[R-SIG-Finance] Custom Indicator Problem

[Atakan Okan]

Just remembered that Outlook sent emails in HTML format, so here is the problem in plain text format in case you couldn't see it before. Still couldn't find a way to make this work. 


From: Atakan Okan <atakanokan at outlook.com>
Sent: Wednesday, February 15, 2017 11:54 AM
To: r-sig-finance at r-project.org
Subject: Custom Indicator Problem
  

Hi everyone,

I am facing a problem regarding a higher-time-frame custom indicator. I have daily yahoo finance data but would like to use the technical indicator MACD on weekly close data. I have written a custom function as I have seen in a previous post some years ago  but couldn't manage to add the weekly indicator output to mktdata. Any help is appreciated, thank you

Reproducible example:



#Custom Indicator Problem


library(quantmod)
library(quantstrat)
library(TTR)


Sys.setenv(TZ = "UTC")                            


.strategy <- new.env()
.blotter  <- new.env()                             


getSymbols("GARAN.IS")




#Stock
symbol.name = "GARAN.IS"                                        
tick.size = 0.01                                             
currency('TRY')
stock(symbol.name, currency="TRY", multiplier=1,tick_size= tick.size)


initialEquity = 1000                                        
port.acct.currency <- "TRY"


strategy.st <- 'Custom_Prob'

rm.strat(strategy.st)                                                      


initDate = as.character(as.Date(index(GARAN.IS[1])-1))                    
initPortf(strategy.st, symbol.name, initDate=initDate, currency = port.acct.currency)
initAcct(strategy.st, portfolios=strategy.st, initDate=initDate, 
         initEq=initialEquity, currency = port.acct.currency)
initOrders(portfolio=strategy.st,initDate=initDate)                          
strategy(strategy.st,store=TRUE)
summary(getStrategy(strategy.st))                                            


#MACD W1 indicator
MACD_W1 <- function(mktdata=quote(mktdata),
                    nFast = 12,
                    nSlow = 26,
                    nSig = 9){
  y <- GARAN.IS
  is.xts(y)
  y <- to.weekly(y)
  y <- Cl(y)
  y <- MACD(y,
            nFast = nFast,
            nSlow = nSlow,
            nSig = nSig,
            maType = "EMA")
  y <- cbind(mktdata, y[paste(first(index(mktdata)),
                              last(index(mktdata)), 
                              sep = "/")])
  y <- y[-which(is.na(y[,1])),]
  y <- na.locf(y)
  y <- y[,c((ncol(y)-1),ncol(y))]
  y
} 


add.indicator(strategy.st,  
              name = "MACD", 
              arguments = list(x=Cl(GARAN.IS)), 
              label='macd') 


add.indicator(strategy.st,
              name = "MACD_W1",
              arguments = list(mktdata=quote(mktdata)))




apply.indicators.df <- applyIndicators(strategy.st, mktdata=GARAN.IS)    #testing indicator calculations




-Atakan Okan