[R-SIG-Finance] quantstrat example stragey error

Thu Mar 3 11:07:40 CET 2011

Hello,

works like a charm now. Thank's to all involved.

On 03/02/2011 08:56 PM, Brian G. Peterson wrote:
> Fixed in R-Forge svn r565.  Thanks for the report.
>
> Thanks also to Josh and Jeff for helping track it down.
>
> Regards,
>
>    - Brian
>
> On 03/02/2011 01:26 PM, Immanuel wrote:
>> Hello,
>>
>> since I'm talking about the demo examples that come with quantstrat
>> saw no point in attaching them. I assumed that the error comes
>> from one of the quantstrat internal functions thank's for looking 
>> into it.
>>
>> regards,
>> Immanuel
>>
>> here the error & code
>>
>> ----------
>> Loading required package: quantstrat
>> Loading required package: xts
>> Loading required package: zoo
>> Loading required package: TTR
>> Loading required package: blotter
>> Loading required package: quantmod
>> Loading required package: Defaults
>> Loading required package: FinancialInstrument
>> [1] "2007-03-15 AAPL 100 @ 89.57"
>> Error in if (getPosQty(Portfolio = portfolio, Symbol = symbol, Date =
>> timestamp) == :
>> argument is of length zero
>> In addition: There were 15 warnings (use warnings() to see them)
>> Time difference of 0.2658639 secs
>> [1] "trade blotter portfolio update:"
>> Time difference of 0.2728000 secs
>> Warning message:
>> In max(i) : no non-missing arguments to max; returning -Inf
>> > sessionInfo()
>> R version 2.12.0 (2010-10-15)
>> Platform: i486-pc-linux-gnu (32-bit)
>>
>> locale:
>> [1] LC_CTYPE=en_US.utf8 LC_NUMERIC=C
>> [3] LC_TIME=en_US.utf8 LC_COLLATE=en_US.utf8
>> [5] LC_MONETARY=en_US.utf8 LC_MESSAGES=en_US.utf8
>> [7] LC_PAPER=en_US.utf8 LC_NAME=en_US.utf8
>> [9] LC_ADDRESS=en_US.utf8 LC_TELEPHONE=en_US.utf8
>> [11] LC_MEASUREMENT=en_US.utf8 LC_IDENTIFICATION=en_US.utf8
>>
>> attached base packages:
>> [1] stats graphics grDevices utils datasets methods base
>>
>> other attached packages:
>> [1] quantstrat_0.4.0 blotter_0.8 FinancialInstrument_0.4
>> [4] quantmod_0.3-14 Defaults_1.1-1 TTR_0.20-2
>> [7] xts_0.8-0 zoo_1.6-3 rj_0.5.0-5
>>
>> loaded via a namespace (and not attached):
>> [1] grid_2.12.0 lattice_0.19-13 rJava_0.8-7 tools_2.12.0
>> ---------------------------------------
>>
>> # Simple MACD strategy
>> #
>> # MACD may be used in many ways, this will demonstrate a trend 
>> indicator.
>> #
>> # traditionally, when the MACD signal crosses zero, this indicated a
>> establishment of a positive trend
>> #
>> # we'll buy on positive treshold crossover of the 'signal' column, and
>> sell on negative threshold crossover
>> #
>> # Author: brian
>> ############################################################################### 
>>
>>
>>
>>
>> require(quantstrat)
>> try(rm("order_book.macd",pos=.strategy),silent=TRUE)
>> try(rm("account.macd","portfolio.macd",pos=.blotter),silent=TRUE)
>> try(rm("account.st","portfolio.st","stock.str","stratMACD","initDate","initEq",'start_t','end_t'),silent=TRUE) 
>>
>>
>>
>> stock.str='AAPL' # what are we trying it on
>>
>> #MA parameters for MACD
>> fastMA = 12
>> slowMA = 26
>> signalMA = 9
>> maType="EMA"
>>
>> currency('USD')
>> stock(stock.str,currency='USD',multiplier=1)
>>
>> #or use fake data
>> #stock.str='sample_matrix' # what are we trying it on
>> #data(sample_matrix) # data included in package xts
>> #sample_matrix<-as.xts(sample_matrix)
>>
>>
>> initDate='2006-12-31'
>> initEq=1000000
>> portfolio.st='macd'
>> account.st='macd'
>>
>> initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
>> initAcct(account.st,portfolios=portfolio.st, initDate=initDate)
>> initOrders(portfolio=portfolio.st,initDate=initDate)
>>
>>
>> stratMACD <- strategy(portfolio.st)
>>
>> stratMACD <- add.indicator(strategy = stratMACD, name = "MACD",
>> arguments = list(x=quote(Cl(mktdata))) )
>>
>> stratMACD <- add.signal(strategy =
>> stratMACD,name="sigThreshold",arguments =
>> list(column="signal",relationship="gt",threshold=0,cross=TRUE),label="signal.gt.zero") 
>>
>>
>> stratMACD <- add.signal(strategy =
>> stratMACD,name="sigThreshold",arguments =
>> list(column="signal",relationship="lt",threshold=0,cross=TRUE),label="signal.lt.zero") 
>>
>>
>>
>> stratMACD <- add.rule(strategy = stratMACD,name='ruleSignal', arguments
>> = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty=100,
>> ordertype='market', orderside='long', threshold=NULL),type='enter')
>> stratMACD <- add.rule(strategy = stratMACD,name='ruleSignal', arguments
>> = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty=-100,
>> ordertype='stoplimit', orderside='long',
>> threshold=.85,tmult=TRUE),type='risk')
>> # alternately, use a trailing order
>> # stratMACD <- add.rule(strategy = stratMACD,name='ruleSignal',
>> arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty=-100,
>> ordertype='stoptrailing', orderside='long',
>> threshold=.9,tmult=TRUE),type='risk')
>> stratMACD <- add.rule(strategy = stratMACD,name='ruleSignal', arguments
>> = list(sigcol="signal.lt.zero",sigval=TRUE, orderqty='all',
>> ordertype='market', orderside='long', threshold=NULL),type='exit')
>>
>> getSymbols(stock.str,from=initDate)
>> start_t<-Sys.time()
>> out<-try(applyStrategy(strategy=stratMACD ,
>> portfolios=portfolio.st,parameters=list(nFast=fastMA, nSlow=slowMA,
>> nSig=signalMA,maType=maType)))
>> end_t<-Sys.time()
>> print(end_t-start_t)
>>
>> start_t<-Sys.time()
>> updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep='')) 
>>
>>
>> end_t<-Sys.time()
>> print("trade blotter portfolio update:")
>> print(end_t-start_t)
>>
>> chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)
>> plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA,maType="EMA"))
>>
>> #look at the order book
>> getOrderBook('macd')
>>
>> ############################################################################### 
>>
>>
>> # R (http://r-project.org/) Quantitative Strategy Model Framework
>> #
>> # Copyright (c) 2009-2010
>> # Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and
>> Joshua Ulrich
>> #
>> # This library is distributed under the terms of the GNU Public License
>> (GPL)
>> # for full details see the file COPYING
>> #
>> # $Id: macd.R 450 2010-11-13 18:30:40Z braverock $
>> #
>> ############################################################################## 
>>
>>
>> -----------
>>
>>
>> On 03/02/2011 07:17 PM, Joshua Ulrich wrote:
>>> Have you tried converting the indexes of your xts objects to POSIXct?
>>> You haven't provided any code, but my guess is that one of xts objects
>>> you're using as input has a Date-classed index.
>>> -- 
>>> Joshua Ulrich | FOSS Trading: www.fosstrading.com
>>>
>>>
>>>
>>> On Tue, Mar 1, 2011 at 6:52 AM, Immanuel<mane.desk at googlemail.com> 
>>> wrote:
>>>> Hello,
>>>>
>>>> what are the implications of this error, is there a workaround?
>>>> I'm just starting with quantstrat and really like the idea to 
>>>> implement
>>>> strategies not directly with blotter anymore.
>>>>
>>>> regards,
>>>> Immanuel
>>>>
>>>> On 02/26/2011 09:48 PM, Jeffrey Ryan wrote:
>>>>> Yes, that isn't an xts issue - just happens to be taking place 
>>>>> during a
>>>>> subset.
>>>>>
>>>>> The issue is somewhere else
>>>>>
>>>>> 3: In `[.xts`(PosData, index(PosData)< Date) :
>>>>> Incompatible methods ("Ops.POSIXt", "Ops.Date") for "<"
>>>>> Time difference of 0.387223 secs
>>>>>
>>>>> The lhs [index(PosData)] is POSIX and the rhs is Date, which R can't
>>>>> compare
>>>>> correctly. The warning is happening - and probably resulting in all
>>>>> TRUE
>>>>> values - which isn't likely the desired outcome.
>>>>>
>>>>> I'm not looking at the code at the moment, but you can rule out xts.
>>>>> There
>>>>> are likely better ways to do this with xts, and I'll see what I can
>>>>> do to
>>>>> make the quantstrat code use more of the built-in xts functionality.
>>>>>
>>>>> Jeff
>>>>>
>>>>>
>>>>> On Sat, Feb 26, 2011 at 12:34 PM, Immanuel<mane.desk at googlemail.com>
>>>>> wrote:
>>>>>
>>>>>> hello,
>>>>>> seems to be already installed:
>>>>>> ----------
>>>>>> [1] "2001-06-26 AAPL 100 @ 11.88"
>>>>>> Error in if (getPosQty(Portfolio = portfolio, Symbol = symbol, 
>>>>>> Date =
>>>>>> timestamp) == :
>>>>>> argument is of length zero
>>>>>> In addition: Warning messages:
>>>>>> 1: In match.names(columns, colnames(data)) :
>>>>>> all columns not located in ma50 ma200 for AAPL.Open AAPL.High 
>>>>>> AAPL.Low
>>>>>> AAPL.Close AAPL.Volume AAPL.Adjusted ma50 ma200 ma50.gt.ma200
>>>>>> 2: In max(i) : no non-missing arguments to max; returning -Inf
>>>>>> 3: In `[.xts`(PosData, index(PosData)< Date) :
>>>>>> Incompatible methods ("Ops.POSIXt", "Ops.Date") for "<"
>>>>>> Time difference of 0.387223 secs
>>>>>> [1] "trade blotter portfolio update:"
>>>>>> Time difference of 0.7028229 secs
>>>>>> Warning message:
>>>>>> In max(i) : no non-missing arguments to max; returning -Inf
>>>>>>> sessionInfo()
>>>>>> R version 2.12.1 (2010-12-16)
>>>>>> Platform: i486-pc-linux-gnu (32-bit)
>>>>>>
>>>>>> locale:
>>>>>> [1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C
>>>>>> [3] LC_TIME=en_US.UTF-8 LC_COLLATE=en_US.UTF-8
>>>>>> [5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=en_US.UTF-8
>>>>>> [7] LC_PAPER=en_US.UTF-8 LC_NAME=en_US.UTF-8
>>>>>> [9] LC_ADDRESS=en_US.UTF-8 LC_TELEPHONE=en_US.UTF-8
>>>>>> [11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=en_US.UTF-8
>>>>>>
>>>>>> attached base packages:
>>>>>> [1] stats graphics grDevices utils datasets methods base
>>>>>>
>>>>>> other attached packages:
>>>>>> [1] quantstrat_0.4.0 blotter_0.8 FinancialInstrument_0.4
>>>>>> [4] quantmod_0.3-15 Defaults_1.1-1 TTR_0.20-2
>>>>>> [7] xts_0.8-0 zoo_1.6-4 rj_0.5.0-5
>>>>>>
>>>>>> loaded via a namespace (and not attached):
>>>>>> [1] grid_2.12.1 lattice_0.19-17 rJava_0.8-7 tools_2.12.1
>>>>>> ------------------
>>>>>>
>>>>>> On 02/26/2011 06:07 PM, Brian G. Peterson wrote:
>>>>>>> On 02/26/2011 11:03 AM, Immanuel wrote:
>>>>>>>> I just run the examples from the quantstrat package and
>>>>>>>> received following error for every example:
>>>>>>>> ----------
>>>>>>> <...>
>>>>>>>
>>>>>>>> 2: In `[.xts`(PosData, index(PosData)< Date) :
>>>>>>>> Incompatible methods ("Ops.POSIXt", "Ops.Date") for "<"
>>>>>>>> any ideas?
>>>>>>> Try upgrading xts to the latest version (0.8) from R-Forge or CRAN
>>>>>>>
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R 
> questions should go.
>