The Below will work
require(quantstrat)
require(stringr)
rm(list=ls(),envir=.GlobalEnv)
getSymbols("BBVA.MC")
strategy("edu",store=TRUE)
add.indicator('edu','DonchianChannel',arguments=list(quote(cbind(Hi(BBVA.MC
),Lo(BBVA.MC))), n=20))
out <- applyIndicators('edu', BBVA.MC)
tail(out)
Regards,
Deo Jaiswal
Student of R
On Sun, Jun 16, 2013 at 4:56 PM, Eduardo Romero López <
[email protected]> wrote:
> Hi all,
>
> I am trying to run a strategy very simple.
>
> if Cl() > DonchianChannel(Cl(x), n = xx)[,"mid"]
> Open "long"
>
> Close Trailing Stop
>
> but I do not get to do that strategy works. I get this error:
>
> > correr.estrategia <- applyStrategy(
> + strategy=objeto.estrategia,
> + portfolios=mi.estrategia
> + )
> Error en function (x, xx) : el argumento(s) no fue utilizado(s) (n = 30)
> Además: Mensajes de aviso perdidos
> In applyIndicators(strategy = strategy, mktdata = mktdata, parameters =
> parameters, :
> some arguments stored for f.dc.mid do not match
>
> I am using that code:
>
> mi = as.xts(read.zoo("mini.ibex.**csv",
> sep="\t", format="%d/%m/%y", header=TRUE))
> colnames(mi) <- c("Open", "High", "Low", "Close", "Volume")
> tail(mi)
>
> currency("USD")
> stock("mi", currency='USD',multiplier=1)
>
> mi.estrategia <- "nombre.estrategia"
>
> initPortf(
> mi.estrategia,
> 'mi',
> initDate='1997-12-31'
> )
>
> initAcct(
> mi.estrategia,
> portfolios=mi.estrategia,
> initDate='1997-12-31',
> initEq=1000
> )
>
> initOrders(
> portfolio = mi.estrategia,
> initDate='1997-12-31'
> )
>
> objeto.estrategia <- strategy(mi.estrategia, store=TRUE)
>
> mid= 30
> threshold=30
> txnfees = -6
> orderqty = 1000
>
> summary(objeto.estrategia)
>
> f.dc.mid <- function(x,xx){
> a<-DonchianChannel(Cl(x), n = xx)[,"mid"]
> return(a)
> }
>
> objeto.estrategia <- add.indicator(
> strategy = objeto.estrategia,
> name = "f.dc.mid",
> arguments = list(x = quote(Cl(mktdata)[,1]), n = mid),
> label="nmid"
> )
>
> summary(objeto.estrategia)
>
> objeto.estrategia <- add.signal(
> objeto.estrategia,
> name='sigCrossover',
> arguments = list(columns=c("Close","nmid")**,relationship="gt"),
> label='long'
> )
>
> summary(objeto.estrategia)
>
> objeto.estrategia <- add.rule(
> objeto.estrategia,
> name='ruleSignal',
> arguments=list(
> sigcol='long',
> sigval=TRUE,
> orderside='long',
> ordertype='market',
> #prefer='High',
> threshold=NULL,
> orderqty= orderqty,
> replace=FALSE
> ),
> type='enter',
> label='EntradaLargo'
> )
> summary(objeto.estrategia)
>
> objeto.estrategia <- add.rule(
> objeto.estrategia,
> name='ruleSignal',
> arguments = list(
> sigcol="long",
> sigval=TRUE,
> orderqty='all',
> ordertype='stoptrailing',
> orderside='short',
> threshold=-threshold,
> tmult=FALSE,
> orderset='exitTS'
> ),
> type='chain',
> parent='enter',
> label='trailingexit')
>
> summary(objeto.estrategia)
>
> correr.estrategia <- applyStrategy(
> strategy=objeto.estrategia,
> portfolios=mi.estrategia
> )
>
> if anyone can help me, thank very much.
>
> Eduardo,
>
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