Customized indicator for quantstrat

Thank you Soren and Brian. Explicitly renaming output column name of
devCalc to "dev" seems to work. Now I can run applyStrategy until end of
data. The problem now is that, after looking at transactions, it keeps
buying whenever dev > 0.2. I would like to only buy 1 when there is no
position. Likewise, when dev < -0.2, I would like to sell one only when
there is no position. Do you know how to fix this? Thank you again.

On Sat, Dec 15, 2012 at 6:40 AM, Brian G. Peterson <brian at braverock.com>wrote:

On 12/15/2012 04:26 AM, me wrote:

On Fri, 14 Dec 2012 23:56:08 -0500
"Robert A'gata" <rhelpacc at gmail.com> wrote:

  Hi,

I am trying to learn how to create customized indicator. Mostly I
have my own recipe which TTR does not cover. I only know that the
indicator function is supposed to return xts. But I couldn't get it
to work on my example. I attached the file here. The customized
indicator function is called "devCalc" which calculates deviation
between current price and a given VWAP. Then normalized with
volatility. I named the indicator as "dev" in add.indicator's label.
R complains that no "dev" found when I try to use it to define my
signal. Any help would be appreciated. Thank you.

Robert

I think I have encountered this problem before. For some reason, you
have to make sure that the 'devCalc' function that calculates your
indicator returns an xts object *with the correct column names*. In your
case, I think you should do something like this.

devCalc(...){
    ...
    colnames(res) <- 'dev'
    return(res)
}


For some reason, the label="dev" argument in the declaration below is
not enough.


stratVwap <- add.indicator(strategy=**stratVwap,name="devCalc",
                                 arguments=list(price=quote(**
mktdata$price),
                                 vwap=quote(mktdata$vwap)),
                                 label="dev");

applyIndicators will append the label in all cases, I believe.

It seemed from Robert's original post and reported error that he probably
used name='dev' rather than name='devCalc', since R reported that it could
not find a function *named* 'dev'.