Multi Asset portfolio failing at applyStrategy with 'data' must be of a vector type, was 'NULL'
Dear Joshua,
Sequel to your response below, what package can other nationals whose data are not in R use to do analysis and manage assets??Thank You and Best Regards,?EmekaIntegrity is work your talk don't talk your work
From: Joshua Ulrich <josh.m.ulrich at gmail.com>
To: golam sakline <golam.sakline at gmail.com>
Cc: r-sig-finance <r-sig-finance at r-project.org>
Sent: Monday, 8 August 2016, 13:58
Subject: Re: [R-SIG-Finance] Multi Asset portfolio failing at applyStrategy with 'data' must be of a vector type, was 'NULL'
On Mon, Aug 8, 2016 at 7:48 AM, golam sakline <golam.sakline at gmail.com> wrote:
Hi All, I have an error at applyStrategy that is failing with "Error in array(x, c(length(x), 1L), if (!is.null(names(x))) list(names(x),? : 'data' must be of a vector type, was 'NULL'" . I believe the problem is occurring at add.indicator function "RT" that takes in OHLC(mktdata) data and outputs an univariate series. This error doesn't occur when I replace RT with MACD function that takes in Cl(mktdata) rather than OHLC. This error doesn't occur when I am using RT function with a single asset in the symbol i.e. the length(symbol) = 1. What am I doing wrong or missing here?
It is nearly impossible for anyone to help you because your example uses data (CSVs on your local hard drive) and functions (in functions.R) that no one else has access to.? And you suspect the error is related to one of those functions...
Thanks in advance. Much appreciated.
G
##########################################################################
rm(list = ls(all = TRUE))
setwd("/Users/mm/Documents/R")
library(lattice)
library(timeSeries)
library(timeDate)
library(PerformanceAnalytics)
library(quantmod)
library(xts)
library(blotter)
library(TTR)
library(quantstrat)
library(FinancialInstrument)
source("functions.R")
setwd("/Users/mm/Documents/R/UAE")
options("getSymbols.warning4.0" = FALSE)
#sessionInfo()
startDate = "2015-07-01"
symbols <- c("DFMC", "ARTC", "EMAARMALLS", "DUBAIPARKS")
Sys.setenv(TZ="UTC")
getSymbols("DFM", src="csv",
col.names=c("Open","High","Low","Close","Volume"))
getSymbols(symbols, src="csv",
col.names=c("Open","High","Low","Close","Volume"))
initDate <- "2015-07-01"
initEq <- 100000
tradeSize <- initEq/length(symbols)
currency("USD")
stock(symbols, currency="USD",multiplier=1)
myTheme<-chart_theme()
myTheme$col$dn.col<- 'lightblue'
myTheme$col$dn.border <-? 'lightgray'
myTheme$col$up.border <-? 'lightgray'
par(mfrow=c(2,2))
for(symbol in symbols)
{
? plot(chart_Series(get(symbol),name=symbol))
}
par(mfrow=c(1,1))
if(exists('.strategy')) rm.strat(qs.strategy)
if(!exists('.blotter')) .blotter <- new.env()
if(!exists('.strategy')) .strategy <- new.env()
qs.strategy <- "AD26"
initPortf(qs.strategy, symbols, initDate=initDate)
initAcct(qs.strategy,portfolios=qs.strategy, initDate=initDate,
initEq=initEq)
initOrders(portfolio=qs.strategy,initDate=initDate)
strategy(qs.strategy,store=TRUE)
add.indicator("AD26", name = "RT",
? ? ? ? ? ? ? arguments = list(x=quote(OHLC(mktdata))),label= "RT")
summary(getStrategy(qs.strategy))
#########################################################################
add.signal(qs.strategy, name="sigCrossover",
arguments=list(columns=c("Close", "RT"), relationship="gte"), label="Buy")
add.signal(qs.strategy, name="sigCrossover",
arguments=list(columns=c("Close", "RT"), relationship="lt"), label="Sell")
#########################################################################
summary(getStrategy(qs.strategy))
#########################################################################
add.rule(qs.strategy, name='ruleSignal',
? ? ? ? ? arguments = list(sigcol="Buy", sigval=TRUE,
? ? ? ? ? ? ? ? ? ? ? ? ? prefer ="open",
? ? ? ? ? ? ? ? ? ? ? ? ? replace = FALSE,
? ? ? ? ? ? ? ? ? ? ? ? ? orderqty = 10,
? ? ? ? ? ? ? ? ? ? ? ? ? osFUN = "osFixedDollar",
? ? ? ? ? ? ? ? ? ? ? ? ? ordertype='market',
? ? ? ? ? ? ? ? ? ? ? ? ? orderside='long',
? ? ? ? ? ? ? ? ? ? ? ? ? TxnFees=-5,
? ? ? ? ? ? ? ? ? ? ? ? ? orderset ="ocolong"
? ? ? ? ? ),
? ? ? ? ? type='enter',
? ? ? ? ? label = 'LE'
)
add.rule(qs.strategy, name='ruleSignal',
? ? ? ? ? arguments = list(sigcol="Sell", sigval=TRUE,
? ? ? ? ? ? ? ? ? ? ? ? ? replace = TRUE,
? ? ? ? ? ? ? ? ? ? ? ? ? prefer ="open",
? ? ? ? ? ? ? ? ? ? ? ? ? orderqty="all",
? ? ? ? ? ? ? ? ? ? ? ? ? ordertype='market',
? ? ? ? ? ? ? ? ? ? ? ? ? orderside='long',
? ? ? ? ? ? ? ? ? ? ? ? ? TxnFees=-5,
? ? ? ? ? ? ? ? ? ? ? ? ? orderset = "ocolong"
? ? ? ? ? ),
? ? ? ? ? type='exit',
? ? ? ? ? label = "LX"
)
add.rule(qs.strategy, name='ruleSignal',
? ? ? ? ? arguments = list(sigcol="Buy", sigval=TRUE,
? ? ? ? ? ? ? ? ? ? ? ? ? replace =FALSE,
? ? ? ? ? ? ? ? ? ? ? ? ? orderqty="all",
? ? ? ? ? ? ? ? ? ? ? ? ? ordertype='stoplimit',
? ? ? ? ? ? ? ? ? ? ? ? ? orderside='long',
? ? ? ? ? ? ? ? ? ? ? ? ? tmult = TRUE,
? ? ? ? ? ? ? ? ? ? ? ? ? threshold = quote(stopLossPercent),
? ? ? ? ? ? ? ? ? ? ? ? ? TxnFees=-5,
? ? ? ? ? ? ? ? ? ? ? ? ? orderset = "ocolong"
? ? ? ? ? ),
? ? ? ? ? type='chain',
? ? ? ? ? parent = "LE",
? ? ? ? ? label = "StopLossLong",
? ? ? ? ? enabled = FALSE
)
summary(getStrategy(qs.strategy))
#enable.rule(qs.strategy, type="chain", label ="StopLoss")
applyStrategy(strategy=qs.strategy , portfolios=qs.strategy, verbose=TRUE)
updatePortf(qs.strategy)
updateAcct(qs.strategy)
updateEndEq(qs.strategy)
checkBlotterUpdate("AD26", "AD26")
##################################################################
OUTPUT:
<snip>
applyStrategy(strategy=qs.strategy , portfolios=qs.strategy, verbose=TRUE)
*Error in array(x, c(length(x), 1L), if (!is.null(names(x))) list(names(x), ? : * *? 'data' must be of a vector type, was 'NULL'* *In addition: Warning messages:* *1: In min(j, na.rm = TRUE) :* *? no non-missing arguments to min; returning Inf* *2: In max(j, na.rm = TRUE) :* *? no non-missing arguments to max; returning -Inf* *Called from: array(x, c(length(x), 1L), if (!is.null(names(x))) list(names(x), * *? ? NULL) else NULL)* Browse[1]>
updatePortf(qs.strategy)
[1] "AD26"
updateAcct(qs.strategy)
[1] "AD26"
updateEndEq(qs.strategy)
[1] "AD26"
checkBlotterUpdate("AD26", "AD26")
[1] TRUE
sessionInfo()
R version 3.2.4 (2016-03-10) Platform: x86_64-apple-darwin13.4.0 (64-bit) Running under: OS X 10.11.6 (El Capitan) locale: [1] en_GB.UTF-8/en_GB.UTF-8/en_GB.UTF-8/C/en_GB.UTF-8/en_GB.UTF-8 attached base packages: [1] stats? ? graphics? grDevices utils? ? datasets? methods? base other attached packages: ? [1] quantstrat_0.9.1739? ? ? ? ? foreach_1.4.3 blotter_0.9.1741 ? [4] FinancialInstrument_1.2.0? ? quantmod_0.4-5? ? ? ? ? ? ? ? TTR_0.23-1 ? [7] PerformanceAnalytics_1.4.3541 xts_0.9-7? ? ? ? ? ? ? ? ? ? zoo_1.7-13 [10] timeSeries_3022.101.2? ? ? ? timeDate_3012.100 lattice_0.20-33 loaded via a namespace (and not attached): [1] rsconnect_0.4.2.2 tools_3.2.4? ? ? codetools_0.2-14? grid_3.2.4 ? iterators_1.0.8 ? ? ? ? [[alternative HTML version deleted]]
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Joshua Ulrich? |? about.me/joshuaulrich FOSS Trading? |? www.fosstrading.com R/Finance 2016 | www.rinfinance.com _______________________________________________ R-SIG-Finance at 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. [[alternative HTML version deleted]]