[R-SIG-Finance] Error in Blotter's Longtrend Demo
Wolfgang Wu
wobwu22 at yahoo.de
Thu Mar 25 13:14:25 CET 2010
Ok. Here is another log of me trying to get through the demo. It seems like the first warnings are just there because the rm function can't find the objects. I then get another warning when trying to do a getsymbol. Does this help at all?
> require(TTR)
> require(blotter)
> try(rm("account.longtrend","portfolio.longtrend",pos=.blotter),silent=TRUE)
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
> try(rm("ltaccount","ltportfolio","ClosePrice","CurrentDate","equity","GSPC","i","initDate","initEq","Posn","UnitSize","verbose"),silent=TRUE)
There were 12 warnings (use warnings() to see them)
> warnings()
Warning messages:
1: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'ltaccount' not found
2: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'ltportfolio' not found
3: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'ClosePrice' not found
4: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'CurrentDate' not found
5: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'equity' not found
6: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'GSPC' not found
7: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'i' not found
8: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'initDate' not found
9: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'initEq' not found
10: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'Posn' not found
11: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'UnitSize' not found
12: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", ... :
object 'verbose' not found
> # Set initial values
> initDate='1997-12-31'
> initEq=100000
> print("Loading data")
[1] "Loading data"
> currency("USD")
> stock("GSPC",currency="USD",multiplier=1)
> getSymbols('^GSPC', src='yahoo', index.class=c("POSIXt","POSIXct"),from='1998-01-01')
[1] "GSPC"
Warning message:
In download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m, :
downloaded length 187356 != reported length 200
> GSPC=to.monthly(GSPC, indexAt='endof')
> print("Setting up indicators")
[1] "Setting up indicators"
> GSPC$SMA10m <- SMA(GSPC[,grep('Adj',colnames(GSPC))], 10)
> print("Initializing portfolio and account structure")
[1] "Initializing portfolio and account structure"
> ltportfolio='longtrend'
> ltaccount='longtrend'
> initPortf(ltportfolio,'GSPC', initDate=initDate)
[1] "longtrend"
> initAcct(ltaccount,portfolios='longtrend', initDate=initDate)
[1] "longtrend"
> verbose=TRUE
> i <- 10
> CurrentDate=time(GSPC)[i]
> cat(".")
.> equity = getEndEq(ltaccount, CurrentDate)
> ClosePrice = as.numeric(Ad(GSPC[i,]))
> Posn = getPosQty(ltportfolio, Symbol='GSPC', Date=CurrentDate)
> UnitSize = as.numeric(trunc(equity/ClosePrice))
> Posn
[1] 0
> as.numeric(Ad(GSPC[i,])) > as.numeric(GSPC[i,'SMA10m'])
[1] TRUE
> cat('\n')
> addTxn(ltportfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = UnitSize , TxnFees=0, verbose=verbose)
[1] "1998-10-30 GSPC 0 @ 1098.67"
> updatePortf(ltportfolio, Dates = CurrentDate)
Error: object 'ConMult' not found
Regards,
Wolfgang Wu
----- Ursprüngliche Mail ----
Von: Brian G. Peterson <brian at braverock.com>
An: r-sig-finance at stat.math.ethz.ch
Gesendet: Donnerstag, den 25. März 2010, 11:11:46 Uhr
Betreff: Re: [R-SIG-Finance] Error in Blotter's Longtrend Demo
I am unable to reproduce your error. Current SVN works fine for me on
two different machines, one of them only updated after your email.
If it is failing, I'm guessing it is happening earlier in the script.
Are there any warnings? The one I would expect is related to the
instrument definition.
If there is no instrument defined, blotter attempts to proceed forward
with a contract multiplier of 1.
It is possible that we have not made this assumption everywhere,
expectially in updatePosn or updateAcct. If there is a warning earlier
in the demo, that would confirm that this is where I need to look.
Regards,
- Brian
On 03/25/2010 03:37 AM, Wob Wu wrote:
> I am trying to reproduce the longtrend example in the current blotter package.
>
>
>> require('blotter')
>>
> Loading required package: blotter
> Loading required package: FinancialInstrument
>
>> demo('longtrend')
>>
> The demo breaks after the for loop with the error: object 'ConMult' not found.
> Is this a known issue or am I doing something wrong?
>
> I have compared my R settings with Brian's examples in http://ethos.braverock.com/brian/longtrend/sessioninfo.txt
> My xts and zoo package seem to be newer than the ones in the example settings. Is this causing the problem?
>
> Maybe someone can point me to the right direction.
>
> My current setup is the following:
>
>
>> R.version
>>
> _
> platform i386-pc-mingw32
> arch i386
> os mingw32
> system i386, mingw32
> status
> major 2
> minor 10.1
> year 2009
> month 12
> day 14
> svn rev 50720
> language R
> version.string R version 2.10.1 (2009-12-14)
>
>> sessionInfo()
>>
> R version 2.10.1 (2009-12-14)
> i386-pc-mingw32
>
> locale:
> [1] LC_COLLATE=English_United Kingdom.1252 LC_CTYPE=English_United Kingdom.1252 LC_MONETARY=English_United Kingdom.1252
> [4] LC_NUMERIC=C LC_TIME=English_United Kingdom.1252
>
> attached base packages:
> [1] stats graphics grDevices utils datasets methods base
>
> other attached packages:
> [1] PerformanceAnalytics_1.0.2 blotter_0.4 FinancialInstrument_0.0.2 quantmod_0.3-14 TTR_0.20-1
> [6] Defaults_1.1-1 xts_0.7-1 zoo_1.6-3
>
> loaded via a namespace (and not attached):
> [1] grid_2.10.1 lattice_0.18-3 tools_2.10.1
>
>
>
> And here is the code snippet of the demo('longtrend') that is breaking:
>
>
>> # Create trades
>> for( i in 10:NROW(GSPC) ) {
>>
> + # browser()
> + CurrentDate=time(GSPC)[i]
> + cat(".")
> + equity = getEndEq(ltaccount, CurrentDate)
> +
> + ClosePrice = as.numeric(Ad(GSPC[i,]))
> + Posn = getPosQty(ltportfolio, Symbol='GSPC', Date=CurrentDate)
> + UnitSize = as.numeric(trunc(equity/ClosePrice))
> +
> + # Position Entry (assume fill at close)
> + if( Posn == 0 ) {
> + # No position, so test to initiate Long position
> + if( as.numeric(Ad(GSPC[i,]))> as.numeric(GSPC[i,'SMA10m']) ) {
> + cat('\n')
> + # Store trade with blotter
> + addTxn(ltportfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = UnitSize , TxnFees=0, verbose=verbose)
> + }
> + } else {
> + # Have a position, so check exit
> + if( as.numeric(Ad(GSPC[i,]))< as.numeric(GSPC[i,'SMA10m'])) {
> + cat('\n')
> + # Store trade with blotter
> + addTxn(ltportfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0, verbose=verbose)
> + }
> + }
> +
> + # Calculate P&L and resulting equity with blotter
> + updatePortf(ltportfolio, Dates = CurrentDate)
> + updateAcct(ltaccount, Dates = CurrentDate)
> + updateEndEq(ltaccount, Dates = CurrentDate)
> + } # End dates loop
> .
> [1] "1998-10-30 GSPC 91 @ 1098.67"
> Error: object 'ConMult' not found
> In addition: There were 15 warnings (use warnings() to see them)
>
> Thanks for your help!
>
> Regards,
>
> Wolfgang Wu
>
>
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--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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