Thanks.
I still got some problems with that but in the end I used
stock.str='AXJO'
but when I got the data referred to it correctly with:
getSymbols('^AXJO',from=initDate)
and it all seemed to work.
Couple of questions though:
1. First initDate+1. I tried this but R didn't want to do the
addition. Do you mean that I should increment it outside and then use
it such as:
nextDate='2007-01-01'
getSymbols('^AXJO',from=nextDate)
2. I turned to the MACROSS code. I edited it to refer to the aussie SPI:
#########################################################################################################################################################################
#A simple moving average strategy to evaluate trade efficiency
#checks on SMA of 50 days and SMA of 200 days
#Author: R. Raghuraman("raghu"), Brian Peterson
#########################################################################################################################################################################
require(quantstrat)
try(rm("order_book.macross",pos=.strategy),silent=TRUE)
try(rm("account.macross","portfolio.macross",pos=.blotter),silent=TRUE)
try(rm("account.st","portfolio.st","stock.str","stratMACROSS","initDate","initEq",'start_t','end_t'),silent=TRUE)
stock.str='AXJO' # what are we trying it on
currency('AUD')
stock(stock.str,currency='AUD',multiplier=1)
initDate='1999-12-31'
initEq=1000000
portfolio.st='macross'
account.st='macross'
initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
initAcct(account.st,portfolios=portfolio.st, initDate=initDate)
initOrders(portfolio=portfolio.st,initDate=initDate)
stratMACROSS<- strategy(portfolio.st)
stratMACROSS <- add.indicator(strategy = stratMACROSS, name = "SMA",
arguments = list(x=quote(Cl(mktdata)), n=50),label= "ma50" )
stratMACROSS <- add.indicator(strategy = stratMACROSS, name = "SMA",
arguments = list(x=quote(Cl(mktdata)), n=200),label= "ma200")
stratMACROSS <- add.signal(strategy =
stratMACROSS,name="sigCrossover",arguments =
list(columns=c("ma50","ma200"),relationship="gt"),label="ma50.gt.ma200")
stratMACROSS <- add.signal(strategy =
stratMACROSS,name="sigCrossover",arguments =
list(column=c("ma50","ma200"),relationship="lt"),label="ma50.lt.ma200")
stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal',
arguments = list(sigcol="ma50.gt.ma200",sigval=TRUE, orderqty=100,
ordertype='market', orderside='long'),type='enter')
stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal',
arguments = list(sigcol="ma50.lt.ma200",sigval=TRUE, orderqty=-100,
ordertype='market', orderside='long'),type='exit')
# if you want a long/short Stops and Reverse MA cross strategy, you'd
add two more rules for the short side:
stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal',
arguments = list(sigcol="ma50.lt.ma200",sigval=TRUE, orderqty=-100,
ordertype='market', orderside='short'),type='enter')
stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal',
arguments = list(sigcol="ma50.gt.ma200",sigval=TRUE, orderqty=100,
ordertype='market', orderside='short'),type='exit')
getSymbols('^AXJO',from=initDate)
start_t<-Sys.time()
out<-try(applyStrategy(strategy=stratMACROSS , portfolios=portfolio.st))
end_t<-Sys.time()
print(end_t-start_t)
start_t<-Sys.time()
updatePortf(Portfolio='macross',Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("trade blotter portfolio update:")
print(end_t-start_t)
chart.Posn(Portfolio='macross',Symbol=stock.str)
add_SMA(n=50 , on=1,col='blue')
add_SMA(n=200, on=1)
###############################################################################
# R (http://r-project.org/) Quantitative Strategy Model Framework
#
# Copyright (c) 2009-2010
# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and
Joshua Ulrich
#
# This library is distributed under the terms of the GNU Public
License (GPL)
# for full details see the file COPYING
#
# $Id: maCross.R 374 2010-08-17 18:43:35Z braverock $
#
###############################################################################
Basically that was to refer to the AXJO and to put the AUD in. Also I
wanted to run a short rule as well so I removed the comment outs from
those two lines. I got some problems:
a. As you can see I get some warnings:
> out<-try(applyStrategy(strategy=stratMACROSS , portfolios=portfolio.st))
[1] "2003-06-12 AXJO 100 @ 3084.8"
[1] "2008-01-22 AXJO -100 @ 5186.8"
[1] "2009-06-17 AXJO 100 @ 3904.1"
[1] "2010-06-07 AXJO -100 @ 4325.9"
[1] "2010-11-02 AXJO 100 @ 4701.4"
Warning messages:
1: In match.names(columns, colnames(data)) :
all columns not located in ma50 ma200 for AXJO.Open AXJO.High
AXJO.Low AXJO.Close AXJO.Volume AXJO.Adjusted ma50 ma200 ma50.gt.ma200
2: In max(i) : no non-missing arguments to max; returning -Inf
3: In ruleOrderProc(portfolio = portfolio, symbol = symbol, mktdata =
mktdata, :
orderQty of-100would cross through zero, reducing qty to0
4: In ruleOrderProc(portfolio = portfolio, symbol = symbol, mktdata =
mktdata, :
orderQty of-100would cross through zero, reducing qty to0
5: In ruleOrderProc(portfolio = portfolio, symbol = symbol, mktdata =
mktdata, :
orderQty of-100would cross through zero, reducing qty to0
6: In ruleOrderProc(portfolio = portfolio, symbol = symbol, mktdata =
mktdata, :
orderQty of-100would cross through zero, reducing qty to0
7: In min(dindex[dindex > curIndex]) :
no non-missing arguments to min; returning Inf
I am trying to make sense of them:
1. I cannot find any object called data so I'm a bit at a loss there.
3 - 6 Obviously these are to do with short sales violating some rule,
but I cannot see such a rule so how do I make sure that shorts are allowed?
b. A little later I get this:
>
updatePortf(Portfolio='macross',Dates=paste('::',as.Date(Sys.time()),sep=''))
Error in get(FXrate.str) : object 'AUDUSD' not found
Error in get(FXrate.str) : object 'USDAUD' not found
[1] "macross"
Warning message:
In .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
Exchange RateUSDAUD not found for symbol,',Symbol,' using currency
multiplier of 1
>
but again I cannot find any reference left to the USD. I tried to
specify AUD in getSymbols like this:
getSymbols('^AXJO',currency='AUD', from=initDate)
but it made no difference.
Finally, is there anywhere I can read more/see more examples of
add.indicator, add.rules other than ?add.indicator, ?add.rules.
Thanks
Stephen Choularton Ph.D., FIoD
9999 2226
0413 545 182
On 09/01/2011 9:05 AM, Brian G. Peterson wrote:
On 01/08/2011 03:54 PM, Stephen Choularton wrote:
Can anyone advise me how to resolve this?
try this:
stock.str <- getSymbols(stock.str,from=initDate+1)
which should drop the hat for you.
the hat isn't a valid R variable name.
Also note, per the blotter documentation, that your first trade should
occur *after* the initDate.
Cheers,
- Brian
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