Thank you Soren and Brian. Explicitly renaming output column name of
devCalc to "dev" seems to work. Now I can run applyStrategy until end of
data. The problem now is that, after looking at transactions, it keeps
buying whenever dev > 0.2. I would like to only buy 1 when there is no
position. Likewise, when dev < -0.2, I would like to sell one only when
there is no position. Do you know how to fix this? Thank you again.

Robert


On Sat, Dec 15, 2012 at 6:40 AM, Brian G. Peterson <brian@braverock.com>wrote:

> On 12/15/2012 04:26 AM, me wrote:
>
>> On Fri, 14 Dec 2012 23:56:08 -0500
>> "Robert A'gata" <rhelpacc@gmail.com> wrote:
>>
>>  Hi,
>>>
>>> I am trying to learn how to create customized indicator. Mostly I
>>> have my own recipe which TTR does not cover. I only know that the
>>> indicator function is supposed to return xts. But I couldn't get it
>>> to work on my example. I attached the file here. The customized
>>> indicator function is called "devCalc" which calculates deviation
>>> between current price and a given VWAP. Then normalized with
>>> volatility. I named the indicator as "dev" in add.indicator's label.
>>> R complains that no "dev" found when I try to use it to define my
>>> signal. Any help would be appreciated. Thank you.
>>>
>>
>>
>> Robert
>>
>> I think I have encountered this problem before. For some reason, you
>> have to make sure that the 'devCalc' function that calculates your
>> indicator returns an xts object *with the correct column names*. In your
>> case, I think you should do something like this.
>>
>> devCalc(...){
>>    ...
>>    colnames(res) <- 'dev'
>>    return(res)
>> }
>>
>>
>> For some reason, the label="dev" argument in the declaration below is
>> not enough.
>>
>>
>> stratVwap <- add.indicator(strategy=**stratVwap,name="devCalc",
>>                                 arguments=list(price=quote(**
>> mktdata$price),
>>                                 vwap=quote(mktdata$vwap)),
>>                                 label="dev");
>>
>
> applyIndicators will append the label in all cases, I believe.
>
> It seemed from Robert's original post and reported error that he probably
> used name='dev' rather than name='devCalc', since R reported that it could
> not find a function *named* 'dev'.
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
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