Re: [R] Quantstrat custom indicator colnames error
Thank you for for reposting a readable question, though the origin of
quantstrat and IKTrading on github still took some study, and I cannot see
where mktdata was supposed to come from.
If you get no expert response here, you might get a more appropriate set of
users if you ask this question on the R-Sig-finance mailing list (where readers
might actually recognize the issue offhand), or by asking your question at the
quantstrat issues forum [1]. Packages that don't build clean enough to install
from CRAN can really lead to wild goose chases debugging the package rather
than helping someone understand R (the topic of this mailing list).
No matter where you ask this question, getting the code to be internally
complete including data (study up on the dput function in the links I pointed
you at
to before) will really help your helpers and you will learn more about R
yourself. The reprex package I mentioned makes it easy to confirm that others
have a good chance to see the behavior you saw when they run your example.
[1] https://github.com/Braddock/quantstrat
On July 14, 2018 6:02:08 AM PDT, Pietro Fabbro via R-help
wrote:
>I apologize if the data I will insert will not be enough.
>
>So, I am trying to run a strategy through the package Quantstrat.
>
>install.packages("quantstrat")
>
>
>My problem is that I get the following error
>Error incolnames<-(tmp, value = seq(ncol(tmp_val))) :
>attempt to set 'colnames' on an object with less than two dimensions
>
>when I try to run the following command:
>
>> out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
>I do not have this problem if I use, as indicator, one or more
>indicators, which are already defined by the package TTR.
>
>I have this error only when I try to use a custom indicator. Here is
>the code for the custom indicator that I use:
>
>wma <- WMA(Cl(mktdata), 4, wts=c(1:4))
>wmamaxt <- rollmaxr(wma, 30, fill = NA)
>wmamint <- - rollmaxr(- wma, 30, fill = NA)
>CNOwma <- function (mktdata=quote(mktdata),x) {(wma - wmamint) /
>(wmamaxt - wmamint)}
>Please refer to the following code:
>
>library(devtools)
>library(quantmod)
>library(quantstrat)
>library(TTR)
>library(png)
>library(IKTrading)
>
>wma <- WMA(Cl(mktdata), 4, wts=c(1:4))
>wmamaxt <- rollmaxr(wma, 30, fill = NA)
>wmamint <- - rollmaxr(- wma, 30, fill = NA)
>CNOwma <- function (mktdata=quote(mktdata),x) {(wma - wmamint) /
>(wmamaxt - wmamint)}
>initdate <- "2010-01-01"
>from <- "2012-01-01" #start of backtest
>to <- "2017-31-12" #end of backtest
>
>Sys.setenv(TZ= "EST") #Set up environment for timestamps
>
>currency("USD") #Set up environment for currency to be used
>
>symbols <- c("RUT", "IXIC") #symbols used in our backtest
>getSymbols(Symbols = symbols, src = "google", from=from, to=to, adjust
>= TRUE) #receive data from google finance, adjusted for
>splits/dividends
>
>stock(symbols, currency = "USD", multiplier = 1) #tells quanstrat what
>instruments present and what currency to use
>
>tradesize <-1 #default trade size
>initeq <- 10 #default initial equity in our portfolio
>
>strategy.st <- portfolio.st <- account.st <- "firststrat" #naming
>strategy, portfolio and account
>
>#removes old portfolio and strategy from environment
>rm.strat(portfolio.st)
>rm.strat(strategy.st)
>
>#initialize portfolio, account, orders and strategy objects
>initPortf(portfolio.st, symbols = symbols, initDate = initdate,
>currency = "USD")
>
>initAcct(account.st, portfolios = portfolio.st, initDate = initdate,
>currency = "USD", initEq = initeq)
>
>initOrders(portfolio.st, initDate = initdate)
>strategy(strategy.st, store=TRUE)
>
>add.indicator(strategy = strategy.st,
>name = 'CNOwma',
>arguments = list(x = quote(Cl(mktdata)), n=4),
>label = 'CNOwma4')
>
>
>
>
>
>add.signal(strategy.st, name = "sigThreshold",
>arguments = list(column = "CNOwma4", threshold = 0.6,
>relationship = "gt", cross = TRUE),
>label = "longthreshold")
>
>
>add.signal(strategy.st, name = "sigThreshold",
>arguments = list(column = "CNOwma4", threshold = 0.6,
>relationship = "lt", cross = TRUE),
>label = "shortthreshold")
>
>
>
>
>add.rule(strategy.st, name = "ruleSignal",
>arguments = list(sigcol = "longthreshold", sigval = TRUE,
>orderqty = "all", ordertype = "market",
>orderside = "long", replace = FALSE,
>prefer = "Open"),
>type = "enter")
>
>
>add.rule(strategy.st, name = "ruleSignal",
>arguments = list(sigcol = "shortthreshold", sigval = TRUE,
>orderqty = "all", ordertype = "market",
>orderside = "long", replace = FALSE,
>prefer = "Open"),
>type = "exit")
>
>add.rule(strategy.st, name = "ruleSignal",
>arguments = list(sigcol = "shortthreshold", sigval = TRUE,
>orderqty = "all", ordertype = "market",
>orderside = "short", replace = FALSE,
>prefer = "Open"),
>type = "enter")
>
>add.rule(strategy.st, name = "ruleSignal",
>arguments = list(sigcol = "longthreshold", sigval = TRUE,
>orderqty = "all", ordertype = "market",
>orderside = "short", replace = FALSE,
>prefer = "Open"),
>type = "exit")
>
>
[R] Quantstrat custom indicator colnames error
I apologize if the data I will insert will not be enough.
So, I am trying to run a strategy through the package Quantstrat.
install.packages("quantstrat")
My problem is that I get the following error
Error incolnames<-(tmp, value = seq(ncol(tmp_val))) :
attempt to set 'colnames' on an object with less than two dimensions
when I try to run the following command:
> out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
I do not have this problem if I use, as indicator, one or more indicators,
which are already defined by the package TTR.
I have this error only when I try to use a custom indicator. Here is the code
for the custom indicator that I use:
wma <- WMA(Cl(mktdata), 4, wts=c(1:4))
wmamaxt <- rollmaxr(wma, 30, fill = NA)
wmamint <- - rollmaxr(- wma, 30, fill = NA)
CNOwma <- function (mktdata=quote(mktdata),x) {(wma - wmamint) / (wmamaxt -
wmamint)}
Please refer to the following code:
library(devtools)
library(quantmod)
library(quantstrat)
library(TTR)
library(png)
library(IKTrading)
wma <- WMA(Cl(mktdata), 4, wts=c(1:4))
wmamaxt <- rollmaxr(wma, 30, fill = NA)
wmamint <- - rollmaxr(- wma, 30, fill = NA)
CNOwma <- function (mktdata=quote(mktdata),x) {(wma - wmamint) / (wmamaxt -
wmamint)}
initdate <- "2010-01-01"
from <- "2012-01-01" #start of backtest
to <- "2017-31-12" #end of backtest
Sys.setenv(TZ= "EST") #Set up environment for timestamps
currency("USD") #Set up environment for currency to be used
symbols <- c("RUT", "IXIC") #symbols used in our backtest
getSymbols(Symbols = symbols, src = "google", from=from, to=to, adjust = TRUE)
#receive data from google finance, adjusted for splits/dividends
stock(symbols, currency = "USD", multiplier = 1) #tells quanstrat what
instruments present and what currency to use
tradesize <-1 #default trade size
initeq <- 10 #default initial equity in our portfolio
strategy.st <- portfolio.st <- account.st <- "firststrat" #naming strategy,
portfolio and account
#removes old portfolio and strategy from environment
rm.strat(portfolio.st)
rm.strat(strategy.st)
#initialize portfolio, account, orders and strategy objects
initPortf(portfolio.st, symbols = symbols, initDate = initdate, currency =
"USD")
initAcct(account.st, portfolios = portfolio.st, initDate = initdate, currency =
"USD", initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store=TRUE)
add.indicator(strategy = strategy.st,
name = 'CNOwma',
arguments = list(x = quote(Cl(mktdata)), n=4),
label = 'CNOwma4')
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "CNOwma4", threshold = 0.6,
relationship = "gt", cross = TRUE),
label = "longthreshold")
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "CNOwma4", threshold = 0.6,
relationship = "lt", cross = TRUE),
label = "shortthreshold")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "long", replace = FALSE,
prefer = "Open"),
type = "enter")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "shortthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "long", replace = FALSE,
prefer = "Open"),
type = "exit")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "shortthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "short", replace = FALSE,
prefer = "Open"),
type = "enter")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "short", replace = FALSE,
prefer = "Open"),
type = "exit")
out <- applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
When I run the traceback() of the error, this is what I get:
> traceback()
4: stop("attempt to set 'colnames' on an object with less than two dimensions")
3: `colnames<-`(`*tmp*`, value = seq(ncol(tmp_val)))
2: applyIndicators(strategy = strategy, mktdata = mktdata, parameters =
parameters,
...)
1: applyStrategy(strategy = strategy.st, portfolios = portfolio.st
__
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.
