[R-SIG-Finance] quantstrat and nonstandard column names in the price series

Vladimir Egorin vegorin at yahoo.com
Wed Feb 9 22:19:21 CET 2011


thank you very much for your kind help with this, everything is clear now.


----- Original Message ----
From: Brian G. Peterson <brian at braverock.com>
To: r-sig-finance at r-project.org
Sent: Wed, February 9, 2011 2:33:47 PM
Subject: Re: [R-SIG-Finance] quantstrat and nonstandard column names in the 
price series

On 02/09/2011 01:08 PM, Vladimir Egorin wrote:
> Here is a hopefully small standalone example (a hacked script from one of the
> demos.).
> Running it produces an error:
> [1] "setup completed"
> Error in .xts(e, .index(e1), .indexCLASS = indexClass(e1), .indexFORMAT =
> indexFormat(e1),  :
>    index length must match number of observations

There were a few problems with your example.  A corrected version is attached.

The first and most serious was that you were doing this in the add.rule 

data=quote(getPrice(mktdata, prefer='FV'))

This basically took your signal columns *out* of the data object, returning only 
the price column.  That would never work, as there is no column for ruleSignal 
to match on.

The prefer='FV' argument belongs more reasonably in ... in applyStrategy.  I 
also placed it in the arguments= list for ruleSignal in add.rule, for clarity, 
but it shouldn't be strictly necessary there.

A second, and more minor error, is in the construction of your index.

You used POSIXct for daily data, which creates problems even after fixing the 
data object in the calls to ruleSignal.  I modified your construction to use 
as.Date for the index, so that the periodicity checks and handling will work 
properly inside quantstrat.

With these changes, your example works, and generates trades.

> out<-try(applyStrategy(strategy=stratRSI , portfolios=port.st, 
>parameters=list(n=2), prefer='FV' ) )
[1] "2011-01-07 FV -1000 @ 117.9922"
[1] "2011-01-13 FV 1000 @ 118.2734"
[1] "2011-01-13 FV -1000 @ 118.2734"
[1] "2011-01-19 FV 1000 @ 118.2344"
[1] "2011-01-19 FV -1000 @ 118.2344"
[1] "2011-01-20 FV 1000 @ 117.6562"
[1] "2011-01-20 FV 1000 @ 117.6562"
[1] "2011-01-25 FV -1000 @ 118.2422"
[1] "2011-01-25 FV -1000 @ 118.2422"
[1] "2011-01-27 FV 1000 @ 118.2891"
[1] "2011-01-27 FV -1000 @ 118.2891"
[1] "2011-02-01 FV 1000 @ 118.0703"
[1] "2011-02-01 FV 1000 @ 118.0703"

examine the 'out' variable to see what gets added at each step of indicators and 
signals, and the order book to see the orders generated from the signals.

> In general, how would you specify the name of the underlying when
> adding rules, in case, for example, the signal is on the underlying X
> and the order is on underlying Y.

In strategies like this, you'd probably be writing custom indicator and/or 
signal functions that took parameters such as Prod1, Prod2 and knew the 
structure of your data, such as columns named for Prod1 and Prod2.

The standard functions are there to provide for common, simple, strategies, but 
for proprietary indicators you'll still need proprietary functions. ;)


  - Brian

-- Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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