[R-SIG-Finance] quantmod EMA and SMA
Hi all, I compare the serie from the function EMA() and the one from addEMA() getSymbols(^FCHI) M7=EMA(Cl(FCHI),7) candleChart(FCHI,theme=white,subset=2015,TA=NULL) addEMA(7) addTA(M7,on=-1) I don't understant why I don't obtain the same serie with the two functions... Reagrds, Olivier. ___ R-SIG-Finance@r-project.org 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.
[R-SIG-Finance] help with quantstrat
Hi all,
I try to program a simple strategy to learn with the package quantstrat.
Hereafter is the program, and the message I obtained when I applyed the
strategy
Error in eval(expr, envir, enclos) : objet 'rsif' introuvable
Erreur dans `colnames-`(`*tmp*`, value = seq(ncol(tmp_val))) :
attempt to set 'colnames' on an object with less than two dimensions
Could you explain me what is wrong ?
Regards,
Olivier.
#-
currency(EUR)
Sys.setenv(TZ=UTC)
getSymbols('ACA.PA')
stock(ACA.PA,currency=EUR)
# system settings
initDate - '2007-01-01'
endDate - '2014-12-30'
initEq - 1
#strategy
mystrat - gg
rm.strat(mystrat) # remove strategy
initPortf(mystrat,'ACA.PA', initDate=initDate)
initAcct(mystrat,portfolios=mystrat, initDate=initDate, initEq=initEq)
# initialize orders container
initOrders(portfolio=mystrat,initDate=initDate)
# instantiate a new strategy object
strategy(mystrat,store=TRUE)
myRSI=function(x,nrsi=8,m=20){
r=SMA(RSI(x,n=nrsi),n=m)
return(r)
}
myCCI=function(x,ncci=8,m=20){
r=SMA(CCI(x,n=ncci),n=m)
return(r)
}
#indicatros
mystrat=add.indicator(strategy =mystrat, name = myRSI,arguments =
list(x =quote(Cl(mktdata)),nrsi=8 ,m=20), label=rsif)
mystrat=add.indicator(strategy =mystrat, name = myRSI,arguments =
list(x =quote(Cl(mktdata)),nrsi=14,m=20), label=rsis)
mystrat=add.indicator(strategy =mystrat, name = myCCI,arguments =
list(x =quote(Cl(mktdata)),ncci=8 ,m=20), label=ccif)
mystrat=add.indicator(strategy =mystrat, name = myCCI,arguments =
list(x =quote(Cl(mktdata)),ncci=14,m=20), label=ccis)
#signals
mystrat=add.signal(mystrat,name=sigFormula,arguments =
list(columns=c(rsif,rsis,ccif,ccis),formula=rsifrsis
ccifccis,cross=TRUE), label=up)
mystrat=add.signal(mystrat,name=sigFormula,arguments =
list(columns=c(rsif,rsis,ccif,ccis),formula=rsifrsis
ccifccis,cross=TRUE), label=dn)
mystrat=add.signal(mystrat,name=sigFormula,arguments =
list(columns=c(rsif,rsis,ccif,ccis),formula=!(rsifrsis
ccifccis ) | !(rsifrsis ccifccis),cross=TRUE), label=ex)
# position rules
mystrat=add.rule(mystrat, name=ruleSignal,arguments =
list(sigcol=up, sigval=TRUE, orderqty=1,ordertype='market',
orderside='long'), type='enter')
mystrat=add.rule(mystrat, name=ruleSignal,arguments =
list(sigcol=ex, sigval=TRUE, orderqty='all',ordertype='market',
orderside='long'), type='exit')
mystrat=add.rule(mystrat, name=ruleSignal,arguments =
list(sigcol=dn, sigval=TRUE, orderqty=1,ordertype='market',
orderside='short'), type='enter')
mystrat=add.rule(mystrat, name=ruleSignal,arguments =
list(sigcol=ex, sigval=TRUE, orderqty='all',ordertype='market',
orderside='short'), type='exit')
## apply strategy
applyStrategy(strategy=mystrat , portfolios=mystrat)
This is the message I obtain :
Error in eval(expr, envir, enclos) : objet 'rsif' introuvable
Erreur dans `colnames-`(`*tmp*`, value = seq(ncol(tmp_val))) :
attempt to set 'colnames' on an object with less than two dimensions
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[R-SIG-Finance] Help with quantstrat
Hi all, I am beginner with quantstrat. I would like to try a simple strategy but I have some difficulties to program it. The strategy is based on two signals : the CCI and the RSI. First, I compute RSI and CCI for period n=21. Let's denote them rsi21 and cci21. Secondly, I compute two moving average for rsi21 and cci21 with two periodes : 8 and 14. I obtain four signals. Let's denote i3 and i4 for rsi21, and i5 and i6 for cci21. Finally, I enter for a long position if (i3i4)(i5i6) I enter for a short position if (i3i4)(i5i6) I exit for a long or a short position when it is flat. ### rsi21=RSI(Cl(mktdata),n=21) cci21=RSI(Cl(mktdata),n=21) i3 is equal to SMA(rsi21,8) i4 is equal to SMA(rsi21,14) i5 is equal to SMA(cci21,8) i6 is equal to SMA(cci21,14) up=(i3i4)(i5i6) dn=(i3i4)(i5i6) flat=!up !dn ### So I try to program these strategy but I don't know how to take into account the different boolean conditions with the add.rule() function #indicators add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(RSI(Cl(mktdata),n=8)), n=20), label=i3) add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(RSI(Cl(mktdata),n=14)), n=20), label=i4) add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(CCI(Cl(mktdata),n=8)), n=20), label=i5) add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(CCI(Cl(mktdata),n=14)), n=20), label=i6) #signals add.signal(mystrategy,name=sigCrossover,arguments = list(columns=c(i3,i4),relationship=gt), label=i3.gt.i4) add.signal(mystrategy,name=sigCrossover, arguments = list(columns=c(i5,i6),relationship=gt), label=i5.gt.i6) add.signal(mystrategy,name=sigCrossover, arguments = list(columns=c(i3,i4),relationship=lt), label=i3.lt.i4) add.signal(mystrategy,name=sigCrossover, arguments = list(columns=c(i5,i6),relationship=lt), label=i5.lt.i6) #rules ??? Could someone help me ? Best regards, Olivier. ___ R-SIG-Finance@r-project.org 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.
[R-SIG-Finance] Help with quantstrat
Hi all, I am beginner with quantstrat. I would like to try a simple strategy but I have some difficulties to program it. The strategy is based on two signals : the CCI and the RSI. First, I compute RSI and CCI for period n=21. Let's denote them rsi21 and cci21. Secondly, I compute two moving average for rsi21 and cci21 with two periodes : 8 and 14. I obtain four signals. Let's denote i3 and i4 for rsi21, and i5 and i6 for cci21. Finally, I enter for a long position if (i3i4)(i5i6) I enter for a short position if (i3i4)(i5i6) I exit for a long or a short position when it is flat. ### rsi21=RSI(Cl(mktdata),n=21) cci21=RSI(Cl(mktdata),n=21) i3 is equal to SMA(rsi21,8) i4 is equal to SMA(rsi21,14) i5 is equal to SMA(cci21,8) i6 is equal to SMA(cci21,14) up=(i3i4)(i5i6) dn=(i3i4)(i5i6) flat=!up | !dn ### So I try to program these strategy but I don't know how to take into account the different boolean conditions with the add.rule() function #indicators add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(RSI(Cl(mktdata),n=8)), n=20), label=i3) add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(RSI(Cl(mktdata),n=14)), n=20), label=i4) add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(CCI(Cl(mktdata),n=8)), n=20), label=i5) add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(CCI(Cl(mktdata),n=14)), n=20), label=i6) #signals add.signal(mystrategy,name=sigCrossover,arguments = list(columns=c(i3,i4),relationship=gt), label=i3.gt.i4) add.signal(mystrategy,name=sigCrossover, arguments = list(columns=c(i5,i6),relationship=gt), label=i5.gt.i6) add.signal(mystrategy,name=sigCrossover, arguments = list(columns=c(i3,i4),relationship=lt), label=i3.lt.i4) add.signal(mystrategy,name=sigCrossover, arguments = list(columns=c(i5,i6),relationship=lt), label=i5.lt.i6) #rules ??? Could someone help me ? Best regards, Olivier. ___ R-SIG-Finance@r-project.org 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.
Re: [R-SIG-Finance] Help with quantstrat.. correction
Sorry, I made a mistake in my preious mail... flat=!up !dn Le 10/01/2015 19:24, Olivier MARTIN a écrit : Hi all, I am beginner with quantstrat. I would like to try a simple strategy but I have some difficulties to program it. The strategy is based on two signals : the CCI and the RSI. First, I compute RSI and CCI for period n=21. Let's denote them rsi21 and cci21. Secondly, I compute two moving average for rsi21 and cci21 with two periodes : 8 and 14. I obtain four signals. Let's denote i3 and i4 for rsi21, and i5 and i6 for cci21. Finally, I enter for a long position if (i3i4)(i5i6) I enter for a short position if (i3i4)(i5i6) I exit for a long or a short position when it is flat. ### rsi21=RSI(Cl(mktdata),n=21) cci21=RSI(Cl(mktdata),n=21) i3 is equal to SMA(rsi21,8) i4 is equal to SMA(rsi21,14) i5 is equal to SMA(cci21,8) i6 is equal to SMA(cci21,14) up=(i3i4)(i5i6) dn=(i3i4)(i5i6) flat=!up | !dn ### So I try to program these strategy but I don't know how to take into account the different boolean conditions with the add.rule() function #indicators add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(RSI(Cl(mktdata),n=8)), n=20), label=i3) add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(RSI(Cl(mktdata),n=14)), n=20), label=i4) add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(CCI(Cl(mktdata),n=8)), n=20), label=i5) add.indicator(strategy =mystrategy, name = SMA,arguments = list(x = quote(CCI(Cl(mktdata),n=14)), n=20), label=i6) #signals add.signal(mystrategy,name=sigCrossover,arguments = list(columns=c(i3,i4),relationship=gt), label=i3.gt.i4) add.signal(mystrategy,name=sigCrossover, arguments = list(columns=c(i5,i6),relationship=gt), label=i5.gt.i6) add.signal(mystrategy,name=sigCrossover, arguments = list(columns=c(i3,i4),relationship=lt), label=i3.lt.i4) add.signal(mystrategy,name=sigCrossover, arguments = list(columns=c(i5,i6),relationship=lt), label=i5.lt.i6) #rules ??? Could someone help me ? Best regards, Olivier. ___ R-SIG-Finance@r-project.org 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. -- - MARTIN Olivier INRA-Centre de recherche PACA 228 route de l Aerodrome Unité Biostatistique Processus Spatiaux CS 40509 Domaine St Paul, Site Agroparc 84914 Avignon Cedex 9, France Tel : 04 32 72 21 57 ___ R-SIG-Finance@r-project.org 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.
[R-SIG-Finance] problem with quantstrat
Hi all, This my problem with the package quantstrat. When I execute demo(maCross) or demo(macd) I obtain the following message for the step applyStrategy(): out-applyStrategy(strat.st , portfolios=portfolio.st,parameters=list(nFast=fastMA, nSlow=slowMA, nSig=signalMA,maType=maType),verbose=TRUE) Erreur dans NextMethod(.Generic) : dims [produit 1] ne correspond pas à la longueur de l'objet [9] De plus : Message d'avis : In which((if (!is.null(status)) ordersubset[, Order.Status] == : Méthodes incompatibles (Ops.POSIXt, Ops.Date) pour Sorry my version is in french: this is an (approximate) translation: Error in NextMethod(.Generic) : dims [product 1] do not correspond to the size of object [9] Moreover: warning message : In which((if (!is.null(status)) ordersubset[, Order.Status] == : incompatible methods (Ops.POSIXt, Ops.Date) pour I tried the package with the R version R-2.15.3 and the version R-3.0.1 on Ubuntu system. I think that therie is no pb on windows system. Thanks for your help, O. ___ R-SIG-Finance@r-project.org 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.
[R-SIG-Finance] quantmod bug ?
Hi all, I recently posted a problem concerning shaded regions with quantmod package. More precisely, I used the function addTA with a boolean vector: for example addTA(vecB,col=green,border=NA,on=-1) where vecB is the boolean vector. In some cases, the shading result was not conform with the boolean vector. I checked the R source program, and more precisely the function chartTA() in TA.R file. So in the function chartTA, it seems that there is a mistake with the vector x.pos. the vector is given by x.pos - 1 + spacing * (1:length(x.range)) and it seems that this vector should be x.pos - 1:(spacing*x.range[2]) So I hope this indication would be relevant for people who work on the improvements of this package. Best regards. O. ___ R-SIG-Finance@r-project.org 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.
[R-SIG-Finance] about quantmod and shaded region
Hi all,
I am a new user of quantmod package (version 0.3-8) and I have some
problems.
I would like to add shaded regions to a chart.
1. I tried the following commands (from slide presentation of Jeff Ryan)
getSymbols('^FCHI',source=yahoo)
CAC=FCHI
candleChart(CAC,theme=white,subset='2012-05::2012-08',TA=NULL)
addTA(RSI(Cl(CAC))50,col=green,border=NA,on=-1)
addTA(RSI(Cl(CAC))40 RSI(Cl(CAC))50 ,col=red,border=NA,on=-1)
addTA(RSI(Cl(CAC)) ,on=NA)
So the first region RSI(Cl(CAC))50 is correctly shaded, but the second
region
RSI(Cl(CAC))40 RSI(Cl(CAC))50 isn't. So I supposed a bug with
bollean vectors
with addTA() ?
2. On the web, I found a mail from Jeff Ryan and he proposed to use the
function xts()
times - timeBasedSeq(20071001/2007) # create a Date sequence from 2007-10-01
to 2007-12-31
addTA(xts(rep(TRUE,length(times)), times), on=-1, col=#33, border=NA)
Nevertheless, this command gives me an error concerning the function rect().
3. I also tried to use the function newAT() without success.. :-(
Best Regards,
O.
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