The demo breaks after the for loop with the error: object 'ConMult' not found.
Is this a known issue or am I doing something wrong?
I have compared my R settings with Brian's examples in http://ethos.braverock.com/brian/longtrend/sessioninfo.txt
My xts and zoo package seem to be newer than the ones in the example settings. Is this causing the problem?
Maybe someone can point me to the right direction.
My current setup is the following:
R.version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 2
minor 10.1
year 2009
month 12
day 14
svn rev 50720
language R
version.string R version 2.10.1 (2009-12-14)
sessionInfo()
R version 2.10.1 (2009-12-14)
i386-pc-mingw32
locale:
[1] LC_COLLATE=English_United Kingdom.1252 LC_CTYPE=English_United Kingdom.1252 LC_MONETARY=English_United Kingdom.1252
[4] LC_NUMERIC=C LC_TIME=English_United Kingdom.1252
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] PerformanceAnalytics_1.0.2 blotter_0.4 FinancialInstrument_0.0.2 quantmod_0.3-14 TTR_0.20-1
[6] Defaults_1.1-1 xts_0.7-1 zoo_1.6-3
loaded via a namespace (and not attached):
[1] grid_2.10.1 lattice_0.18-3 tools_2.10.1
And here is the code snippet of the demo('longtrend') that is breaking:
# Create trades
for( i in 10:NROW(GSPC) ) {
+ # browser()
+ CurrentDate=time(GSPC)[i]
+ cat(".")
+ equity = getEndEq(ltaccount, CurrentDate)
+
+ ClosePrice = as.numeric(Ad(GSPC[i,]))
+ Posn = getPosQty(ltportfolio, Symbol='GSPC', Date=CurrentDate)
+ UnitSize = as.numeric(trunc(equity/ClosePrice))
+
+ # Position Entry (assume fill at close)
+ if( Posn == 0 ) {
+ # No position, so test to initiate Long position
+ if( as.numeric(Ad(GSPC[i,])) > as.numeric(GSPC[i,'SMA10m']) ) {
+ cat('\n')
+ # Store trade with blotter
+ addTxn(ltportfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = UnitSize , TxnFees=0, verbose=verbose)
+ }
+ } else {
+ # Have a position, so check exit
+ if( as.numeric(Ad(GSPC[i,])) < as.numeric(GSPC[i,'SMA10m'])) {
+ cat('\n')
+ # Store trade with blotter
+ addTxn(ltportfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0, verbose=verbose)
+ }
+ }
+
+ # Calculate P&L and resulting equity with blotter
+ updatePortf(ltportfolio, Dates = CurrentDate)
+ updateAcct(ltaccount, Dates = CurrentDate)
+ updateEndEq(ltaccount, Dates = CurrentDate)
+ } # End dates loop
.
[1] "1998-10-30 GSPC 91 @ 1098.67"
Error: object 'ConMult' not found
In addition: There were 15 warnings (use warnings() to see them)
Thanks for your help!
Regards,
Wolfgang Wu
_______________________________
?gt ?ber einen herausragenden Schutz gegen Massenmails.
http://mail.yahoo.com