Hi All, As the world marches forward, my newbie quantstrat examples have become broken. (How dare they change anything!) I was unaware, so thanks to Scott Schmidt for pointing out that functions of mktdata in the add.indicator command now have a column specified. For example Cl(mktdata) becomes Cl(mktdata)[,1]. Also we should update to the latest versions like I finally did. Best regards, Rob -- View this message in context: http://r.789695.n4.nabble.com/quantstrat-add-indicator-change-mktdata-to-mktdata-1-tp4664153.html Sent from the Rmetrics mailing list archive at Nabble.com.
quantstrat add.indicator change (mktdata) to (mktdata)[, 1]
2 messages · Rob Schmidt, Brian G. Peterson
On 04/13/2013 03:51 PM, Rob Schmidt wrote:
As the world marches forward, my newbie quantstrat examples have become broken. (How dare they change anything!) I was unaware, so thanks to Scott Schmidt for pointing out that functions of mktdata in the add.indicator command now have a column specified. For example Cl(mktdata) becomes Cl(mktdata)[,1]. Also we should update to the latest versions like I finally did.
It would be more accurate to say that moving average functions in TTR now paste the MA type and periodicity onto the name of the data they are passed. So, if you have and xts OHLC object called x, with standard getSymbols-style naming, it would have a column called x.Close. If you extract that column with Cl(x) as input to SMA(Cl(x),20), you'll get back a column called x.Close.SMA.20. The quantstrat indicators code will cbind that to mktdata If you now call Cl(mktdata), you'll get two columns back: x.Close and x.Close.SMA.20. So now you need to specify which one you want in later operations. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock