[R-SIG-Finance] quantstrat & custom indicators

[algotr8der]

Hi gsee,

Thank you kindly for spending the time to look at my code and making the
appropriate changes. The challenge for me is that I am new to
blotter/quantstrat and have only used R for the past 1.5 months. Thank you
all for you patience.

I just ran your new code and it generates the trades as I would expect based
on the rules. :)

I did get warnings after executing 'applyStrategy' on both the long and
short strategies (please see below). I don't know whether these warnings are
benign or serious in nature.

In any case I am now in a position to continue my research. 

I do think this strategy highlights use cases that could be beneficial for
users. Perhaps we can include the code for this strategy (or some variant
of) more formally as a demo in the documentation i.e. a long / short
portfolio strategy.


Warning messages:
1: In match.names(columns, colnames(data)) :
  all columns not located in Close ma10 for IBM.Open IBM.High IBM.Low
IBM.Close IBM.Volume IBM.Adjusted ma10 close.gt.ma10
2: In max(i) : no non-missing arguments to max; returning -Inf
3: In min(dindex[dindex > curIndex]) :
  no non-missing arguments to min; returning Inf
4: In match.names(columns, colnames(data)) :
  all columns not located in Close ma10 for UTX.Open UTX.High UTX.Low
UTX.Close UTX.Volume UTX.Adjusted ma10 close.gt.ma10
5: In max(i) : no non-missing arguments to max; returning -Inf
6: In min(dindex[dindex > curIndex]) :
  no non-missing arguments to min; returning Inf


Warning messages:
1: In match.names(columns, colnames(data)) :
  all columns not located in Close ma10 for CAT.Open CAT.High CAT.Low
CAT.Close CAT.Volume CAT.Adjusted ma10 close.gt.ma10
2: In max(i) : no non-missing arguments to max; returning -Inf
3: In min(dindex[dindex > curIndex]) :
  no non-missing arguments to min; returning Inf
4: In match.names(columns, colnames(data)) :
  all columns not located in Close ma10 for MSFT.Open MSFT.High MSFT.Low
MSFT.Close MSFT.Volume MSFT.Adjusted ma10 close.gt.ma10
5: In max(i) : no non-missing arguments to max; returning -Inf
6: In min(dindex[dindex > curIndex]) :
  no non-missing arguments to min; returning Inf


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