[R-SIG-Finance] Cant get this Quantstrat going,

[gussinsky]

Hello All,

#simple Long only Strategie basierend auf CCI Threshhold Entry und Exit

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suppressWarnings(rm("order_book.RSI", pos=.strategy))
suppressWarnings(rm("account.RSI", "portfolio.RSI", pos=.blotter))
suppressWarnings(rm("account.st", "portfolio.st", "stock.str", "initDate",
"initEq", 'start_t', 'end_t'))

require(quantstrat)

#Define Instrument

x = "HO"
symbol = getSymbols(x, src='tblox')
names(HO) = c("Open", "High", "Low", "Close", "Volume", "OpenInterest",
"Month", "Else")

#Define Start Date

initDate = '2004-01-01'

#Define equity

initEq = 100000


#Strategy

stratCCI = strategy("CCI")


#Portfolio

port.st = 'CCI'
initPortf(port.st, symbols=symbol, initDate=initDate)

#Account

initAcct(port.st, portfolios=port.st, initDate=initDate)

#Orders

initOrders(portfolio=port.st, initDate=initDate)

#Indicator 

stratCCI = add.indicator(strategy = stratCCI, name = "CCI", arguments =
list(price = quote(getPrice(mktdata))), label="CCI")

#s
# CCI >  -100, relation gt= greater than, 
stratCCI = add.signal(strategy=stratCCI, name="sigCCI", arguments =
list(threshold=-100, column="CCI", relationship="gt", cross=TRUE),
label="CCI.gt.-100")
#CCI < 100, relation lt= lower than,
stratCCI = add.signal(strategy=stratCCI, name="sigCCI", arguments =
list(threshold=100, solumn="CCI", relationship="lt", cross=TRUE),
label="CCI.lt.100")

#RTrading Rules

stratCCI = add.rule(strategy=stratCCI, name='ruleSignal', arguments =
list(sigcol="CCI.gt.-100", sigval=TRUE, orderqty=1000, ordertype='market',
orderside='long', pricemethod='market', replace=FALSE), type='enter',
path.dep=TRUE)

stratCCI = add.rule(strategy=stratCCI, name='ruleSignal', arguments =
list(sigcol="CCI.lt.100", sigval=TRUE, orderqty=-1000, ordertype='market',
orderside='short', pricemethod='market', replace=FALSE), type='exit',
path.dep=TRUE)


currency("USD")

start_t = Sys.time()

out = try(applyStrategy(strategy=stratCCI, portfolios=port.st,
parameters=list(n=2)))

end_t = Sys.time()

print(end_t-start_t)

chart.Posn(Portfolio=port.st, Symbol=symbol)


this is the error i get:


out = try(applyStrategy(strategy=stratCCI, portfolios=port.st,
parameters=list(n=2)))
Error in inherits(x, "xts") : argument "HLC" is missing, with no default
In addition: Warning message:
In applyIndicators(strategy = strategy, mktdata = mktdata, parameters =
parameters,  :
  some arguments stored for CCI do not match


What could the problem be here?

Best


Sven



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