[R-SIG-Finance] Error when I run the strategy.

[Eduardo Romero López]

Hi all,

I am trying to run a strategy very simple.

if Cl() > DonchianChannel(Cl(x), n = xx)[,"mid"]
     Open "long"

Close Trailing Stop

but I do not get to do that strategy works. I get this error:

 > correr.estrategia <- applyStrategy(
+   strategy=objeto.estrategia,
+   portfolios=mi.estrategia
+ )
Error en function (x, xx)  : el argumento(s) no fue utilizado(s) (n = 30)
Además: Mensajes de aviso perdidos
In applyIndicators(strategy = strategy, mktdata = mktdata, parameters = 
parameters,  :
   some arguments stored for f.dc.mid do not match

I am using that code:

mi = as.xts(read.zoo("mini.ibex.csv",
                      sep="\t", format="%d/%m/%y", header=TRUE))
colnames(mi) <- c("Open", "High", "Low", "Close", "Volume")
tail(mi)

currency("USD")
stock("mi", currency='USD',multiplier=1)

mi.estrategia <- "nombre.estrategia"

initPortf(
   mi.estrategia,
   'mi',
   initDate='1997-12-31'
)

initAcct(
   mi.estrategia,
   portfolios=mi.estrategia,
   initDate='1997-12-31',
   initEq=1000
)

initOrders(
   portfolio = mi.estrategia,
   initDate='1997-12-31'
)

objeto.estrategia <- strategy(mi.estrategia, store=TRUE)

mid= 30
threshold=30
txnfees = -6
orderqty = 1000

summary(objeto.estrategia)

f.dc.mid <- function(x,xx){
   a<-DonchianChannel(Cl(x), n = xx)[,"mid"]
   return(a)
}

objeto.estrategia <- add.indicator(
   strategy = objeto.estrategia,
   name = "f.dc.mid",
   arguments = list(x = quote(Cl(mktdata)[,1]), n = mid),
   label="nmid"
)

summary(objeto.estrategia)

objeto.estrategia <- add.signal(
   objeto.estrategia,
   name='sigCrossover',
   arguments = list(columns=c("Close","nmid"),relationship="gt"),
   label='long'
)

summary(objeto.estrategia)

objeto.estrategia <- add.rule(
   objeto.estrategia,
   name='ruleSignal',
   arguments=list(
     sigcol='long',
     sigval=TRUE,
     orderside='long',
     ordertype='market',
     #prefer='High',
     threshold=NULL,
     orderqty= orderqty,
     replace=FALSE
   ),
   type='enter',
   label='EntradaLargo'
)
summary(objeto.estrategia)

objeto.estrategia <- add.rule(
   objeto.estrategia,
   name='ruleSignal',
   arguments = list(
     sigcol="long",
     sigval=TRUE,
     orderqty='all',
     ordertype='stoptrailing',
     orderside='short',
     threshold=-threshold,
     tmult=FALSE,
     orderset='exitTS'
   ),
   type='chain',
   parent='enter',
   label='trailingexit')

summary(objeto.estrategia)

correr.estrategia <- applyStrategy(
   strategy=objeto.estrategia,
   portfolios=mi.estrategia
)

if anyone can help me, thank very much.

Eduardo,