[R-SIG-Finance] quantstrat - problems adding multiple indicators

[Brian G. Peterson]

This has been discussed on this list multiple times.

TTR is taking the column namees of your market data and appending the 
indicator.

so:

Cl(mktdata)

will return multiple columns after the first indicator has been applied.

you most likely want

quote(Cl(mktdata)[,1])

to get only the first column.

Brian

On 09/10/2014 12:00 PM, Mark Knecht wrote:
> Hi,
>     This started out as me essentially rewriting Guy Yollin's
> quantstrat3 demo over by hand as a learning exercise. That worked
> fine. I then wanted to add an addition moving average filter (50 day
> above 200 day) and figure out how to add indicators & write the
> signals, etc., to make that work. However I've gotten stuck. It seems
> I can add either the 50 day or the 200 day moving averages fine, but
> if I try to add both I get the following message when I run the
> attached code:
>
>> out<-applyStrategy("Test2" ,
> +                    portfolios="Port2",
> +                    verbose=TRUE)
> Error in `colnames<-`(`*tmp*`, value = c("SPY.Close.SMA.200",
> "SPY.Close.SMA.50.SMA.F.SMA.200" :
>    length of 'dimnames' [2] not equal to array extent
>
>     Can someone point out what I'm doing wrong in adding both of these
> indicators?
>
> Thanks,
> Mark
>
>
> library(quantstrat)
> StartData = "2000-01-01"
> EndData   = format(Sys.time(), "%Y-%m-%d")
> initDate = '2009-12-31'
> startDate = '2010-01-01'  # start of data
> endDate   =  '2013-07-31'   # end of data
> symbols   = c("SPY")
> Sys.setenv(TZ="UTC")       # set time zone
> initEq <- 1e6
> currency("USD")
> stock(symbols, currency="USD",multiplier=1)
>
> Filter.Fast = 50
> Filter.Slow = 200
>
> getSymbols(symbols, src='yahoo',
>             #            index.class=c("POSIXt","POSIXct"),
>             from=StartData, to=EndData, adjust=TRUE)
>
> SPY = round(SPY, 2)
>
> strategy("Test2", store=TRUE)
>
> add.indicator("Test2",
>                label='ind1',
>                name = "MACD",
>                arguments = list(x=quote(Cl(mktdata))
>                )
> )
>
> add.indicator("Test2",
>                label='SMA.F',
>                name = 'SMA',
>                arguments = list(x=quote(Cl(mktdata)),
>                                 n=Filter.Fast
>                )
> )
>
> add.indicator("Test2",
>                label='SMA.S',
>                name = 'SMA',
>                arguments = list(x=quote(Cl(mktdata)),
>                                 n=Filter.Slow
>                )
> )
>
> rm.strat("Port2")
> initPortf(name="Port2", symbols, initDate=initDate)
> initAcct(name="Port2", portfolios="Port2",
>           initDate=initDate, initEq=initEq)
> initOrders(portfolio="Port2", initDate=initDate)
>
> out<-applyStrategy("Test2" ,
>                     portfolios="Port2",
>                     verbose=TRUE)
>
> updatePortf("Port2")
> updateAcct("Port2")
> updateEndEq("Port2")