> On Jul 14, 2018, at 10:41 AM, Pietro Fabbro via R-help <r-help@r-project.org>
> wrote:
>
> Hello.
> I get the error message that there are no transactions/positions to chart
> despite the signals and rules that I inserted.
This might or might not be on-topic for Rhelp. If there is a particular form
for a strategy" that the unnamed packages with these function in them that you
have misread, tehre might be a purely R answer to this. However, I think you
should consider posting at the Quantitative Finance forum at stackexchange.com.
--
David.
> Can someone please help?
>
> rm(list = ls(.blotter), envir = .blotter)
> initdate <- "2010-01-01"
> from <- "2012-01-01" #start of backtest
> to <- "2017-31-12" #end of backtest
>
> Sys.setenv(TZ= "EST") #Set up environment for timestamps
>
> currency("USD") #Set up environment for currency to be used
>
> symbols <- c("RUT") #symbols used in our backtest
> getSymbols("^RUT",src="yahoo", from="2012-01-01", to="2017-12-31",
> periodicity="daily")
>
> stock(symbols, currency = "USD", multiplier = 1) #tells quanstrat what
> instruments present and what currency to use
>
> n <- 30
>
> wma <- WMA(Cl(RUT), n=4, wts=c(1:4))
> wmamaxt <- rollmaxr(wma, n, fill = NA)
> wmamint <- - rollmaxr(- wma, n, fill = NA)
> CNOwma <- function (RUT) {(wma - wmamint) / (wmamaxt - wmamint)}
>
> tradesize <-10000 #default trade size
> initeq <- 100000 #default initial equity in our portfolio
>
> strategy.st <- portfolio.st <- account.st <- "firststrat" #naming strategy,
> portfolio and account
>
> #removes old portfolio and strategy from environment
> rm.strat(portfolio.st)
> rm.strat(strategy.st)
>
> #initialize portfolio, account, orders and strategy objects
> 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.indicator(strategy = strategy.st,
> name = 'CNOwma',
> arguments = list(x = quote(Cl(mktdata)), n=4),
> label = 'CNOwma4')
>
>
>
>
>
> add.signal(strategy.st, name = "sigThreshold",
> arguments = list(column = "CNOwma4", threshold = 0.6,
> relationship = "gt", cross = TRUE),
> label = "longthreshold")
>
>
> add.signal(strategy.st, name = "sigThreshold",
> arguments = list(column = "CNOwma4", threshold = 0.6,
> relationship = "lt", cross = TRUE),
> label = "shortthreshold")
>
>
>
>
> add.rule(strategy.st, name = "ruleSignal",
> arguments = list(sigcol = "longthreshold", sigval = TRUE,
> orderqty = "all", ordertype = "market",
> orderside = "long", replace = FALSE,
> prefer = "Open"), osFUN = IKTrading::osMaxDollar,
> tradeSize = tradesize, maxSize = tradesize, type = "enter")
>
>
> add.rule(strategy.st, name = "ruleSignal",
> arguments = list(sigcol = "shortthreshold", sigval = TRUE,
> orderqty = "all", ordertype = "market",
> orderside = "long", replace = FALSE,
> prefer = "Open"),
> type = "exit")
>
> add.rule(strategy.st, name = "ruleSignal",
> arguments = list(sigcol = "shortthreshold", sigval = TRUE,
> orderqty = "all", ordertype = "market",
> orderside = "short", replace = FALSE,
> prefer = "Open"),osFUN = IKTrading::osMaxDollar,
> tradeSize = tradesize, maxSize = tradesize, type = "enter")
>
> add.rule(strategy.st, name = "ruleSignal",
> arguments = list(sigcol = "longthreshold", sigval = TRUE,
> orderqty = "all", ordertype = "market",
> orderside = "short", replace = FALSE,
> prefer = "Open"),
> type = "exit")
>
>
>
> out <- applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
> updatePortf(portfolio.st)
> daterange <- time(getPortfolio(portfolio.st)$summary)[-1]
>
> updateAcct(account.st, daterange)
> updateEndEq(account.st)
>
>
> for(symbol in symbols){
>
> chart.Posn(Portfolio = portfolio.st, Symbol = symbol,
> TA= c("add_SMA(n=50, col='blue')", "add_SMA(n=200, col='red')"))
> }
>
> ______________________________________________
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
David Winsemius
Alameda, CA, USA
'Any technology distinguishable from magic is insufficiently advanced.'
-Gehm's Corollary to Clarke's Third Law
______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
