I just installed the most current versions of xts, blotter, and quantstrat from R-forge. I then ran the maCross.R demo after uncommenting the two lines for short entries / exits. I don't receive any "cross through zero" warnings. I can't replicate your issue. -- Joshua Ulrich | FOSS Trading: www.fosstrading.com
On Mon, Feb 7, 2011 at 3:23 PM, Stephen Choularton <[email protected]> wrote: > > Sorry, I must still not be making myself clear for which I apologiese. I > have downloaded current versions of xts and quantstrat and it all appears to > be working. > > But it appears it is working just the same as before, that is with the > ordering problem still in place. I shouldn't have mentioned xts. I guess > the real question is has quantstrat been updated to sort out the problem: > > If you put the rules in the order of long enter then long exit, short enter > and short exit the way the rules are processed the long open gets closed by > the short open and the short close never gets found because of the crossing > zero rule. > > Alexander Rudnev got to the bottom of the problem and Joshua Ulrich made the > amendments and said they were committed but I still found the problem. > > > Stephen Choularton Ph.D., FIoD > > 9999 2226 > 0413 545 182 > > > for insurance go to www.netinsure.com.au > for markets go to www.organicfoodmarkets.com.au > > On 08/02/2011 7:57 AM, Jeffrey Ryan wrote: > > The issue is likely in the timing of your downloads. > > You can't install software that hasn't had its dependencies met. > Likely your 'install' of quantstrat wasn't an install, failing when > xts wasn't the right version. > > Getting the xts version required by quantstrat was what likely let the > install (or load?) proceed. (btw, the xts bug was in the new column > subsetting that was in .14 -- a quick patch - and didn't concern any > other versions of xts) > > All works now? > > HTH > Jeff > > On Mon, Feb 7, 2011 at 2:38 PM, Stephen Choularton > <[email protected]> wrote: > > Sorry must not have made my question clear. I downloaded the new quantstrat > and when I tried to run it I got the error message. Then I downloaded the > new xts and it all worked again, but I thought that quantstrat had been > fixed for the problem I ran into and have written about in this string. If > you put the rules in the order of long enter then long exit, short enter and > short exit the way the rules are processed the long open gets closed by the > short open and the short close never gets found because of the crossing zero > rule. > > Alexander Rudnev got to the bottom of the problem and Joshua Ulrich made the > amendments and said they were committed. However, when I downloaded the > current quantstrat I still found the problem. I wondered if the current > quantstrat does solve the problem, or if somehow the amendments have not got > in their? > > Thanks. > > Stephen Choularton Ph.D., FIoD > On 08/02/2011 5:40 AM, Brian G. Peterson wrote: > > On 02/07/2011 02:15 AM, Stephen Choularton wrote: > > Failed with error: ‘package 'xts' 0.7-6.11 was found, but >= 0.7.6.15 is > required by 'quantstrat'’ > > This is most likely your error. Update xts first, then quantstrat. Other > changes in xts fix a subsetting bug, and I think they were significant > enough that I bumped the requirement for quantstrat as well. > > Alternately, use Rtools to build the binary package, and you can edit the > DESCRIPTION file as needed to relax the constraints. > > - Brian > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
