[R-SIG-Finance] Trying to add custom indicators to chart.Posn

[Joshua Ulrich]

On Sat, Sep 28, 2013 at 8:49 PM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
> So my question is this: I'm running a trading strategy in quantstrat with
> custom indicators (replicating the ichimoku system, for those that have
> heard of it), and I'd like to get a visual bead on the system by overlaying
> my custom indicators directly on top of the position chart.
>
> My data is QQQ from the start of 2007 to the end of August of 2013.
>
> Here's my indicator code:
>
> minAndMax <- function(twoNums) {
>   ret <- c(min(twoNums), max(twoNums))
>   return(ret)
> }
>
No need to re-write the range function...

> # for those that find the terminology weird, here's a basic rundown
> # tenkanSen is similar to a fast SMA, except instead,
> # it's the mean of the highest high and lowest low of the past nFast periods
> # kijunSen is the same as above, except at nMed frequency
> # senkou A is the average of the two above, projected nMed periods ahead
> (lag nMed)
> # senkou B is similar to the first two, except at an nSlow frequency,
> # also projected nMed periods ahead
> # Chicou span in the original system is the current close projected nMed
> terms into the past
> # however, with computers, I instead opted to move the past nMed terms
> forward.
> ichimoku <- function(HLC, nFast=9, nMed=26, nSlow=52) {
>   tenkanSen <- (runMax(Hi(HLC), nFast) + runMin(Lo(HLC), nFast))/2
>   kijunSen <- (runMax(Hi(HLC), nMed) + runMin(Lo(HLC), nMed))/2
>   senkouA <- lag(((tenkanSen+kijunSen)/2), nMed)
>   senkouB <- lag((runMax(Hi(HLC), nSlow) + runMin(Lo(HLC), nSlow))/2, nMed)
>   modChicouClose <- lag(Cl(HLC), nMed)
>   modChicouHi <- lag(Hi(HLC),nMed)
>   modChicouLo <- lag(Lo(HLC),nMed)
>   kumoMinMax <- apply(cbind(senkouA,senkouB),1,minAndMax)
>   indicators <- cbind(tenkanSen, kijunSen, senkouA, senkouB,
> modChicouClose,
>                       modChicouHi, modChicouLo, t(kumoMinMax))
>   colnames(indicators) <-
> c("tenkanSen","kijunSen","senkouA","senkouB","modChicouClose",
>                             "modChicouHi","modChicouLo","kumoMin","kumoMax")
>   reclass(indicators, HLC)
> }
>
> However, when I try to do this: (one of my instruments is QQQ), I get the
> following error:
>
> plot(add_TA(ichimoku(QQQ)))
> Error in `[.xts`(x, is.finite(x <- as.numeric(x))) :
>   'i' or 'j' out of range
>
It looks like add_TA doesn't like multi-column objects.  That's easily
avoided by calling it for each column in a loop:

ind <- ichimoku(QQQ))
chart.Posn("portfolioName", Symbol="QQQ")
for(i in 1:9) {
  plot(add_TA(ind[,i],on=1)
}

> And furthermore, the chart.Posn plot creates a new window for the new
> indicator, which sort of defeats the purpose of the entire point of
> plotting, as I took this exercise to try and replicate a "flesh-and-blood"
> technical trading strategy in quantstrat.
>
Use the "on=" argument, as I did above.

> So, any help would be much appreciated.
>
> Thanks so much.
>
> Sincerely,
>
> Ilya Kipnis
>

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com