问题
I want to add multiple rules based on different signals like SMA50 > SMA10 and MACD > 0. However, I am getting an error using sigComparision. Can anyone suggest a better way to do it?
回答1:
There are two obvious approaches you could use: You can build a composite signal function in add rules, or you could use sigFormula. The latter is known to be slow. For example see this thread:
https://stat.ethz.ch/pipermail/r-sig-finance/2012q1/009310.html
I highlight a key section here:
sigFormula uses an R syntax feature that allows you to use column names directly as variables in a formula. It does no partial matching, since the columns become the formula variables.
....
I will warn you that while sigFormula is very flexible, R isn't very fast using this methodology. It seems to be a side effect of the way data.frames are stored as lists, and of the way that the eval(parse(text=formula),x) syntax is managed internally by R.
For daily or lower-frequency data, that's probably fine, but for higher frequencies I usually find it makes sense to write a custom indicator of signal function for more complex comparisons.
In the following example (based off the macd.R demo in the quantstrat package) you can experiment with both approaches:
require(quantstrat)
suppressWarnings(rm("order_book.macd",pos=.strategy))
suppressWarnings(rm("account.macd","portfolio.macd",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACD","startDate","initEq",'start_t','end_t'))
stock.str='AAPL' # what are we trying it on
fastMA = 12
slowMA = 26
signalMA = 8
maType="EMA"
currency('USD')
stock(stock.str,currency='USD',multiplier=1)
startDate='2006-12-31'
initEq=1000000
portfolio.st='macd'
account.st='macd'
getSymbols(stock.str,from=startDate)
initPortf(portfolio.st,symbols=stock.str)
initAcct(account.st,portfolios=portfolio.st)
initOrders(portfolio=portfolio.st)
strat.st<-portfolio.st
# define the strategy
strategy(strat.st, store=TRUE)
#one indicator
add.indicator(strat.st, name = "MACD",
arguments = list(x=quote(Cl(mktdata)),
nFast=fastMA,
nSlow=slowMA),
label='_'
)
add.indicator(strat.st, name = "SMA",
arguments = list(x=quote(Cl(mktdata)),
n=10),
label='SMA10'
)
add.indicator(strat.st, name = "SMA",
arguments = list(x=quote(Cl(mktdata)),
n = 50),
label='SMA50'
)
# Create your own signal for entry:
macdSMAsig <- function(data) {
# first condition:
sig <- data[, "SMA.SMA50"] > data[, "SMA.SMA10"] & data[, "macd._"] > 0
colnames(sig) <- "upSig"
sig
}
# Activate (uncomment) only ONE of the following signals. Both do the same thing:
#OPTION 1 for entry signal based on combining signals:
add.signal(strat.st,name="macdSMAsig",
arguments = list(data = quote(mktdata)),
label="enterSig"
)
#OPTION 2 for entry signal based on combining signals:
# add.signal(strat.st, name = "sigFormula",
# arguments = list(data = quote(mktdata),
# formula = "SMA.SMA50 > SMA.SMA10 & macd._ > 0"),
# label = "upSig.enterSig"
# )
add.signal(strat.st,name="sigThreshold",
arguments = list(column="signal._",
relationship="lt",
threshold=0,
cross=TRUE),
label="signal.lt.zero"
)
####
# add rules
# entry
add.rule(strat.st,name='ruleSignal',
# be careful to get the label of the signal column correct:
arguments = list(sigcol="upSig.enterSig",
sigval=TRUE,
orderqty=100,
ordertype='market',
orderside='long',
threshold=NULL),
type='enter',
label='enter',
storefun=FALSE
)
# exit
add.rule(strat.st,name='ruleSignal',
arguments = list(sigcol="signal.lt.zero",
sigval=TRUE,
orderqty='all',
ordertype='market',
orderside='long',
threshold=NULL,
orderset='exit2'),
type='exit',
label='exit'
)
#end rules
####
out<-applyStrategy(strat.st , portfolios=portfolio.st,verbose=TRUE)
updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep=''))
chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)
tx <- getTxns(portfolio.st, stock.str)
sum(tx$Net.Txn.Realized.PL)
回答2:
I tried your code but seems to get this error:
Error in applyRules(portfolio = portfolio, symbol = symbol, strategy = strategy, : mktdata does not contain 'sigcol': entersig
This is what I did:
library(quantmod)
library(FinancialInstrument)
library(PerformanceAnalytics)
library(foreach)
library(blotter)
library(quantstrat)
options("getSymbols.yahoo.warning"=FALSE)
options("getSymbols.warning4.0"=FALSE)
initDate="1990-01-01"
from ="2003-01-01"
to ="2012-12-31"
symbols = c("AAPL")
currency("USD")
getSymbols(symbols, from=from, to=to, adjust=TRUE)
stock(symbols, currency="USD", multiplier=1)
initEq=1000000
strategy.st <- portfolio.st <- account.st <- "mystrat"
rm.strat("mystrat")
initPortf(name=portfolio.st,
symbols=symbols,
initDate=initDate,
currency='USD')
initAcct(name=account.st,
portfolios=portfolio.st,
initDate=initDate,
currency='USD',
initEq=initEq)
initOrders(portfolio=portfolio.st,
initDate=initDate)
strategy(strategy.st, store=TRUE)
### Add Indicators
nRSI <- 21
buyThresh <- 50
sellThresh <- 50
#Indicator for EMA long medium short
nEMAL<- 80
nEMAM<- 21
nEMAS<- 13
nEMAF<- 5
add.indicator(strategy.st, name="RSI",
arguments=list(price=quote(Cl(mktdata)), n=nRSI),
label="rsi")
add.indicator(strategy.st, name="EMA",
arguments=list(x=quote(Cl(mktdata)), n=nEMAL),
label="EMAL")
add.indicator(strategy.st, name="EMA",
arguments=list(x=quote(Cl(mktdata)), n=nEMAM),
label="EMAM")
add.indicator(strategy.st, name="EMA",
arguments=list(x=quote(Cl(mktdata)), n=nEMAS),
label="EMAS")
add.indicator(strategy.st, name="EMA",
arguments=list(x=quote(Cl(mktdata)), n=nEMAF),
label="EMAF")
#customsig <- function(data) {
sig <- data[, "EMA.EMAF"] > data[, "EMA.EMAS"] & data[, "EMA.EMAF"] > data[, "EMA.EMAM"] & data[, "rsi"] >50 & data[, "EMA.EMAM"] > data[, "EMA.EMAL"] & data[, "EMA.EMAS"] > data[, "EMA.EMAL"]
colnames(sig) <- "upSig"
sig
}
#downsig <- function(data) {
sig <- data[, "EMA.EMAF"] < data[, "EMA.EMAS"] & data[, "EMA.EMAF"] < data[, "EMA.EMAM"] & data[, "rsi"] <50 & data[, "EMA.EMAM"] < data[, "EMA.EMAL"] & data[, "EMA.EMAS"] < data[, "EMA.EMAL"]
colnames(sig) <- "downSig"
sig
}
### Add Signal- Enter
add.signal(strategy.st, name="customsig",
arguments=list(data = quote(mktdata)),
label = "entersig")
add.signal(strategy.st, name="downsig",
arguments=list(data = quote(mktdata)),
label = "downsig.exitsig")
### Add rule - Enter
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="entersig",
sigval=TRUE,
orderqty=1000,
ordertype='market',
orderside='long',
threshold=NULL),
type='enter',
path.dep=TRUE)
### Add rule- Exit
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="downsig.exitsig",
sigval=TRUE,
orderqty=1000,
ordertype='market',
orderside='long',
pricemethod='market',
replace=FALSE),
type='exit',
path.dep=TRUE)
start_t<-Sys.time()
out<-try(applyStrategy(strategy=strategy.st,
portfolios=portfolio.st))
updatePortf(portfolio.st)
updateAcct(portfolio.st)
updateEndEq(account.st)
for(symbol in symbols) {
chart.Posn(
Portfolio=portfolio.st,
Symbol=symbol,
log=TRUE)
}
来源：https://stackoverflow.com/questions/49827119/quantstrat-how-to-create-multiple-indicators-signal-rules