Brian, thank you very much for your kind help with this, everything is clear now.
Vladimir ----- Original Message ---- From: Brian G. Peterson <[email protected]> To: [email protected] Sent: Wed, February 9, 2011 2:33:47 PM Subject: Re: [R-SIG-Finance] quantstrat and nonstandard column names in the price series On 02/09/2011 01:08 PM, Vladimir Egorin wrote: > Here is a hopefully small standalone example (a hacked script from one of the > demos.). > Running it produces an error: > [1] "setup completed" > Error in .xts(e, .index(e1), .indexCLASS = indexClass(e1), .indexFORMAT = > indexFormat(e1), : > > index length must match number of observations There were a few problems with your example. A corrected version is attached. The first and most serious was that you were doing this in the add.rule commands: data=quote(getPrice(mktdata, prefer='FV')) This basically took your signal columns *out* of the data object, returning only the price column. That would never work, as there is no column for ruleSignal to match on. The prefer='FV' argument belongs more reasonably in ... in applyStrategy. I also placed it in the arguments= list for ruleSignal in add.rule, for clarity, but it shouldn't be strictly necessary there. A second, and more minor error, is in the construction of your index. You used POSIXct for daily data, which creates problems even after fixing the data object in the calls to ruleSignal. I modified your construction to use as.Date for the index, so that the periodicity checks and handling will work properly inside quantstrat. With these changes, your example works, and generates trades. > out<-try(applyStrategy(strategy=stratRSI , portfolios=port.st, >parameters=list(n=2), prefer='FV' ) ) [1] "2011-01-07 FV -1000 @ 117.9922" [1] "2011-01-13 FV 1000 @ 118.2734" [1] "2011-01-13 FV -1000 @ 118.2734" [1] "2011-01-19 FV 1000 @ 118.2344" [1] "2011-01-19 FV -1000 @ 118.2344" [1] "2011-01-20 FV 1000 @ 117.6562" [1] "2011-01-20 FV 1000 @ 117.6562" [1] "2011-01-25 FV -1000 @ 118.2422" [1] "2011-01-25 FV -1000 @ 118.2422" [1] "2011-01-27 FV 1000 @ 118.2891" [1] "2011-01-27 FV -1000 @ 118.2891" [1] "2011-02-01 FV 1000 @ 118.0703" [1] "2011-02-01 FV 1000 @ 118.0703" examine the 'out' variable to see what gets added at each step of indicators and signals, and the order book to see the orders generated from the signals. > In general, how would you specify the name of the underlying when > adding rules, in case, for example, the signal is on the underlying X > and the order is on underlying Y. In strategies like this, you'd probably be writing custom indicator and/or signal functions that took parameters such as Prod1, Prod2 and knew the structure of your data, such as columns named for Prod1 and Prod2. The standard functions are there to provide for common, simple, strategies, but for proprietary indicators you'll still need proprietary functions. ;) Regards, - Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock ____________________________________________________________________________________ Finding fabulous fares is fun. [[elided Yahoo spam]] _______________________________________________ [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.
