[R-SIG-Finance] portfolios vs strategies in quantstrat

[Brian G. Peterson]

I can't replicate your error. The demos all work for me.  Also, it
shouldn't matter for anything other than applyParameters (which is the
only place I made changes to fix the issue you described).

Have you checked to make sure you're using current versions of xts,
FinancialInstrument, and blotter?  (though the error you report is from
inside applyRules in quantstrat).

Regards,

  - Brian

On Mon, 2012-02-27 at 16:58 +0100, Faber Castell wrote:
> Thanks a lot Brian.
> 
> I just tried to SVN the latest commits of
> Blotter/Quantstrat/FinancialInstrument/RTAQ. I managed to check, build and
> install them fine under Windows 7 in order to give a try at your patch 945.
> That was actually my first try at building a package.
> 
> However, I am now unable to run the macd demo :
> 
> out<-try(applyStrategy(strategy=stratMACD ,
> portfolios=portfolio.st,parameters=list(nFast=fastMA,
> nSlow=slowMA, nSig=signalMA,maType=maType)))
> 
> *Error in if (!is.na(timestamp) && !is.na(data[timestamp][, sigcol]) &&  : *
> *  missing value where TRUE / FALSE is required*
> 
> 
> I have the same issue with the bband demo. As I said, it is my first
> attempt at building packages, it is very possible I did something wrong
> there, although the only warning was :
> 
> cygwin warning:
>   MS-DOS style path detected:
> G:/ANALYSE/Sam/blotter/blotter/pkg/blotter_0.8.4.t
> ar.gz
>   Preferred POSIX equivalent is:
> /cygdrive/g/ANALYSE/Sam/blotter/blotter/pkg/blo
> tter_0.8.4.tar.gz
>   CYGWIN environment variable option "nodosfilewarning" turns off this
> warning.
>   Consult the user's guide for more details about POSIX paths:
>     http://cygwin.com/cygwin-ug-net/using.html#using-pathnames
> 
> 
> Regards,
> Charles
> 
> 
> 
> 
> On Fri, Feb 24, 2012 at 6:45 PM, Brian G. Peterson <brian at braverock.com>wrote:
> 
> > Sorry about that.  THis dropped off my priority list (or never made it
> > on).  Patched in SVN r945 of quantstrat file parameters.R
> >
> > Regards,
> >
> >   - Brian
> >
> > On Fri, 2012-02-24 at 17:52 +0100, Faber Castell wrote:
> > > By any chance, does anyone of you manages to run applyParameter demos ?
> > > I checked the latest packages available by svn but I have the error
> > "Error
> > > in as.list(.instrument) : object '.instrument' cannot be found"
> > mentionned
> > > below.
> > >
> > > Samuel
> > >
> > > On Thu, Jan 19, 2012 at 11:38 PM, Brian G. Peterson <brian at braverock.com
> > >wrote:
> > >
> > > > On Thu, 2012-01-19 at 17:09 +0100, Faber Castell wrote:
> > > > > I am struggling with both demos 'parameterTest' and
> > 'parameterTestMACD'.
> > > > Do
> > > > > you manage to run them ? I did run 'bbands' and 'macd' as asked in
> > > > comments.
> > > >
> > > > > Error in as.list(.instrument) : object '.instrument' cannot be found
> > > >
> > > > The .instrument environment was recently moved out of the .GlobalEnv
> > and
> > > > into the FinancialInstrument namespace. (any FinancialInstrument
> > version
> > > > newer than 0.10 has this change)
> > > >
> > > > Looks like we missed the change here.
> > > >
> > > > I'll take a look at the parameter code in quantstrat tomorrow and
> > patch.
> > > > Thanks for the report.
> > > >
> > > > Regards,
> > > >
> > > >    - Brian
> > > >
> > > > --
> > > > Brian G. Peterson
> > > > http://braverock.com/brian/
> > > > Ph: 773-459-4973
> > > > IM: bgpbraverock
> > > >
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> > --
> > Brian G. Peterson
> > http://braverock.com/brian/
> > Ph: 773-459-4973
> > IM: bgpbraverock
> >
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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock