On Tue, Aug 2, 2016 at 5:27 PM, Joshua Ulrich <josh.m.ulrich at gmail.com>
wrote:
Hi Erol,
On Mon, Aug 1, 2016 at 7:18 PM, Erol Biceroglu
<erol.biceroglu at alumni.utoronto.ca> wrote:
Hello,
I've updated to the latest quanstrat, and still get an error using
apply.paramset.signal.analysis:
Error in post.signal.returns(signals = .sig.list[[name.ref]][,
paste(symbols[j], :
number of items to replace is not a multiple of replacement length
applyStrategy works, apply.paramset works, however I can't get the
portion working and was wondering if anyone knew what the error was.
When I run debug, the problem occurs in *post.signal.returns*, on the
signal.ret[j,] = tryCatch, where the tryCatch returns an xts object
rows, and it wants to update signal.ret[j,] which is length 6.
Thanks for the reproducible example. This looks like a bug when
include.day.of.signal = TRUE. I'll investigate.
Thanks for the report. This should now be fixed in quantstrat on GitHub.
Please note that your call to apply.paramset.signal.analysis does not
have a value for the obj.fun argument, which is required. You can add
obj.fun = signal.obj.slope as an example.
Any feedback would be greatly appreciated. Thanks for your help.
Here's my sessionInfo():
####
sessionInfo()R version 3.3.1 (2016-06-21)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Ubuntu 14.04.4 LTS
locale:
[1] LC_CTYPE=en_CA.UTF-8 LC_NUMERIC=C
LC_TIME=en_CA.UTF-8
[4] LC_COLLATE=en_CA.UTF-8 LC_MONETARY=en_CA.UTF-8
LC_MESSAGES=en_CA.UTF-8
[7] LC_PAPER=en_CA.UTF-8 LC_NAME=C
LC_ADDRESS=C
[10] LC_TELEPHONE=C LC_MEASUREMENT=en_CA.UTF-8
LC_IDENTIFICATION=C
attached base packages:
[1] parallel stats graphics grDevices utils datasets
methods base
other attached packages:
[1] doParallel_1.0.10 iterators_1.0.8
quantstrat_0.9.1739
[4] foreach_1.4.3 blotter_0.9.1695
FinancialInstrument_1.2.0
[7] quantmod_0.4-5 TTR_0.23-1
PerformanceAnalytics_1.4.3541
[10] xts_0.9.874 zoo_1.7-13
loaded via a namespace (and not attached):
[1] compiler_3.3.1 tools_3.3.1 codetools_0.2-14 grid_3.3.1
lattice_0.20-33
####
Here's the MRE:
#################################
library(xts)
library(PerformanceAnalytics)
library(quantmod)
library(TTR)
library(quantstrat)
getSymbols(Symbols = "SPY", from = "2000-01-01")
startDate<-as.Date(index(SPY)[1], format="%Y-%m-%d")
endDate<-as.Date(index(last(SPY)), format="%Y-%m-%d")
currency("USD")
stock(primary_id = c("SPY"),currency = "USD")
#name
maStrategy <-"MAStrategy"
#Date, one day before prices
strategyDate <- min(index(SPY)) - 1
NumSh<-1
#rm.strat(maStrategy)
#rm(mktdata)
maLag <- 5
#init portfolio and account
initPortf(name = maStrategy
, symbols = list("SPY") #as defined in Financial instrument
, initDate = strategyDate
)
initAcct(name = maStrategy
,portfolios = maStrategy
,initDate = strategyDate
,initEq = 1
)
#order book, and strategy
initOrders(portfolio = maStrategy
, initDate = strategyDate
)
#position limits
addPosLimit(maStrategy, symbol = "SPY", strategyDate, maxpos = NumSh,
longlevels = NumSh, minpos = 0)
strategy( maStrategy, store = TRUE)
#add indicator
add.indicator(strategy = maStrategy
, name = "EMA"
, arguments = list(x = quote(mktdata$SPY.Close), n =
quote(maLag))
, label = "SPYma"
)
add.signal(strategy = maStrategy
, name = "sigComparison"
, arguments = list(columns = c("SPY.Close","SPYma")
, relationship = "gt"
)
, label = "SPY.gt.ma"
)
add.signal(strategy = maStrategy
, name = "sigComparison"
, arguments = list(columns = c("SPY.Close","SPYma")
, relationship = "lte"
)
, label = "SPY.lte.ma"
)
#Entry and exit rules
add.rule(strategy = maStrategy
, name = "ruleSignal"
, arguments = list(sigcol = "SPY.gt.ma"
, sigval = TRUE
, orderqty = NumSh
, ordertype = "market"
, orderside = NULL
, osFUN = "osMaxPos"
, symbol = "SPY"
)
, type = "enter"
)
add.rule(strategy = maStrategy
, name = "ruleSignal"
, arguments = list(sigcol = "SPY.lte.ma"
, sigval = TRUE
, orderqty = "all"
, ordertype = "market"
, orderside = NULL
, osFUN = "osMaxPos"
, symbol = "SPY"
)
, type = "exit"
)
applyStrategy(strategy = maStrategy
, portfolios = maStrategy
)
updatePortf(maStrategy)
updateAcct(maStrategy)
updateEndEq(maStrategy)
maLag <- seq(5,10,1)
####################
#delete.paramset(maStrategy,"maLagDist")
add.distribution(strategy = maStrategy
, paramset.label = "maLagDist"
, component.type = "indicator"
, component.label = "SPYma"
, variable = list(n = maLag)
, label = "lagDist"
)
library(foreach)
library(doParallel)
cl <- makeForkCluster(nnodes = detectCores())
registerDoParallel(cl)
maStrategyAP <-
apply.paramset(strategy.st = maStrategy
, paramset.label = "maLagDist"
, portfolio.st = maStrategy
, account.st = maStrategy
)
stopCluster(cl = cl)
cl <- NULL
closeAllConnections()
gc()
#this works
maStrategyAP$tradeStats$Profit.To.Max.Draw
head(mktdata)
#undebug(apply.paramset.signal.analysis)
maStrategyAPSA <-
apply.paramset.signal.analysis(strategy.st = maStrategy
, paramset.label = "maLagDist"
, portfolio.st = maStrategy
, sigcol = "SPY.gt.ma"
, sigval = 1
, on = NULL
, forward.days = 5
, include.day.of.signal = TRUE
)
##################################
Erol Biceroglu
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