[R-SIG-Finance] help with quantstrat

[cen six]

my guess is that your myRSI and myCCI functions probably need to explicitly
define the colnames 'rsif', ...

myRSI=function(x,nrsi=8,m=20){
    r=SMA(RSI(x,n=nrsi),n=m)
    colnames(r) <- 'rsif'
    return(r)
    }

Check if  the 'label=' argument is really being used to set column labels
in the "add.indicator" function definition ...


On Tue, Feb 3, 2015 at 11:43 AM, Olivier MARTIN <
Olivier.Martin at avignon.inra.fr> wrote:

> 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
>
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