Re: [R] Getting previous day data and implementing it for quantstrat
Sorry Joshua, I just want diverse solutions for this answer. Sorry for causing any trouble or inconvenience for you. I am withdrawing my question from this forum. -- View this message in context: http://r.789695.n4.nabble.com/Getting-previous-day-data-and-implementing-it-for-quantstrat-tp4710978p4711014.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] Getting previous day data and implementing it for quantstrat
I am a newbie and trying to create my own bactesting code after going through demo(). I am using a *candle engulfing pattern* strategy and this is the formula buy=(close(1) close) and (high(1) high) and (low(1) low) sell=(close(1) close) and (high(1) high) and (low(1) low) **(1) represents previous day data* How should i get previous day data for close,high and open for the previous day? How should i add indicators,rules and signals to this strategy. This is my idea first create a signal using sig Formula and then add the rules like this BUYING #adding signal strat1-add.signal(strat1, name=sigFormula, arguments = list(columns=c(Close,High,Low), formula = (close(1) close) and (high(1) high) and (low(1) low), label=trigger, cross=TRUE), label=Bullish engulfing) #adding rule strat1 - add.rule(strat1, name=ruleSignal, arguments=list(sigcol=trigger, sigval=TRUE, orderqty=100, ordertype=market, orderside=long, pricemethod=market), type=enter) is this correct! The biggest problem is how i get previous day data for close, high and low -- View this message in context: http://r.789695.n4.nabble.com/Getting-previous-day-data-and-implementing-it-for-quantstrat-tp4710978.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] inbuilt crossover function for backtesting
Thanks Joshua for the quick reply to the mail and once more sorry for
bothering with another doubt. So i have modified your code :) for
backtesting and this is the code
*
library(quantmod)
library(tseries)
require(quantstrat)
library(PerformanceAnalytics)
sym - get(getSymbols('SPY'))[2013::]
sym$sma10 - SMA(Cl(sym),10)
sym$sma30 - SMA(Cl(sym),30)
buy - sigCrossover(buy, SPY, c(sma10,sma30), gt)
sell - sigCrossover(sell, SPY, c(sma30,sma10), lt)
if (buy==TRUE){
sym$pos-1
} else if (sell==TRUE){
sym$pos--1
}
myReturn - lag(sym$pos) * dailyReturn(sym)
charts.PerformanceSummary(cbind(dailyReturn(sym),myReturn))*
But the above code is returing this error
*Error in if (buy == TRUE) { : missing value where TRUE/FALSE needed
In addition: Warning message:
In if (buy == TRUE) { :
the condition has length 1 and only the first element will be used
myReturn - lag(sym$pos) * dailyReturn(sym)
Error in hasTsp(x) : attempt to set an attribute on NULL
charts.PerformanceSummary(cbind(dailyReturn(sym),myReturn))
Warning message:
In to_period(xx, period = on.opts[[period]], ...) :
missing values removed from data*
Any idea what is hapennning
--
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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.
Re: [R] inbuilt crossover function for backtesting
Josh, I have found other demos on demo().. any way thanks for the help and for supporting this project :) boredstog -- View this message in context: http://r.789695.n4.nabble.com/inbuilt-crossover-function-for-backtesting-tp4710918p4710962.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] inbuilt crossover function for backtesting
Hey thanks josh, I was looking for such a demo programme can you point to some more such demo programmes if available -- View this message in context: http://r.789695.n4.nabble.com/inbuilt-crossover-function-for-backtesting-tp4710918p4710961.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Automatically updating a WordPress blog from R
I dont know whether this will help you because even I am also pretty new to R but have some experience in web development. I would recommend you to read about cron jobs . cron jobs automate your request and execute according to your execution parameters (1 minute, 3.5 days etc) -- View this message in context: http://r.789695.n4.nabble.com/Automatically-updating-a-WordPress-blog-from-R-tp4710914p4710919.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] inbuilt crossover function for backtesting
I am trying to built a simple moving average cross over strategy for backtesting. I have installed TTR and quantmod, quantstrat for that purpose. From TTR package we can get functions for sma,bolinger band and other indicators. I want to know whether any inbuilt crossover function (not greater '' or lesser '') is available for R. Example sma10-SMA(close,10) sma30-SMA(close,30) buy-Crossover(sma10,sma30) sell-Crossover(sma30,sma10) -- View this message in context: http://r.789695.n4.nabble.com/inbuilt-crossover-function-for-backtesting-tp4710918.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] Cant upgrade R in ubuntu 14.04
I am trying to install R programming language and able to install rbase using this code without adding repository in *source.list* sudo apt-get install r-base After that i tried to upgrade it using this code sudo add-apt-repository ‘deb http://star-www.st-andrews.ac.uk/cran/bin/linux/ubuntu/trusty/’ sudo apt-get update sudo apt-get upgrade But when i tried the first code sudo add-apt-repository ‘deb http://star-www.st-andrews.ac.uk/cran/bin/linux/ubuntu/trusty/’ its giving this error Error: need a single repository as argument -- View this message in context: http://r.789695.n4.nabble.com/Cant-upgrade-R-in-ubuntu-14-04-tp4710885.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
