applyStrategy() in quantstrat

On Mon, 2010-07-19 at 12:59 +0100, Raghu wrote:

Hi

I ran the following code (re-using the BBands.R demo file to test a simple
MACD) but it throws an error in the following way. I tried figuring out but
could not. Any assistances pls? dput(s) and str(s) as follows. Many thanks.


out<-try(applyStrategy(strategy='s' , portfolios='macd1'))
Error in list(x) : 'x' is missing

<snip>

The error was in your arguments list:

s <- add.indicator(strategy = s, name = "MACD", arguments = list(Close =
quote(Close('IBM')), a=a,b=b,c=c, maType=quote(EMA)))

the correct arguments list looks like this:

stratMACD <- add.indicator(strategy = stratMACD, name = "MACD",
arguments = list(x=quote(Cl(mktdata)), nFast=fastMA, nSlow=slowMA,
nSig=signalMA,maType="EMA") )


The arguments for MACD are

MACD(x, nFast=12, nSlow=26, nSig=9, maType, percent=TRUE, ...)

you tried to pass Close, a, b, c as named arguments with the wrong
names.

You would also have seen this warning from quantstrat:

In addition: Warning message:
In applyIndicators(strategy = strategy, mktdata = mktdata, ...) :
?some arguments stored for MACD do not match

which was trying to tell you that your arguments list might have
something wrong with it.

I've attached a simple MACD strategy script that uses sigThreshold
(instead of sigCrossover) to use MACD as a simple trend indicator,
buying when signal is greater than zero, and selling when signal is less
than zero.

This example has been checked in to SVN.

Regards,

?- Brian

--
Brian G. Peterson
http://www.braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock