[R-SIG-Finance] quartstrat applyStrategy error when starting one month earlier (endDate not found)
Joshua Ulrich
josh.m.ulrich at gmail.com
Sat Mar 12 23:43:15 CET 2016
Hi Roger,
I don't get an error using either data object. Ensure you have the
latest quantstrat and blotter from R-Forge and try running the example
in the email again. If you still get an error, please provide the
output from traceback() and sessionInfo().
Best,
Josh
On Fri, Feb 26, 2016 at 11:28 AM, Bos, Roger <roger.bos at rothschild.com> wrote:
> Dear all quantstrat users,
>
> I am trying to learn how to use quantstrat with pricing data read in from a csv file using getSymbols(symbols, src='csv'). I think I have that part working, but I am having a problem that I cannot debug myself. The following code is from the faber_rebal demo. To make it reproducible I have used dput() to generate a truncated version of the csv pricing data for my example symbol G12 (actually XLF). I have truncated the data to make it easier to post this message. The first version of G12 does not work and the second version does. The only difference is the starting point. If the G12 data starts in 1/31/1999 the code works fine, but if the G12 data starts in 12/31/1998 the code gives an error in applyStrategy.rebalancing:
>
>> out<-applyStrategy.rebalancing(strategy='faber' , portfolios='faber')
> Error in if (is.na(endDate)) endDate <- NULL : argument is of length zero
>
> Thanks in advance for any advice on this, Roger
>
>
> # Not Working (starting at 12/31/1998)
> G12 <- structure(c(23.4375, 23.84375, 24.21875, 24.9375, 26.6875, 25.078125,
> 26.09375, 24.5, 23.421875, 22.125, 25.5625, 24.4375, 23.765625,
> 23.0625, 20.59375, 24.265625, 24.5, 25.046875, 23.75, 25.984375,
> 28.46875, 29, 28.75, 27.28125, 29.5, 23.8125, 25.0625, 24.875,
> 26.3125, 29.28125, 27.28125, 26.3125, 26.84375, 25.796875, 24.25,
> 26.15625, 26.78125, 25.40625, 24.078125, 23.234375, 25.1875,
> 25.796875, 25.1875, 27.15625, 26.34375, 28.625, 29.625, 29.625,
> 29.21875, 30.0625, 23.21875, 22.71875, 22.0625, 24.015625, 24.75,
> 24.375, 24.15625, 24.46875, 22.65625, 21.5, 20.875, 24.03125,
> 22.71875, 21.46875, 19.65625, 19.46875, 22.125, 22.65625, 23.40625,
> 23.5625, 25.875, 27.125, 24.875, 25.75, 26.71875, 23.4375, 23.84375,
> 24.21875, 24.9375, 26.6875, 25.078125, 26.09375, 24.5, 23.421875,
> 22.125, 25.5625, 24.4375, 23.765625, 23.0625, 20.59375, 24.265625,
> 24.5, 25.046875, 23.75, 25.984375, 28.46875, 29, 28.75, 27.28125,
> 29.5, 447800, 2057500, 2334300, 3122300, 2662900, 3307500, 2091900,
> 2333800, 3945700, 5653600, 9955200, 5993600, 14715300, 8663400,
> 8425500, 15117400, 8647800, 5391700, 9438800, 4609900, 4224100,
> 9112300, 18210900, 17317600, 21173200, 23.4375, 23.84375, 24.21875,
> 24.9375, 26.6875, 25.078125, 26.09375, 24.5, 23.421875, 22.125,
> 25.5625, 24.4375, 23.765625, 23.0625, 20.59375, 24.265625, 24.5,
> 25.046875, 23.75, 25.984375, 28.46875, 29, 28.75, 27.28125, 29.5),
> .Dim = c(25L, 6L), .Dimnames = list(NULL, c("G12.Open", "G12.High",
> "G12.Low", "G12.Close", "G12.Volume", "G12.Adjusted")), index = structure(c(915062400,
> 917740800, 920160000, 922838400, 925430400, 928108800, 930700800,
> 933379200, 936057600, 938649600, 941328000, 943920000, 946598400,
> 949276800, 951782400, 954460800, 957052800, 959731200, 962323200,
> 965001600, 967680000, 970272000, 972950400, 975542400, 978220800
> ), tclass = "Date"), tclass = "Date", tzone = "UTC", src = "csv", updated = structure(1456505311.48799, class = c("POSIXct",
> "POSIXt")), .indexCLASS = "Date", .indexTZ = "UTC", .indexFORMAT = "%Y-%m-%d", class = c("xts","zoo"))
>
>
> # Working (starting at 1/31/1999)
> G12 <- structure(c(23.84375, 24.21875, 24.9375, 26.6875, 25.078125,
> 26.09375, 24.5, 23.421875, 22.125, 25.5625, 24.4375, 23.765625,
> 23.0625, 20.59375, 24.265625, 24.5, 25.046875, 23.75, 25.984375,
> 28.46875, 29, 28.75, 27.28125, 29.5, 25.0625, 24.875, 26.3125,
> 29.28125, 27.28125, 26.3125, 26.84375, 25.796875, 24.25, 26.15625,
> 26.78125, 25.40625, 24.078125, 23.234375, 25.1875, 25.796875,
> 25.1875, 27.15625, 26.34375, 28.625, 29.625, 29.625, 29.21875,
> 30.0625, 22.71875, 22.0625, 24.015625, 24.75, 24.375, 24.15625,
> 24.46875, 22.65625, 21.5, 20.875, 24.03125, 22.71875, 21.46875,
> 19.65625, 19.46875, 22.125, 22.65625, 23.40625, 23.5625, 25.875,
> 27.125, 24.875, 25.75, 26.71875, 23.84375, 24.21875, 24.9375,
> 26.6875, 25.078125, 26.09375, 24.5, 23.421875, 22.125, 25.5625,
> 24.4375, 23.765625, 23.0625, 20.59375, 24.265625, 24.5, 25.046875,
> 23.75, 25.984375, 28.46875, 29, 28.75, 27.28125, 29.5, 2057500,
> 2334300, 3122300, 2662900, 3307500, 2091900, 2333800, 3945700,
> 5653600, 9955200, 5993600, 14715300, 8663400, 8425500, 15117400,
> 8647800, 5391700, 9438800, 4609900, 4224100, 9112300, 18210900,
> 17317600, 21173200, 23.84375, 24.21875, 24.9375, 26.6875, 25.078125,
> 26.09375, 24.5, 23.421875, 22.125, 25.5625, 24.4375, 23.765625,
> 23.0625, 20.59375, 24.265625, 24.5, 25.046875, 23.75, 25.984375,
> 28.46875, 29, 28.75, 27.28125, 29.5), .Dim = c(24L, 6L), .Dimnames = list(
> NULL, c("G12.Open", "G12.High", "G12.Low", "G12.Close", "G12.Volume",
> "G12.Adjusted")), index = structure(c(917740800, 920160000,
> 922838400, 925430400, 928108800, 930700800, 933379200, 936057600,
> 938649600, 941328000, 943920000, 946598400, 949276800, 951782400,
> 954460800, 957052800, 959731200, 962323200, 965001600, 967680000,
> 970272000, 972950400, 975542400, 978220800), tclass = "Date"), tclass = "Date", tzone = "UTC", src = "csv",
> updated = structure(1456505447.82159, class = c("POSIXct",
> "POSIXt")), .indexCLASS = "Date", .indexTZ = "UTC", .indexFORMAT = "%Y-%m-%d", class = c("xts","zoo"))
>
>
>
> # Load required libraries
> require(quantstrat)
>
> #correct for TZ issues if they crop up
> oldtz <- Sys.getenv('TZ')
> if(oldtz=='') {
> Sys.setenv(TZ="UTC")
> }
>
> # Try to clean up in case the demo was run previously
> suppressWarnings(rm("account.faber","portfolio.faber",pos=.blotter))
> suppressWarnings(rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", "equity",
> "GSPC", "stratFaber", "startDate", "initEq", "Posn", "UnitSize", "verbose"))
> suppressWarnings(rm("order_book.faber",pos=.strategy))
>
> # Set initial values
> startDate='1997-12-31'
> initEq=100000
>
> # Set up instruments with FinancialInstruments package
> currency("USD")
> #symbols = c("XLF", "XLP", "XLE", "XLY", "XLV", "XLI", "XLB", "XLK", "XLU")
> symbols = c("G12")
> for(symbol in symbols){ # establish tradable instruments
> stock(symbol, currency="USD",multiplier=1)
> }
>
> # Load data with quantmod
> #getSymbols(symbols, src='yahoo', index.class=c("POSIXt","POSIXct"), from='1998-01-01')
> ### Download monthly data instead?
> ### GSPC=to.monthly(GSPC, indexAt='endof')
> #getSymbols(symbols, src='yahoo', index.class=c("POSIXt","POSIXct"), from='1999-01-01')
> #getSymbols(symbols, src='csv')
> for(symbol in symbols) {
> x<-get(symbol)
> x<-to.monthly(x,indexAt='lastof',drop.time=TRUE)
> indexFormat(x)<-'%Y-%m-%d'
> colnames(x)<-gsub("x",symbol,colnames(x))
> assign(symbol,x)
> }
>
> # Initialize portfolio and account
> initPortf('faber', symbols=symbols)
> initAcct('faber', portfolios='faber', initEq=100000)
> initOrders(portfolio='faber')
>
> # set intial position limits
> posval <- initEq/length(symbols)
> for(symbol in symbols){
> #pos <- round((posval/first(getPrice(get(symbol)))[,1]),-2)
> pos <- round((posval/first(getPrice(get(symbol)))),-2)
> addPosLimit('faber', symbol, startDate, maxpos=pos, minpos=-pos)
> }
> print("setup completed")
>
> # Initialize a strategy object
> strategy("faber", store=TRUE)
>
> # Add an indicator
> add.indicator('faber', name = "SMA", arguments = list(x = quote(Cl(mktdata)), n=10), label="SMA10")
>
> # There are two signals:
> # The first is when monthly price crosses over the 10-month SMA
> add.signal('faber',name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="gte"),label="Cl.gt.SMA")
> # The second is when the monthly price crosses under the 10-month SMA
> add.signal('faber',name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="lt"),label="Cl.lt.SMA")
>
> # There are two rules:
> # The first is to buy when the price crosses above the SMA
> add.rule('faber', name='ruleSignal', arguments = list(sigcol="Cl.gt.SMA", sigval=TRUE, orderqty=100000, osFUN='osMaxPos', ordertype='market', orderside='long', pricemethod='market',TxnFees=-5), type='enter', path.dep=TRUE)
> # The second is to sell when the price crosses below the SMA
> add.rule('faber', name='ruleSignal', arguments = list(sigcol="Cl.lt.SMA", sigval=TRUE, orderqty='all', ordertype='market', orderside='long', pricemethod='market',TxnFees=-5), type='exit', path.dep=TRUE)
>
> # add quaterly rebalancing
> add.rule('faber', 'rulePctEquity',
> arguments=list(rebalance_on='quarters',
> trade.percent=1/length(symbols),
> refprice=quote(last(getPrice(mktdata)[paste('::',as.character(curIndex),sep='')][,1])),
> digits=0
> ),
> type='rebalance',
> label='rebalance'
> )
>
> # Process the strategy and generate trades
> start_t<-Sys.time()
> out<-applyStrategy.rebalancing(strategy='faber' , portfolios='faber')
> end_t<-Sys.time()
> print("Strategy Loop:")
> print(end_t-start_t)
>
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--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
R/Finance 2016 | www.rinfinance.com
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