[R-SIG-Finance] using quantstrat with custom data

[Ilya Kipnis]

Hi Jon,

First off, check the parameters on your add.indicator call for your SMA
function.

Secondly, your data is only 37 observations long and you have a setting of
200.

Please fix these two issues.

-Ilya

On Mon, Oct 24, 2016 at 2:55 PM, Jon Golenbock <jongolenbock at gmail.com>
wrote:

> Hi folks,
>
> new to this mailing list and not very proficient with R in general yet, so
> apologies in advance.
>
> all of the demos I could see were using stock data pulled from
> yahoo/google, etc -- mine is coming from bloomberg. I did my best to
> replicate the type of object that getsymbols() seems to create.
>
> everything seems to be working alright until I actually get to
> applystrategy(), where I am getting an error that I imagine, while not
> particularly helpful to me, will be completely obvious to somebody with a
> bit more experience. the error i'm receiving is
>
> Error in n < 1 :
>   comparison (3) is possible only for atomic and list types
>
> code below. Any help is greatly appreciated and apologies for all the rules
> I am surely breaking, I'll plead first-timer on this one.
>
>
>
> library(quantstrat)
> library(quantmod)
> library(tidyverse)
>
>
> ts <- structure(list(times = structure(c(1477312980, 1477313580,
> 1477314180,
> 1477314780, 1477315380, 1477315980, 1477316580, 1477317180, 1477317780,
> 1477318380, 1477318980, 1477319580, 1477320180, 1477320780, 1477321380,
> 1477321980, 1477322580, 1477323180, 1477323780, 1477324380, 1477324980,
> 1477325580, 1477326180, 1477326780, 1477327380, 1477327980, 1477328580,
> 1477329180, 1477329780, 1477330380, 1477330980, 1477331580, 1477332180,
> 1477332780, 1477333380, 1477333980, 1477334580), class = c("POSIXct",
> "POSIXt"), tzone = "UTC"), NG1.Open = c(2.954, 2.93, 2.936, 2.947,
> 2.951, 2.941, 2.929, 2.924, 2.893, 2.871, 2.891, 2.892, 2.898,
> 2.89, 2.88, 2.872, 2.885, 2.884, 2.879, 2.876, 2.876, 2.859,
> 2.864, 2.878, 2.866, 2.886, 2.892, 2.889, 2.878, 2.861, 2.859,
> 2.851, 2.859, 2.84, 2.836, 2.844, 2.839), NG1.High = c(2.959,
> 2.937, 2.954, 2.96, 2.957, 2.941, 2.932, 2.926, 2.902, 2.893,
> 2.898, 2.9, 2.905, 2.893, 2.883, 2.885, 2.891, 2.889, 2.884,
> 2.877, 2.877, 2.867, 2.878, 2.881, 2.887, 2.897, 2.893, 2.891,
> 2.884, 2.865, 2.862, 2.861, 2.859, 2.843, 2.845, 2.845, 2.842
> ), NG1.Low = c(2.929, 2.916, 2.931, 2.946, 2.935, 2.924, 2.924,
> 2.886, 2.871, 2.852, 2.878, 2.889, 2.886, 2.87, 2.87, 2.866,
> 2.882, 2.875, 2.875, 2.871, 2.857, 2.848, 2.864, 2.863, 2.864,
> 2.884, 2.886, 2.878, 2.859, 2.851, 2.849, 2.849, 2.835, 2.829,
> 2.827, 2.836, 2.836), NG1.Close = c(2.93, 2.936, 2.947, 2.951,
> 2.94, 2.93, 2.924, 2.892, 2.871, 2.891, 2.892, 2.898, 2.89, 2.879,
> 2.872, 2.884, 2.884, 2.878, 2.876, 2.876, 2.859, 2.865, 2.878,
> 2.865, 2.886, 2.892, 2.888, 2.879, 2.862, 2.858, 2.851, 2.858,
> 2.839, 2.836, 2.844, 2.839, 2.842), NG1.Volume = c(2347, 4491,
> 2793, 1124, 1624, 1864, 1646, 6497, 3625, 5570, 2231, 1506, 2084,
> 3443, 1372, 1464, 931, 906, 557, 1266, 2047, 3021, 1206, 938,
> 1375, 1928, 582, 1203, 1810, 1309, 803, 1368, 3141, 2227, 9590,
> 1067, 128)), row.names = c(NA, -37L), class = "data.frame", .Names =
> c("times",
> "NG1.Open", "NG1.High", "NG1.Low", "NG1.Close", "NG1.Volume"))
>
> NG1 <- xts(ts[,-1],ts[,1])
>
>
> initDate <- Sys.Date()-1
> initEq <- 5000
> n <- 14
> nSMA <- 200
>
> currency("USD")
> Sys.setenv(TZ="UTC")
> symbols <- "NG1"
> stock(symbols, currency="USD", multiplier=1)
>
> strategy.st <- 'teststrat'
> portfolio.st <- 'teststrat'
> account.st <- 'teststrat'
> initPortf(portfolio.st, symbols = symbols, initDate=initDate,currency='
> USD')
> initAcct(account.st, portfolios=portfolio.st, initDate=initDate,
> initEq=initEq, currency='USD')
> initOrders(portfolio=portfolio.st, initDate=initDate)
>
>
>
> strategy(name = strategy.st,
>          store = TRUE)
>
>
>
>
>
>
>
> add.indicator(
>   strategy = strategy.st,
>   name = 'RSI',
>   arguments = list(price=quote(Cl(mktdata)),n=n),
>   label = "rsi")
>
> add.indicator(
>   strategy = strategy.st,
>   name = 'SMA',
>   arguments = list(x=quote(Cl(mktdata)),n=SMA),
>   label = 'sma'
> )
>
>
>
> add.rule(
>   strategy=strategy.st,
>   name='ruleSignal',
>   arguments=list(
>     sigcol='RSI_long',
>     sigval = TRUE,
>     orderside = 'long',
>     ordertype='market',
>     orderqty=1,
>     replace=FALSE
>   ),
>   type='enter',
>   label='Enterlong',
>   path.dep = TRUE
> )
>
> add.rule(
>   strategy=strategy.st,
>   name='ruleSignal',
>   arguments=list(
>     sigcol='RSI_short',
>     sigval = TRUE,
>     orderside = 'short',
>     ordertype='market',
>     orderqty=1,
>     replace=TRUE
>   ),
>   type='exit',
>   label='Exitlong',
>   path.dep = TRUE
>
> )
>
>
> t1<-Sys.time()
> out<-applyStrategy(strategy=strategy.st,portfolios = portfolio.st)
> t2<-Sys.time()
> print(t2-t1)
>
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>
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