[R] Error custom indicator Quantstrat colnames

[Ted Harding]

Pietro,
Please post this to r-help using r-project.org
not to r-help-owner using r-project.org
which is a mailing liat concerned with list management, and
does not deal with questions regarding the use of R.
Best wishes,
Ted.

On Sat, 2018-07-14 at 13:04 +0000, Pietro Fabbro via R-help wrote:
> I will try to be as clear as possible as I have been rebuked by some users. I deleted the last questions and I will try to be sufficiently explicative in this one. I apologize if the data I will insert will not be enough.
> 
> So, I am trying to run a strategy through the package Quantstrat.
> 
> install.packages("quantstrat")
> My problem is that I get the following error
> 
> Error incolnames<-(tmp, value = seq(ncol(tmp_val))) : 
> attempt to set 'colnames' on an object with less than two dimensions
> 
> when I try to run the following command:
> 
> > out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
> I do not have this problem if I use, as indicator, one or more indicators, which are already defined by the package TTR.
> 
> I have this error only when I try to use a custom indicator. Here is the code for the custom indicator that I use:
> 
> wma <-  WMA(Cl(mktdata), 4, wts=c(1:4)) 
> wmamaxt <- rollmaxr(wma, 30, fill = NA)
> wmamint <- - rollmaxr(- wma, 30, fill = NA)
> CNOwma <- function (mktdata=quote(mktdata),x) {(wma - wmamint) / (wmamaxt - wmamint)}
> Please refer to the following code:
> 
> library(devtools)
> library(quantmod)
> library(quantstrat)
> library(TTR)
> library(png)
> library(IKTrading)
> 
> wma <-  WMA(Cl(mktdata), 4, wts=c(1:4)) 
> wmamaxt <- rollmaxr(wma, 30, fill = NA)
> wmamint <- - rollmaxr(- wma, 30, fill = NA)
> CNOwma <- function (mktdata=quote(mktdata),x) {(wma - wmamint) / (wmamaxt - wmamint)}
> initdate <- "2010-01-01"
> from <- "2012-01-01" #start of backtest
> to <- "2017-31-12" #end of backtest
> 
> Sys.setenv(TZ= "EST") #Set up environment for timestamps
> 
> currency("USD") #Set up environment for currency to be used
> 
> symbols <- c("RUT", "IXIC") #symbols used in our backtest
> getSymbols(Symbols = symbols, src = "google", from=from, to=to, adjust = TRUE) #receive data from google finance,  adjusted for splits/dividends
> 
> stock(symbols, currency = "USD", multiplier = 1) #tells quanstrat what instruments present and what currency to use
> 
> tradesize <-10000 #default trade size
> initeq <- 100000 #default initial equity in our portfolio
> 
> strategy.st <- portfolio.st <- account.st <- "firststrat" #naming strategy, portfolio and account
> 
> #removes old portfolio and strategy from environment
> rm.strat(portfolio.st)
> rm.strat(strategy.st) 
> 
> #initialize portfolio, account, orders and strategy objects
> initPortf(portfolio.st, symbols = symbols, 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 = 'CNOwma',
> arguments = list(x = quote(Cl(mktdata)), n=4),
> label = 'CNOwma4')
> 
> 
> 
> 
> 
> add.signal(strategy.st, name = "sigThreshold",
> arguments = list(column = "CNOwma4", threshold = 0.6,
> relationship = "gt", cross = TRUE),
> label = "longthreshold")
> 
> 
> add.signal(strategy.st, name = "sigThreshold",
> arguments = list(column = "CNOwma4", threshold = 0.6,
> relationship = "lt", cross = TRUE),
> label = "shortthreshold")
> 
> 
> 
> 
> add.rule(strategy.st, name = "ruleSignal",
> arguments = list(sigcol = "longthreshold", sigval = TRUE,
> orderqty = "all", ordertype = "market",
> orderside = "long", replace = FALSE,
> prefer = "Open"),
> type = "enter")
> 
> 
> add.rule(strategy.st, name = "ruleSignal",
> arguments = list(sigcol = "shortthreshold", sigval = TRUE,
> orderqty = "all", ordertype = "market",
> orderside = "long", replace = FALSE,
> prefer = "Open"),
> type = "exit")
> 
> add.rule(strategy.st, name = "ruleSignal",
> arguments = list(sigcol = "shortthreshold", sigval = TRUE,
> orderqty = "all", ordertype = "market",
> orderside = "short", replace = FALSE,
> prefer = "Open"),
> type = "enter")
> 
> add.rule(strategy.st, name = "ruleSignal",
> arguments = list(sigcol = "longthreshold", sigval = TRUE,
> orderqty = "all", ordertype = "market",
> orderside = "short", replace = FALSE,
> prefer = "Open"),
> type = "exit")
> 
> 
> 
> out <- applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
> When I run the traceback() of the error, this is what I get:
> 
> > traceback()
> 4: stop("attempt to set 'colnames' on an object with less than two dimensions")
> 3: `colnames<-`(`*tmp*`, value = seq(ncol(tmp_val)))
> 2: applyIndicators(strategy = strategy, mktdata = mktdata, parameters = parameters, 
> ...)
> 1: applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
> 
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