: In rm(ltaccount, ltportfolio, ClosePrice, CurrentDate, equity, : object 'ltportfolio' not found 5: In rm(ltaccount, ltportfolio, ClosePrice, CurrentDate, equity, : object 'GSPC' not found 6: In download.file(paste(yahoo.URL, s=, Symbols.name, a=, from.m, : downloaded length 236151 != reported length 200 I suspect I'm just not running it correctly but don't know what I'm doing wrong. I've generally had trouble with all demos having to do with blotter. Are they still working or are they no longer maintained? The quantstrat demos, at least the couple I've tried, do seem to work. This is R-2.15.3 running in RStudio=0.97.336/ Thanks, Mark ___ R-SIG-Finance@r-project.org 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. ___ R-SIG-Finance@r-project.org 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.
Re: [R-SIG-Finance] Do the blotter demos work?
The longtrend and turtles demos appear to be broken by recent changes to xts and quantmod (regarding timezone issues with Date-classed indexes). I don't have time to work on a fix at the moment, but wanted to answer in case others might investigate and work on a patch. Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com R/Finance 2013: Applied Finance with R | www.RinFinance.com On Fri, May 10, 2013 at 4:47 PM, Mark Knecht markkne...@gmail.com wrote: Hi, I'm struggling to get any of the demos in the blotter package to work. Using a command such as: demo(longtrend, package=blotter) it runs along for a second and then fails with this message: + # Calculate PL and resulting equity with blotter + updatePortf(ltportfolio, Dates = CurrentDate) + updateAcct(ltaccount, Dates = CurrentDate) + updateEndEq(ltaccount, Dates = CurrentDate) + } # End dates loop . [1] 1998-10-30 00:00:00 GSPC 91 @ 1098.67 Error in lag.xts(TmpPeriods$Pos.Value, 1) : abs(k) must be less than nrow(x) In addition: Warning messages: 1: In rm(account.longtrend, portfolio.longtrend, pos = .blotter) : object 'account.longtrend' not found 2: In rm(account.longtrend, portfolio.longtrend, pos = .blotter) : object 'portfolio.longtrend' not found 3: In rm(ltaccount, ltportfolio, ClosePrice, CurrentDate, equity, : object 'ltaccount' not found 4: In rm(ltaccount, ltportfolio, ClosePrice, CurrentDate, equity, : object 'ltportfolio' not found 5: In rm(ltaccount, ltportfolio, ClosePrice, CurrentDate, equity, : object 'GSPC' not found 6: In download.file(paste(yahoo.URL, s=, Symbols.name, a=, from.m, : downloaded length 236151 != reported length 200 I suspect I'm just not running it correctly but don't know what I'm doing wrong. I've generally had trouble with all demos having to do with blotter. Are they still working or are they no longer maintained? The quantstrat demos, at least the couple I've tried, do seem to work. This is R-2.15.3 running in RStudio=0.97.336/ Thanks, Mark ___ R-SIG-Finance@r-project.org 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. ___ R-SIG-Finance@r-project.org 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.
[R-SIG-Finance] Do the blotter demos work?
Hi, I'm struggling to get any of the demos in the blotter package to work. Using a command such as: demo(longtrend, package=blotter) it runs along for a second and then fails with this message: + # Calculate PL and resulting equity with blotter + updatePortf(ltportfolio, Dates = CurrentDate) + updateAcct(ltaccount, Dates = CurrentDate) + updateEndEq(ltaccount, Dates = CurrentDate) + } # End dates loop . [1] 1998-10-30 00:00:00 GSPC 91 @ 1098.67 Error in lag.xts(TmpPeriods$Pos.Value, 1) : abs(k) must be less than nrow(x) In addition: Warning messages: 1: In rm(account.longtrend, portfolio.longtrend, pos = .blotter) : object 'account.longtrend' not found 2: In rm(account.longtrend, portfolio.longtrend, pos = .blotter) : object 'portfolio.longtrend' not found 3: In rm(ltaccount, ltportfolio, ClosePrice, CurrentDate, equity, : object 'ltaccount' not found 4: In rm(ltaccount, ltportfolio, ClosePrice, CurrentDate, equity, : object 'ltportfolio' not found 5: In rm(ltaccount, ltportfolio, ClosePrice, CurrentDate, equity, : object 'GSPC' not found 6: In download.file(paste(yahoo.URL, s=, Symbols.name, a=, from.m, : downloaded length 236151 != reported length 200 I suspect I'm just not running it correctly but don't know what I'm doing wrong. I've generally had trouble with all demos having to do with blotter. Are they still working or are they no longer maintained? The quantstrat demos, at least the couple I've tried, do seem to work. This is R-2.15.3 running in RStudio=0.97.336/ Thanks, Mark ___ R-SIG-Finance@r-project.org 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.
