quantstrat：尽管信号值似乎有效，但策略不采取立场？

我提出了一个新问题，因为问题已经太长了，而我得出的解决方案几乎否定了这篇文章

下面是我发现的一种变通方法，可以添加与数据周期不同的周期性指标。这个解决方案是建立在这个基础上的

代码有两个主要问题

1） 尽管生成了信号，但该策略不采取任何位置（运行该策略后，

mktdata

中存在相应的列）

2） 奇怪的是，如果

indMerge（）

Warning message:
In match.names(columns, colnames(data)) :
  all columns not located in Close SMA for SPY.Open SPY.High SPY.Low SPY.Close 
SPY.Volume SPY.Adjusted SMA Cl.gt.SMA

由于我发现绕过此错误的唯一方法是下面的代码，因此下面的解决方案在具有多个符号的公文包中实际上是无用的。总之，下面是代码：

require(quantstrat)
require(quantmod)
require(FinancialInstrument)

symbols = "SPY"

initDate="2000-01-01"
from="2003-01-01"
to="2016-12-31"
options(width=70)

options("getSymbols.warning4.0"=FALSE)

#set account currency and system timezone
currency('USD')
stock("SPY",currency="USD",multiplier=1)
Sys.setenv(TZ="UTC")

#trade sizing and initial equity settings
tradeSize <- 1e6
initEq <- tradeSize*length(symbols)

#Brians code 
#>> http://r.789695.n4.nabble.com/R-Quantstrat-package-question-td3772989.html
indMerge <- function(x, period, k, SMAlength, maType){
  mktdata <- getSymbols(x, auto.assign = FALSE)

  xW = to.period(mktdata, period = period, k = k, indexAt = "startof")
  smaW = wSMA = SMA(Cl(xW), n = SMAlength, maType = maType)

  x <- cbind(mktdata, smaW[paste(first(index(mktdata)) ,
                                 last(index(mktdata)) , sep='/')])
  colnames(x)[ncol(x)] = paste("SPY", ".", "SMA", sep = "")
  x <- na.locf(x)
  x
} 

#get the data
getSymbols(symbols, from=from, to=to, src="yahoo", adjust=TRUE)

#apply the weekly SMA to the data without the use of add.indicator
SPY = indMerge(x = symbols, period = "weeks", k = 1, SMAlength = 14, maType = "SMA")

#set up the portfolio, account and strategy
strategy.st <- portfolio.st <- account.st <- "mtf.strat"
rm.strat(strategy.st)

initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, 
              currency='USD',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)

strategy(strategy.st, store=TRUE)

#add signals
add.signal(strategy.st, name = "sigComparison", arguments = list(columns = 
              c("SPY.Close", "SPY.SMA"), relationship = "gt"), label = "Cl.gt.SMA")
add.signal(strategy.st, name = "sigComparison", arguments = list(columns = 
              c("SPY.Close", "SPY.SMA"), relationship = "lt"), label = "Cl.lt.SMA")

#test = applySignals(strategy.st, mktdata = SPY)

#add.rules
add.rule(strategy.st, name = "ruleSignal", arguments = list(sigCol = "Cl.gt.SMA", 
              sigval = 1, orderqty = 900, ordertype = "market", orderside = "long"), 
              type = "enter")

add.rule(strategy.st, name = "ruleSignal", arguments = list(sigCol = "Cl.lt.SMA", 
              sigval = 1, orderqty = "all", ordertype = "market", orderside = "long"), 
              type = "exit")


strat = getStrategy(strategy.st)
summary(strat)

#apply the strategy and get the transactions
applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
getTxns(Portfolio = portfolio.st, Symbol = "SPY")

require（quantstrat）
需要（quantmod）
要求（金融仪器）
symbols=“间谍”
initDate=“2000-01-01”
from=“2003-01-01”
至=“2016-12-31”
选项（宽度=70）
选项（“getSymbols.warning4.0”=FALSE）
#设置帐户货币和系统时区
货币（美元）
股票（“间谍”，货币=“美元”，乘数=1）
Sys.setenv（TZ=“UTC”）
#交易规模和初始股权设置
贸易规模http://r.789695.n4.nabble.com/R-Quantstrat-package-question-td3772989.html
indMerge这是您代码的一个工作示例（不止一个工具，只有2017年的数据使示例更易于测试），我希望通过调整解决您的所有问题：

require(quantstrat)
require(quantmod)
require(FinancialInstrument)

symbols = c("SPY", "GOOG")

initDate="2000-01-01"
from="2017-01-01"
to=Sys.Date()
options(width=70)

options("getSymbols.warning4.0"=FALSE)

#set account currency and system timezone
currency('USD')
stock("SPY",currency="USD",multiplier=1)
stock("GOOG", currency = "USD")
Sys.setenv(TZ="UTC")

tradeSize <- 1e6
initEq <- tradeSize*length(symbols)

getSymbols(symbols, from=from, to=to, src="yahoo", adjust=TRUE)

rm.strat(strategy.st)

initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, 
         currency='USD',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)

strategy(strategy.st, store=TRUE)



#SPY = indMerge(x = symbols, period = "weeks", k = 1, SMAlength = 14, maType = "SMA")
#Brians code 
#>> http://r.789695.n4.nabble.com/R-Quantstrat-package-question-td3772989.html
AddWeeklyMA <- function(x, period, k, SMAlength, maType){
  # Don't use getSymbols here. It is redundant.  Use x, which is the daily OHLC for the symbol you've selected
  #mktdata <- getSymbols(x, auto.assign = FALSE)

  # YOU MUST USE indexAt as "endof" instead of "startof" otherwise you introduce look ahead bias in your weekly indicator signal. (Sees the future in the backtest)  Bad!!!
  xW <- to.period(x, period = period, k = k, indexAt = "endof")
  wSMA <- SMA(Cl(xW), n = SMAlength, maType = maType)

  y <- merge(wSMA, xts(, order.by = index(x)), fill = na.locf) 
  x <- y[index(x)] # just to be safe, in case any extra timestamps where generated in the merge above to make y.
  # Note that the column name of x is simply "SMA" rather than "SPY.SMA" etc.  You can of course relabel the column name here if you wish.
  x
} 

add.indicator(strategy = strategy.st, 
              name = "AddWeeklyMA", 
              arguments = list(x = quote(mktdata),
                               period = "weeks",
                               k = 1,
                               SMAlength = 14,
                               maType = "SMA"),
              label = "weeklyMA")


#add signals.
# one way to handle column names is simply rename the OHLC columns, removing the name of the symbol.  e.g. .Open .High .Low .Close, then pass columns = c(".Close", "SMA.weeklyMA") which will work for multiple symbols.
#add.signal(strategy.st, name = "sigCrossover", arguments = list(columns = 
#                                                                   c("SPY.Close", "SMA.weeklyMA"), relationship = "gt"), label = "Cl.gt.SMA")

sigCrossoverWrapper <- function(x, label, col1 = "Close", col2 = "weeklyMA", relationship) {
  Col1 <- grep(pattern = col1, colnames(x), value = TRUE)[1]
  Col2 <- grep(pattern = col2, colnames(x), value = TRUE)[1]  
  # Basic checks.  If we can't find a column name like col1, col2, throw an error. also use the [1] index, particular for col1 values like "Close", in case multiple column labels are returned that all contain "Close".  The assumption is that the OHLC data are always the first for columns in the symbol data object.
  stopifnot(length(Col1) == 1)
  stopifnot(length(Col2) == 1)
  columns <- c(Col1, Col2)
  r <- sigCrossover(data = x, label = label, columns = columns, relationship = relationship)
  r
}

add.signal(strategy.st, name = "sigCrossoverWrapper", arguments = list(x = quote(mktdata), 
                                                                       col1 = "Close", 
                                                                       col2 = "weeklyMA", 
                                                                       relationship = "gt"), 
           label = "Cl.gt.SMA")

add.signal(strategy.st, name = "sigCrossoverWrapper", arguments = list(x = quote(mktdata), 
                                                                       col1 = "Close", 
                                                                       col2 = "weeklyMA", 
                                                                       relationship = "lt"), 
           label = "Cl.lt.SMA")

add.rule(strategy.st, name = "ruleSignal", arguments = list(sigcol = "Cl.gt.SMA", 
                                                            sigval = 1, 
                                                            orderqty = 900, 
                                                            ordertype = "market", 
                                                            orderside = "long"), 
         label = "enterL", # Add label names for rules.
         type = "enter")

add.rule(strategy.st, name = "ruleSignal", arguments = list(sigcol = "Cl.lt.SMA", 
                                                            sigval = 1, 
                                                            orderqty = "all", 
                                                            ordertype = "market", 
                                                            orderside = "long"), 
         label = "exitL", # Add label names for rules.
         type = "exit")


applyStrategy(strategy = strategy.st, portfolios = portfolio.st)

# [1] "2017-07-06 00:00:00 GOOG 900 @ 906.690002"
# [1] "2017-07-07 00:00:00 GOOG -900 @ 918.590027"
# [1] "2017-07-10 00:00:00 GOOG 900 @ 928.799988"
# [1] "2017-07-28 00:00:00 GOOG -900 @ 941.530029"
# [1] "2017-09-14 00:00:00 GOOG 900 @ 925.109985"
# [1] "2017-09-15 00:00:00 GOOG -900 @ 920.289978"
# [1] "2017-09-28 00:00:00 GOOG 900 @ 949.5"
# [1] "2017-04-18 00:00:00 SPY 900 @ 231.585741736316"
# [1] "2017-08-21 00:00:00 SPY -900 @ 241.70049982835"
# [1] "2017-08-23 00:00:00 SPY 900 @ 243.352306359548"

for (sym in symbols) {
  print(paste0("txns for ", sym, ":"))
  print(getTxns(Portfolio = portfolio.st, Symbol = sym)  )
}

require（quantstrat）
需要（quantmod）
要求（金融仪器）
符号=c（“间谍”、“傻瓜”）
initDate=“2000-01-01”
from=“2017-01-01”
to=Sys.Date（）
选项（宽度=70）
选项（“getSymbols.warning4.0”=FALSE）
#设置帐户货币和系统时区
货币（美元）
股票（“间谍”，货币=“美元”，乘数=1）
股票（“GOOG”，货币=“美元”）
Sys.setenv（TZ=“UTC”）
贸易规模http://r.789695.n4.nabble.com/R-Quantstrat-package-question-td3772989.html
AddWeeklyMA