Quantstrat applyStrategy 失败

Question

我正在使用 quantstart，但由于某种原因，applyStrategy 函数没有输出任何信息。它只是通过。结果，当我执行tradeStats 函数时，我得到了null。这是我使用的代码：谢谢！

library(quantstrat)
library(quantmod)
initDate = "1999-01-01"
from = "2003-01-01"
to = "2015-12-31"

Sys.setenv (TZ = "UTC")
currency ("USD")
getSymbols ("SPY", from = from,
 to = to, src = "yahoo",
 adjust = TRUE)

tradesize <- 100000
initeq <- 100000
strategy.st <- portfolio.st <- account.st <- "firststrat"
rm.strat(strategy.st)
initPortf(portfolio.st,
 symbols = "SPY",
 initDate = initdate,
 currency = "USD")
initAcct(account.st,
 portfolios = portfolio.st,
 initDate = initdate,
 currency = "USD",
 initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store = TRUE)

add.indicator(strategy = strategy.st,
 name = "SMA",
 arguments = list(x = quote(Cl(mktdata)), n = 200),
 label = "SMA200")

add.indicator(strategy = strategy.st,
 name = "SMA",
 arguments = list(x = quote(Cl(mktdata)), n = 50),
 label = "SMA50")

test4 <- applyIndicators(strategy = strategy.st, mktdata) 

add.signal(strategy.st,
 name = "sigCrossover",
 arguments = list(columns = c("SMA50", "SMA200"),
 relationship = "gt"),
 label = "longfilter")

add.signal(strategy.st,
 name = "sigComparison",
 arguments = list(columns = c("SMA50", "SMA200"),
 relationship = "lt" ),
 label = "filterexit")

test4 <- applySignals(strategy.st, mktdata)

add.rule(strategy.st, name = "ruleSignal",
 arguments = list(sigcol = "filterexit", sigval = TRUE,
 orderqty = "all", ordertype = "market",
 orderside = "long", replace = FALSE,
 prefer = "Open"),
 type = "exit")

add.rule(strategy.st, name = "ruleSignal",
 arguments = list(sigcol = "longfilter", sigval = TRUE,
 orderqty = "all", ordertype = "market",
 orderside = "long", replace = FALSE,
 prefer = "Open"),
 type = "enter")



applyStrategy(strategy.st, portfolio.st)

updatePortf(portfolio.st)
daterange <- time(getPortfolio(portfolio.st)$summary)[-1]

updateAcct(account.st, daterange)
updateEndEq(account.st)

tradeStats(Portfolios = portfolio.st)

```

Answer 1

这是你的问题：

1) 您的 initDate 应该是第 3 行的 initdate 以保持一致。 2) 不要将orderqty = "all" 用于“输入”类型规则。使用实际数量。请参阅下面的条目添加规则。下面了解您可能打算如何运行代码。作为一般规则，使用orderqty = "all" 退出/停止/获利类型规则。 “全部”适用于您想要退出现有头寸的情况，而无需指定当时该头寸可能是什么（您可能事先不知道您是否正在将交易金字塔化到所需的风险敞口）

3) 如果您在对getSymbols 的调用中没有如下设置index.class 参数，您可能会遇到另一个与date 和POSIXct 对象比较相关的错误

4) 您没有为SPY 定义仪器对象。即您发布的代码丢失了stock("SPY", currency = "USD")

5) 您的代码无法按原样重现。像这样的调用：

test4 <- applyIndicators(strategy = strategy.st, mktdata)

只有在你获得了 marketdata 对象（在调用 applyStrategy 后存在）之后才能工作。

您的代码的这种编辑形式有效：

library(quantstrat)
library(quantmod)
initdate = "1999-01-01"
from = "2003-01-01"
to = "2015-12-31"

currency ("USD")
stock("SPY", currency = "USD")

Sys.setenv (TZ = "UTC")

getSymbols ("SPY", from = from,
            to = to, src = "yahoo",
            adjust = TRUE,
            index.class=c("POSIXt","POSIXct"))

tradesize <- 100000
initeq <- 100000
strategy.st <- portfolio.st <- account.st <- "firststrat"
rm.strat(strategy.st)
initPortf(portfolio.st,
          symbols = "SPY",
          initDate = initdate,
          currency = "USD")
initAcct(account.st,
         portfolios = portfolio.st,
         initDate = initdate,
         currency = "USD",
         initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store = TRUE)

add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x = quote(Cl(mktdata)), n = 200),
              label = "SMA200")

add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x = quote(Cl(mktdata)), n = 50),
              label = "SMA50")

add.signal(strategy.st,
           name = "sigCrossover",
           arguments = list(columns = c("SMA50", "SMA200"),
                            relationship = "gt"),
           label = "longfilter")

add.signal(strategy.st,
           name = "sigComparison",
           arguments = list(columns = c("SMA50", "SMA200"),
                            relationship = "lt" ),
           label = "filterexit")

add.rule(strategy.st, name = "ruleSignal",
         arguments = list(sigcol = "filterexit", sigval = TRUE,
                          orderqty = "all", ordertype = "market",
                          orderside = "long", replace = FALSE,
                          prefer = "Open"),
         type = "exit")

add.rule(strategy.st, name = "ruleSignal",
         arguments = list(sigcol = "longfilter", sigval = TRUE,
                          orderqty = tradesize, ordertype = "market",
                          orderside = "long", replace = FALSE,
                          prefer = "Open"),
         type = "enter")



applyStrategy(strategy.st, portfolio.st)

updatePortf(portfolio.st)
daterange <- time(getPortfolio(portfolio.st)$summary)[-1]

updateAcct(account.st, daterange)
updateEndEq(account.st)

tradeStats(Portfolios = portfolio.st)

最后的提示。在运行您希望可重现的代码之前重新启动一个干净的 r 会话，然后通过运行源来检查它。我在上面列出的许多问题都可以通过在新的干净 R 会话中运行源代码来发现。 （如果您使用 Rstudio，可以使用快捷键 ctrl + shift + f10 轻松完成）。