Error with applyStrategy

问题

I am new to R and have recently encountered the following error after running applyStrategy function from quantstrat package:

Error in eval(expr, envir, enclos) : object 'signal' not found
Error in `colnames<-`(`*tmp*`, value = integer(0)) : 
  attempt to set 'colnames' on an object with less than two dimensions

Could anyone please explain to me how I can debug this error and advise if I had used sigFormula correctly to combine both MACD and RSI indicators?

Thank you for your help and please refer to the code below:

# 1. Load R Packages
library(quantstrat)

# 2. Stock Instrument Initialisation

# 2.1 Stock Instrument Initialisation
inital.portfolio.date <- '2013-12-31'
start.date <- '2014-01-01'
end.date <- '2017-05-31'
initial.equity <- 10000
Sys.setenv(TZ="UTC")

# 2.2 Download data
getSymbols(Symbols = "SPY", src = "google", from = start.date, to = end.date, adjust = T, index.class="POSIXct")

# 2.3 Initialise currency
currency(primary_id = "USD")

# 2.4 Initialise Stock Instrument
stock(primary_id = "SPY", currency  = "USD", multiplier = 1)

# 3. Strategy Visualisation and Details
# MACD & RSI Strategy
lineChart(SPY, theme = "white")
addMACD(fast = 12, slow = 26, signal =9, type = "EMA")
addRSI(n = 14, maType = "EMA")

# 4. Strategy Initialisation

# 4.1 Strategy Name
WT.Strat1 <- "Wen Ting's MACD & RSI Strategy"

# 4.2 Clear Strategy Data
rm.strat(WT.Strat1)

# 4.3 Strategy Object
strategy(name = WT.Strat1, store = TRUE)

# 4.4 Summary of Completed Strategy Object
summary(getStrategy(WT.Strat1))

# 5. Strategy Definition

# 5.1 Add Indicators
add.indicator(strategy = WT.Strat1, name = "MACD", arguments = list(x = quote(Cl(SPY)), nFast = 12, nSlow = 26, nSig = 9), label = "MACD")
add.indicator(strategy = WT.Strat1, name = "RSI", arguments = list(price = quote(Cl(SPY)), n = 14), label = "RSI")

# 5.2 Add Strategy Signals
add.signal(strategy = WT.Strat1, name = "sigFormula", arguments = list(columns = c("macd","signal","RSI"), formula ="(signal > macd) & (RSI < 30)", cross = FALSE, label = "trigger"), label = "BuySignal")

add.signal(strategy = WT.Strat1, name = "sigFormula", arguments = list(columns = c("macd","signal","RSI"), formula ="(signal < macd) & (RSI > 70)", cross = FALSE, label = "trigger"), label = "SellSignal")

# 5.3 Add Buy Rule
add.rule(strategy = WT.Strat1, name = "ruleSignal", arguments = list(sigcol = "BuySignal", sigval = TRUE, orderqty = 10, ordertype = "market", orderside = "long"), type = "enter", label = "BuyRule", enabled = TRUE)

# 5.4 Add Sell Rule
add.rule(strategy = WT.Strat1, name = "ruleSignal", arguments = list(sicol = "SellSignal", sigval = TRUE, orderqty = all, ordertype = "market", orderside = "long", TxnFees = -6), type = "exit", label = "SellRule", enabled = TRUE)

# 5.5 Completed Strategy Object
summary(getStrategy(WT.Strat1))

# 6. Portfolio Initialisation

# 6.1 Portfolio Name
WT.Portfolio1 <- "Wen Ting's Portfolio 1"

# 6.2 Clear Portfolio Data
rm.strat(WT.Portfolio1)

# 6.3 Initialise Portfolio Object
initPortf(name = WT.Portfolio1, symbols = "SPY", initDate = inital.portfolio.date)

# 6.4 Initialise Account Object
initAcct(name = WT.Strat1, portfolios = WT.Portfolio1, initDate = inital.portfolio.date, initEq = initial.equity)

# 6.5 Initialise Orders Object
initOrders(portfolio = WT.Portfolio1, initDate = inital.portfolio.date)

# 7. Strategy Application

# 7.1 Strategy Application to Market Data
applyStrategy(strategy = WT.Strat1, portfolios = WT.Portfolio1)

回答1:

Try these corrections to your code block:

add.signal(strategy = WT.Strat1, name = "sigFormula", arguments = list(columns = c("macd.MACD","signal.MACD","EMA.RSI"), formula ="(signal.MACD > macd.MACD) & (EMA.RSI < 30)", cross = FALSE, label = "trigger"), label = "BuySignal")

add.signal(strategy = WT.Strat1, name = "sigFormula", arguments = list(columns = c("macd.MACD","signal.MACD","EMA.RSI"), formula ="(signal.MACD < macd.MACD) & (EMA.RSI > 70)", cross = FALSE, label = "trigger"), label = "SellSignal")

How to debug this error you ask? Here is a quick way:

First try calling traceback()

> traceback()
8: stop("attempt to set 'colnames' on an object with less than two dimensions")
7: `colnames<-`(`*tmp*`, value = seq(ncol(tmp_val)))
6: applySignals(strategy = strategy, mktdata = mktdata, parameters = parameters, 
       ...)
5: applyStrategy(strategy = WT.Strat1, portfolios = WT.Portfolio1) at .active-rstudio-document#86
4: eval(ei, envir)
3: eval(ei, envir)
2: withVisible(eval(ei, envir))
1: source("~/.active-rstudio-document", echo = TRUE)

You can see that there is something wrong in applySignals inside your call to applyStrategy (which runs the backtest) so you know it has something to do with your signal related data. (If it were applyIndicators it would be something to do with your indicator logic, if it were applyRules you know it's probably to do with your rule logic)

applyStrategy adds to the global environment a mktdata object which you can inspect, even if the full simulation is not successful.

try head(mktdata):

> head(mktdata)
           SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume macd.MACD signal.MACD EMA.RSI
2014-01-02   183.98   184.07  182.48    182.92  119636836        NA          NA      NA
2014-01-03   183.21   183.60  182.63    182.88   81390502        NA          NA      NA
2014-01-06   183.47   183.56  182.08    182.36  108028139        NA          NA      NA
2014-01-07   183.09   183.79  182.95    183.48   86144169        NA          NA      NA
2014-01-08   183.45   183.83  182.89    183.52   96582234        NA          NA      NA
2014-01-09   184.10   184.13  182.80    183.64   90683302        NA          NA      NA

Ah, you can see your column names are not actually signal, macd, but rather signal.MACD and macd.MACD. You need to specify the column names correctly in the sigFormula logic.

And that is one quick way to debug quantstrat. Inserting browser() in the code is the next level of detail you could use if you can't figure out the problem ....

If you try running the backtest with the correct column names, things will then work.

来源：https://stackoverflow.com/questions/44470437/error-with-applystrategy

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