[R-SIG-Finance] Optimizing Quanstrat MACD with apply.paramset returns combine error

[Ray Bao]

I am trying to test some trading strategies involving digital
currency. One such strategy involves MACD crossovers, but I would like
to optimize the nSlow & nFast parameters. Here's a reproducible
example (which runs):

###########################################################################################

library(httr)
library(plyr)
library(quantstrat)
library(PerformanceAnalytics)
library(IKTrading)  # install_github("IlyaKipnis/IKTrading")

poloniex.ohlc.30m <-
content(GET("https://poloniex.com/public?command=returnChartData&currencyPair=BTC_ETH&start=1439010600&end=9999999999&period=1800"))
 # https://poloniex.com/support/api/
ETHBTC.30m <- ldply(poloniex.ohlc.30m, data.frame)  # Convert OHLCV to
data.frame
ETHBTC.30m$date <- as.POSIXct(ETHBTC.30m$date, origin = "1970-01-01")

# Create 'xts' object:
ethbtc.30m.xts <- xts(ETHBTC.30m[, 2:8], order.by = ETHBTC.30m$date)
# is.OHLCV(ETHBTC.30m)

# Rebuild empty environments if RStudio's "Clear All" has been used:
if (!exists('.instrument')) .instrument <- new.env()
if (!exists('.blotter')) .blotter <- new.env()
if (!exists('.strategy')) .strategy <- new.env()

## Optional: Subset timeframe
ETHBTC <- ethbtc.30m.xts[,c("open", "high", "low", "close",
"volume")]["2016-02-01::"]

## Define instruments
currency(c('BTC', 'ETH'))  # ls_currencies()
exchange_rate('ETHBTC', currency = 'BTC', counter_currency = 'ETH',
tick_size = 0.00001)

initDate = '2016-02-01'
initBTC <- 100
initETH <- 0

portfolio.name <- "crypto"
account.name <- "poloniex"
strategy.name <- "accumulator"
symbols <- "ETHBTC"

## To rerun
rm.strat(portfolio.name)
rm.strat(account.name)
rm.strat(strategy.name)

## Initialize Portfolio, Account, and Orderbook
initPortf(name = portfolio.name, symbols = symbols, initPosQty = 0,
initDate = initDate, currency = "BTC")  # getPortfolio(portfolio.name)
initAcct(name = account.name, portfolios = portfolio.name, initDate =
initDate, initEq = 0, currency = "BTC")  # getAccount(account.name)
initOrders(portfolio = portfolio.name, symbols = symbols, initDate =
initDate)  # getOrderBook(portfolio.name)
strategy(strategy.name, store = TRUE)  # summary(getStrategy(strategy.name))

## Indicators
# Parameters
.nFast = 60 # 90
.nSlow = 130
.nSig = 45 # 75

add.indicator(strategy.name, name = "MACD", arguments =
list(x=quote(Cl(mktdata))), label=NULL)

## Signals
# See Also: applySignals add.indicator link{add.rule} sigComparison
sigCrossover sigFormula sigPeak sigThreshold
# MACD
add.signal(strategy.name, "sigCrossover",
           arguments = list(columns = c("macd.MACD.ind",
"signal.MACD.ind"), relationship = "gt"),
           label = 'longEntry')
add.signal(strategy.name, "sigCrossover",
           arguments = list(columns = c("signal.MACD.ind",
"macd.MACD.ind"), relationship = "gt"),
           label = 'signal.gt.macd')
add.signal(strategy.name, "sigThreshold",
           arguments = list(column = "macd.MACD.ind", threshold = 0,
relationship = "gte"),
           label = 'macd.gte.threshold')
add.signal(strategy.name, "sigAND",
           arguments=list(columns=c('signal.gt.macd',
'macd.gte.threshold'), cross=FALSE),
           label="longExit")

# Order sizing
osFixedDollar <- function(timestamp, orderqty, portfolio, symbol, ruletype, ...)
{
  ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
  orderqty <- round(tradeSize/ClosePrice,-2)
  return(orderqty)
}
tradeSize <- initBTC/2

## Rules
# Entry
add.rule(strategy.name,name='ruleSignal',
         arguments = list(sigcol="longEntry",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          osFUN='osFixedDollar'),
         type='enter',
         label='EnterLONG',
         storefun=FALSE)

# Exit
add.rule(strategy.name,name='ruleSignal',
         arguments = list(sigcol="longExit",
                          sigval=TRUE,
                          orderqty='all',
                          ordertype='market',
                          orderside='long',
                          osFUN='osFixedDollar'),
         type='exit',
         label='ExitLONG',
         storefun=FALSE)

## Run it
applyStrategy(strategy.name,
              portfolios=portfolio.name,
              parameters=list(nFast = .nFast, nSlow = .nSlow, nSig =
.nSig, maType = 'EMA'),
              verbose=TRUE)

updatePortf(Portfolio=portfolio.name,Dates=paste('::',as.Date(Sys.time()),sep=''))
updateAcct(account.name)
updateEndEq(account.name)

## Evaluate
t(tradeStats(portfolio.name))
getTxns(portfolio.name, Symbol = 'ETHBTC')
perTradeStats(portfolio.name, "ETHBTC")

chart.Posn(Portfolio=portfolio.name,Symbol=symbols, type = "line",
log.scale = T)
plot(add_Vo())
plot(add_MACD(fast=.nFast, slow=.nSlow, signal=.nSig,maType="EMA"))  #
nFast = 60, nSlow = 180, nSig = 40, maType = 'EMA'

###########################################################################################

The above runs perfectly-fine. However, I want to vary the nFast and
nSlow parameters to the MACD() function:

## Parameter distribution testing
add.distribution(strategy.name,
                 paramset.label = 'optEMA',
                 component.type = 'indicator',
                 component.label = 'nFast',
                 variable = list(nFast = 60:80),
                 label = 'NFAST')

add.distribution(strategy.name,
                 paramset.label = 'optEMA',
                 component.type = 'indicator',
                 component.label = 'nSlow',
                 variable = list(nFast = 180:200),
                 label = 'NSLOW')

library(doMC)
registerDoMC(cores=detectCores())

results <- apply.paramset(strategy.name, paramset.label = "optEMA",
portfolio=portfolio.name, account=account.name, nsamples=0)

###########################################################################################

This gives me the following error, which I'm not sure how to debug:

error calling combine function:
<simpleError in fun(result.1, result.2, result.3, result.4, result.5,
result.6, ... result.439, result.440, result.441): attempt to select
less than one element>

What am I doing wrong? FWIW, I am using Ubuntu 12.04/14.04. Any help
is much appreciated. Thanks!!

-- 
Ray Bao
T: 925.272.9226
M: 510.292.3438
iamraybao.com