【发布时间】：2018-10-01 08:58:41
【问题描述】：
我在 Quantstrat 上使用交易统计并获得了与这个世界不同的正结束股票（起始股票 = 1m）。然而，令人费解的是，当我将业绩列成表格时，累积回报是-1.0。
如何才能拥有正的期末净值和负的累积回报？我对结束股权的理解是错误的吗？
library(quantmod)
library(FinancialInstrument)
library(PerformanceAnalytics)
library(foreach)
library(blotter)
library(quantstrat)
options("getSymbols.yahoo.warning"=FALSE)
options("getSymbols.warning4.0"=FALSE)
initDate="1990-01-01"
from ="2009-01-01"
to ="2013-01-01"
symbols = c("SPY")
currency("USD")
getSymbols(symbols, from=from, to=to, adjust=TRUE)
stock(symbols, currency="USD", multiplier=1)
initEq=1000000
strategy.st <- portfolio.st <- account.st <- "mystrat"
rm.strat(portfolio.st)
rm.strat(account.st)
initPortf(name=portfolio.st,
symbols=symbols,
initDate=initDate,
currency='USD')
initAcct(name=account.st,
portfolios=portfolio.st,
initDate=initDate,
currency='USD',
initEq=initEq)
initOrders(portfolio=portfolio.st,
initDate=initDate)
strategy(strategy.st, store=TRUE)
### Add Indicators
nRSI <- 21
buyThresh <- 50
sellThresh <- 50
#Indicator for EMA long medium short
nEMAL<- 200
nEMAM<- 30
nEMAS<- 13
nEMAF<- 5
add.indicator(strategy.st, name="RSI",
arguments=list(price=quote(Cl(mktdata)), n=nRSI),
label="rsi")
add.indicator(strategy.st, name="EMA",
arguments=list(x=quote(Cl(mktdata)), n=nEMAL),
label="EMAL")
add.indicator(strategy.st, name="EMA",
arguments=list(x=quote(Cl(mktdata)), n=nEMAM),
label="EMAM")
add.indicator(strategy.st, name="EMA",
arguments=list(x=quote(Cl(mktdata)), n=nEMAS),
label="EMAS")
add.indicator(strategy.st, name="EMA",
arguments=list(x=quote(Cl(mktdata)), n=nEMAF),
label="EMAF")
upsig <- function(data) {
sig <- data[, "rsi"] >50 & data[, "EMA.EMAM"] > data[, "EMA.EMAL"]
colnames(sig) <- "upSig"
sig
}
downsig <- function(data) {
sig <- data[, "rsi"] <50 & data[, "EMA.EMAM"] < data[, "EMA.EMAL"]
colnames(sig) <- "downSig"
sig
}
### Add Signal- Enter
add.signal(strategy.st, name="upsig",
arguments=list(data = quote(mktdata)),
label = "entersig")
add.signal(strategy.st, name="downsig",
arguments=list(data = quote(mktdata)),
label = "exitsig")
### Add rule - Enter
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="upSig.entersig",
sigval=TRUE,
orderqty=1000,
ordertype='market',
orderside='long',
threshold=NULL),
type='enter',
path.dep=TRUE)
### Add rule- Exit
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="downSig.exitsig",
sigval=TRUE,
orderqty= -1000,
ordertype='market',
orderside='long',
pricemethod='market',
replace=FALSE),
type='exit',
path.dep=TRUE)
start_t<-Sys.time()
out<-try(applyStrategy(strategy=strategy.st,
portfolios=portfolio.st))
updatePortf(portfolio.st)
updateAcct(portfolio.st)
updateEndEq(account.st)
for(symbol in symbols) {
chart.Posn(
Portfolio=portfolio.st,
Symbol=symbol,
log=TRUE)
}
tstats <- tradeStats(portfolio.st)
t(tstats)
rets <- PortfReturns(Account = account.st)
rownames(rets) <- NULL
charts.PerformanceSummary(rets, colorset = bluefocus)
tab.perf <- table.Arbitrary(rets,
metrics=c(
"Return.cumulative",
"Return.annualized",
"SharpeRatio.annualized",
"CalmarRatio"),
metricsNames=c(
"Cumulative Return",
"Annualized Return",
"Annualized Sharpe Ratio",
"Calmar Ratio"))
tab.perf
#Test here
#test <-try(applyIndicators(strategy.st,mktdata=OHLC(AAPL)))
#head(test, n=40)
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标签： r trading quantstrat technical-indicator