Generating indicators of different periodicity in quantstrat

问题

I would like to use indicators of timeframes different to the data I am using. I have seen this asked a few time but no solutions as of yet (at least for me anyway).

The below example uses daily stock data however the actual project uses intraday currency data. I have an easy work around for importing the intraday csv data now so the example and real-world should be interchangeable enough.

library(quantstrat)
initDate="2000-01-01"
from="2003-01-01"
to="2016-12-31"

#set account currency and system timezone
currency('USD')
Sys.setenv(TZ="UTC")

#get data
symbols <- "SPY"
getSymbols(symbols, from=from, to=to, src="yahoo", adjust=TRUE)
stock(symbols, "USD")

#trade sizing and initial equity settings
tradeSize <- 100000
initEq <- tradeSize*length(symbols)

#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)

#SMA length
nSMA <- 14

Adding the SMA as, in this case a daily indicator works a treat

add.indicator(strategy.st, name="SMA",
              arguments=list(x=quote(Cl(mktdata)), n=nSMA, maType = "SMA"),
              label="SMA")
test <- applyIndicators(strategy.st, mktdata=OHLC(SPY))

Yet trying to add, in this case a weekly SMA

add.indicator(strategy.st, name="SMA",
              arguments=list(x=quote(to.period(Cl(mktdata), period = "weeks", k = 1, indexAt = "startof")), n=nSMA, maType = "SMA"),
              label="SMAw1")
## Or this    
add.indicator(strategy.st, name="SMA",
              arguments=list(x=quote(to.weekly(Cl(mktdata))), n=nSMA, maType = "SMA"),
              label="SMAw1")
test <- applyIndicators(strategy.st, mktdata=OHLC(SPY))
# Error in runSum(x, n) : ncol(x) > 1. runSum only supports univariate 'x'

Calling the Close column directly without Cl(x) results in the same error. I did this as TTR:::runSum will throw the above error if given more than one column of data.

I'm not entirely sure what the problem is so some assistance would be great.

回答1:

The problem is that to.period (and therefore to.weekly) return OHLC objects, not a univariate series like TTR::SMA expects. So you need to wrap the output of to.period in Cl.

add.indicator(strategy.st, name="SMA",
              arguments=list(x=quote(Cl(to.weekly(Cl(mktdata)))), n=nSMA, maType = "SMA"),
              label="SMAw1")
test <- applyIndicators(strategy.st, mktdata=OHLC(SPY))

Now that code runs, but it may still be a problem for your strategy. There will be a lot of NA when that indicator is merged with the daily mktdata.

R> tail(merge(SPY, test$SMA))
           SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted SMA.SMAw1
2016-11-25   221.10   221.56  221.01    221.52   37861800       221.52  215.0720
2016-11-28   221.16   221.48  220.36    220.48   70284100       220.48        NA
2016-11-29   220.52   221.44  220.17    220.91   67079400       220.91        NA
2016-11-30   221.63   221.82  220.31    220.38   99783700       220.38        NA
2016-12-01   220.73   220.73  219.15    219.57   77230500       219.57        NA
2016-12-02   219.67   220.25  219.26    219.68   70863400       219.68  215.3207

So it's a good idea to create your own SMA wrapper function to handle all these steps. Then call add.indicator using your wrapper function.

mySMA <- function(x, on = "days", k = 1, n = 10) {
  agg <- x[endpoints(x, on, k)]
  sma <- SMA(agg, n)
  # merge with zero-width xts object w/original index, filling NA
  result <- merge(sma, xts(,index(x)), fill = na.locf)
  return(result)
}
add.indicator(strategy.st, name = "mySMA",
              arguments = list(x = quote(Cl(mktdata)),
                               on = "weeks",
                               n = nSMA),
              label = "SMAw1")
test <- applyIndicators(strategy.st, mktdata = OHLC(SPY))

Now the indicator will have a value for every observation in mktdata when it's merged.

> tail(merge(SPY, test$SMA))
           SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted SMA.SMAw1
2016-11-25   221.10   221.56  221.01    221.52   37861800       221.52  215.0720
2016-11-28   221.16   221.48  220.36    220.48   70284100       220.48  215.0720
2016-11-29   220.52   221.44  220.17    220.91   67079400       220.91  215.0720
2016-11-30   221.63   221.82  220.31    220.38   99783700       220.38  215.0720
2016-12-01   220.73   220.73  219.15    219.57   77230500       219.57  215.0720
2016-12-02   219.67   220.25  219.26    219.68   70863400       219.68  215.3207

来源：https://stackoverflow.com/questions/40857610/generating-indicators-of-different-periodicity-in-quantstrat

标签

indicator

quantstrat

periodicity