当我试图在 AT&T 股票上运行一个 quantstrat 的例子时遇到了一个问题，该股票被称为“T”。我相信这是因为 R 在某个地方认为这个 T 指的是 TRUE。这是我的代码:
library(quantstrat)
ticker="T"
total_hist.start = as.Date("2006-06-22")
total_hist.end = as.Date("2008-06-20")
total_hist = total_hist.end - total_hist.start
currency("USD")
stock(ticker,currency="USD",multiplier=1)
getSymbols(ticker,from=total_hist.start,to=total_hist.end,to.assign=TRUE)
init.date = initDate=total_hist.start-1
strat.name<- "MyStrat"
port.name <- "MyPort"
acct.name <- "MyAcct"
TradeSize = 1000
initEq=as.numeric( TradeSize*max(Ad(get(ticker)) ) )
port <- initPortf(port.name,ticker,initDate=init.date)
acct <- initAcct(acct.name,portfolios=port.name, initDate=init.date, initEq=initEq)
ords <- initOrders(portfolio=port.name,initDate=init.date)
strat<- strategy(strat.name)
strat<- add.indicator(strategy = strat, name = "SMA", arguments = list(x=quote(Ad(mktdata)), n=20),label= "ma20" )
strat<- add.indicator(strategy = strat, name = "SMA", arguments = list(x=quote(Ad(mktdata)), n=50),label= "ma50")
strat<- add.signal(strat,name="sigCrossover",arguments =
list(columns=c("ma20","ma50"),relationship="gte"),label="ma20.gt.ma50")
strat<- add.signal(strat,name="sigCrossover",arguments =
list(column=c("ma20","ma50"),relationship="lt"),label="ma20.lt.ma50")
strat<- add.rule(strategy = strat,name='ruleSignal', arguments = list(sigcol="ma20.gt.ma50",sigval=TRUE,
orderqty=TradeSize, ordertype='market', orderside='long', pricemethod='market'),type='enter', path.dep=TRUE)
strat<- add.rule(strategy = strat,name='ruleSignal', arguments = list(sigcol="ma20.lt.ma50",sigval=TRUE, orderqty='all',
ordertype='market', orderside='long', pricemethod='market'),type='exit', path.dep=TRUE)
out<-try(applyStrategy(strategy=strat, portfolios=port.name))
我现在收到此错误消息:
Error in mktdata[, keep] : nombre de dimensions incorrect
我试过另一只股票，例如代码为“A”的 Agilent Technologies，但我没有收到此错误，所以我几乎可以肯定问题出在 T 类似于 TRUE 的事实。感谢您的帮助!
请您参考如下方法:
您的问题不在quantstrat，而是在getSymbols
> head(T)
[1] TRUE
> get('T')
[1] TRUE
> getSymbols(T,from=total_hist.start,to=total_hist.end,to.assign=TRUE)
Error in do.call(paste("getSymbols.", symbol.source, sep = ""),
list(Symbols = current.symbols, : could not find function "getSymbols.TRUE"
> getSymbols('T',from=total_hist.start,to=total_hist.end,to.assign=TRUE)
[1] "T"
> head(T)
T.Open T.High T.Low T.Close T.Volume T.Adjusted
2006-06-22 27.34 27.44 27.13 27.29 14123800 19.85
2006-06-23 27.15 27.61 27.05 27.37 10474500 19.91
2006-06-26 27.32 27.53 27.19 27.33 11311200 19.88
2006-06-27 27.38 27.49 27.29 27.35 9869100 19.89
2006-06-28 27.27 27.44 27.24 27.41 14853300 19.94
2006-06-29 27.42 27.79 27.42 27.70 17314300 20.15
一种解决方法是改为执行类似的操作:
stock('ATT',currency='USD')
ticker<-'ATT'
ATT<-getSymbols('T',from=total_hist.start,to=total_hist.end,auto.assign=FALSE)
这将避免 R 中任何 T/F 与 TRUE/FALSE 的混淆(这在我看来总是一个可怕的想法)。
问候，
- 布莱恩
