Quantstrat：交易执行问题。答案

【问题标题】：Quantstrat: trades execution problems.Quantstrat：交易执行问题。
【发布时间】：2016-12-07 04:31:45
【问题描述】：

所以我试图测试简单的策略，当开盘价穿过移动平均线向上买入时，反之亦然； Signal 似乎与View(mktdata) 一起工作得很好，但由于某种原因它没有执行交易。有什么见解吗？

rm(list=ls(.blotter), envir=.blotter)



rm.strat(strategy.st)
strategy.st<-"firststrat"
portfolio.st<-"firststrat"
account.st<-"firststrat"


#assignsymbol
getSymbols("SPY",auto.assign=TRUE,adjust=TRUE)

initdate<-"2009-01-01"
from<-"2010-01-01"
to<-"2016-11-01"
Sys.setenv(TZ="UTC")
currency("USD")
stock("SPY",currency="USD",multiplier=1)
tradesize<-10000
inieq<-100000

rm.strat(portfolio.st)
initPortf(portfolio.st,symbols="SPY",initDate=initdate,currency='USD')
initAcct(account.st,portfolios = portfolio.st,initDate = initdate,initEq = inieq,currency="USD")
initOrders(portfolio = portfolio.st,initDate = initdate)
strategy(strategy.st,store=TRUE)



add.indicator(strategy = strategy.st,name="EMA",arguments=list(x=quote(Cl(mktdata)),n=50),label="EMA50")
#if closing price goes over moving average 50 and TSi fference is less then 0.15, then long
#short when closing price touches below original closing price by x(depends on atr? previous lows?) 


add.signal(strategy.st,name="sigCrossover",
           arguments = list(columns=c("Close","EMA50"),
                            relationship="gt"),
                       label="crossentry"    
                            )
add.signal(strategy.st,name="sigCrossover",
           arguments = list(columns=c("Close","EMA50"),
                            relationship="lt"),
           label="crossexit"    
)


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

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


out <- applyStrategy(strategy = strategy.st, portfolios = portfolio.st)

View(mktdata)

> out
NULL

【问题讨论】：

标签： r quantmod quantstrat

【解决方案1】：

您需要指定一个orderqty 值来指示每笔交易的大小，以便市场订单进入头寸（不是"all"，它可用于退出、止损、获利）。否则策略不知道实际交易规模应该是多少。

如果您像这样修改输入规则，您的代码应该运行：

add.rule(strategy.st,name="ruleSignal",
         arguments=list(sigcol = "crossentry",
                        sigval=TRUE,
                        orderqty= 100,  # numeric qty value
                        ordertype="market",
                        orderside="long",
                        replace=FALSE,
                        prefer="Open",
                        path.dep=TRUE
         ),
         type="enter"
)

【讨论】：