[R-SIG-Finance] help with quantstrat

[Olivier MARTIN]

Hi all,

I try to program a simple strategy to learn with the package quantstrat.
Hereafter is the program, and the message I obtained when I applyed the 
strategy

Error in eval(expr, envir, enclos) : objet 'rsif' introuvable
Erreur dans `colnames<-`(`*tmp*`, value = seq(ncol(tmp_val))) :
   attempt to set 'colnames' on an object with less than two dimensions


Could you explain me what is wrong ?
Regards,
Olivier.



#-------------------------
currency("EUR")
Sys.setenv(TZ="UTC")
getSymbols('ACA.PA')
stock("ACA.PA",currency="EUR")

# system settings
initDate <- '2007-01-01'
endDate <-  '2014-12-30'
initEq <- 1

#strategy
mystrat <- "gg"
rm.strat(mystrat) # remove strategy
initPortf(mystrat,'ACA.PA', initDate=initDate)
initAcct(mystrat,portfolios=mystrat, initDate=initDate, initEq=initEq)
# initialize orders container
initOrders(portfolio=mystrat,initDate=initDate)
# instantiate a new strategy object
strategy(mystrat,store=TRUE)


myRSI=function(x,nrsi=8,m=20){
     r=SMA(RSI(x,n=nrsi),n=m)
     return(r)
     }
myCCI=function(x,ncci=8,m=20){
     r=SMA(CCI(x,n=ncci),n=m)
     return(r)
     }

#indicatros
mystrat=add.indicator(strategy =mystrat, name = "myRSI",arguments = 
list(x =quote(Cl(mktdata)),nrsi=8 ,m=20), label="rsif")
mystrat=add.indicator(strategy =mystrat, name = "myRSI",arguments = 
list(x =quote(Cl(mktdata)),nrsi=14,m=20), label="rsis")
mystrat=add.indicator(strategy =mystrat, name = "myCCI",arguments = 
list(x =quote(Cl(mktdata)),ncci=8 ,m=20), label="ccif")
mystrat=add.indicator(strategy =mystrat, name = "myCCI",arguments = 
list(x =quote(Cl(mktdata)),ncci=14,m=20), label="ccis")

#signals
mystrat=add.signal(mystrat,name="sigFormula",arguments = 
list(columns=c("rsif","rsis","ccif","ccis"),formula="rsif>rsis & 
ccif>ccis",cross=TRUE), label="up")
mystrat=add.signal(mystrat,name="sigFormula",arguments = 
list(columns=c("rsif","rsis","ccif","ccis"),formula="rsif<rsis & 
ccif<ccis",cross=TRUE), label="dn")
mystrat=add.signal(mystrat,name="sigFormula",arguments = 
list(columns=c("rsif","rsis","ccif","ccis"),formula="!(rsif>rsis & 
ccif>ccis ) | !(rsif<rsis & ccif<ccis)",cross=TRUE), label="ex")

# position rules
mystrat=add.rule(mystrat, name="ruleSignal",arguments = 
list(sigcol="up", sigval=TRUE, orderqty=1,ordertype='market', 
orderside='long'), type='enter')
mystrat=add.rule(mystrat, name="ruleSignal",arguments = 
list(sigcol="ex", sigval=TRUE, orderqty='all',ordertype='market', 
orderside='long'), type='exit')
mystrat=add.rule(mystrat, name="ruleSignal",arguments = 
list(sigcol="dn", sigval=TRUE, orderqty=1,ordertype='market', 
orderside='short'), type='enter')
mystrat=add.rule(mystrat, name="ruleSignal",arguments = 
list(sigcol="ex", sigval=TRUE, orderqty='all',ordertype='market', 
orderside='short'), type='exit')

## apply strategy
applyStrategy(strategy=mystrat , portfolios=mystrat)


This is the message I obtain :

Error in eval(expr, envir, enclos) : objet 'rsif' introuvable
Erreur dans `colnames<-`(`*tmp*`, value = seq(ncol(tmp_val))) :
   attempt to set 'colnames' on an object with less than two dimensions