quantstrat 中的问题：缺少参数“price”，没有默认值

Question

我是一个尝试在 quantstrat 上进行回测的新用户，当我运行以下代码时，会在底部显示消息。谁能帮我解决它？

library(quantmod)
initdate = "1999-01-01"
from = "2003-01-01"
to = "2015-06-30"
remove(srs)
symbols("spy")
src = "yahoo"
getSymbols("SPY", from = from, to = to, src = src, adjust = TRUE)
plot(Cl(SPY))
getSymbols("GBP", from = from, to = to, src = src, adjust = TRUE)
lines(SMA(Cl(SPY),n = 200, col = "red"))
Sys.setenv(TZ = "UTC")
library(quantstrat)
currency("USD")
library(quantmod)
getSymbols("GDX", from = from, to = to, src = src, adjust = TRUE)
stock("GDX", currency = "USD")
stock("SPY", currency = "USD")
tradesize <- 100000
initeq <- 100000
strategy.st <-"firststrat"
portfolio.st <- "firststrat"
account.st <- "firststrat"
rm.strat(strategy.st)
initPortf(portfolio.st, symbols = "SPY", initdate = initdate, currency = "USD")
initAcct(account.st, portfolio = portfolio.st, initDate = initdate, currency = "USD",initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store = TRUE)
spy_sma <- SMA(x=Cl(SPY), n = 200)
spy_rsi <- RSI(price=Cl(SPY), n=3)
plot(Cl(SPY))
lines(SMA(Cl(SPY), n=200, col = "red"))
"trend"
plot(Cl(SPY))
plot(RSI(Cl(SPY), n = 2))
"reversion"
add.indicator(strategy = strategy.st, 
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)), n = 200),
              label = "SMA200")
add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)), n = 50),
              label = "SMA50")
add.indicator(strategy = strategy.st,
              name = "RSI",
              arguments = list(x=quote(Cl(maktdata)), n = 3),
              label = "RSI_3")
RSI_avg <- function(price, n1, n2) {
  rsi_1 <- RSI(price = price, n = 1)
  rsi_2 <- RSI(price = price, n = 2)
  RSI_avg <- (rsi_1/rsi_2)/2
  colnames(RSI_avg) <- "RSI_avg"
  return (RSI_avg)
}
add.indicator(strategy.st, name = "RSI_avg", arguments = list(price = quote(Cl(mktdata)), n1 = 3, n2 = 4), label = "RSI_3_4")
DVO <-function(HLC, navg = 2, percentlookback = 126){
  ratio <- Cl(HLC/(Hi(HLC) + Lo(HLC))/2)
  avgratio <- SMA(ratio, n = navg)
  out <- runPercentRank(avgratio, n = percentlookback, exact.multiplier = 1)*100
  colnames(out) <- "DVO"
  return(out)
}
add.indicator(strategy.st, name = "DVO", arguments = list (HLC=quote(HLC(mktdata)),navg = 2, percentlookback = 126), label = "DVO_2_126")
test <- applyIndicators(strategy = strategy.st, mktdata = OHLC(SPY))

在我的控制台上出现以下消息

测试

Answer 1

RSI 采用参数price，而不是x。还要注意如何在DVO 中构建比率。在RSI_3 中，mktdata 也有错字。目前尚不清楚您为什么在此代码中请求“GBP”，也不清楚为什么还要调用symbols("spy")，但它们并不是您问题的一部分。

这些更改应该使您的代码工作：

library(quantmod)
initdate = "1999-01-01"
from = "2003-01-01"
to = "2015-06-30"
#remove(srs)
#symbols("spy")
src = "yahoo"
getSymbols("SPY", from = from, to = to, src = src, adjust = TRUE)
plot(Cl(SPY))
getSymbols("GBP", from = from, to = to, src = src, adjust = TRUE)
lines(SMA(Cl(SPY),n = 200, col = "red"))
Sys.setenv(TZ = "UTC")
library(quantstrat)
currency("USD")
library(quantmod)
getSymbols("GDX", from = from, to = to, src = src, adjust = TRUE)
stock("GDX", currency = "USD")
stock("SPY", currency = "USD")
tradesize <- 100000
initeq <- 100000
strategy.st <-"firststrat"
portfolio.st <- "firststrat"
account.st <- "firststrat"
rm.strat(strategy.st)
initPortf(portfolio.st, symbols = "SPY", initdate = initdate, currency = "USD")
initAcct(account.st, portfolio = portfolio.st, initDate = initdate, currency = "USD",initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store = TRUE)
spy_sma <- SMA(x=Cl(SPY), n = 200)
spy_rsi <- RSI(price=Cl(SPY), n=3)
plot(Cl(SPY))
lines(SMA(Cl(SPY), n=200, col = "red"))
"trend"
plot(Cl(SPY))
plot(RSI(Cl(SPY), n = 2))
"reversion"
add.indicator(strategy = strategy.st, 
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)), n = 200),
              label = "SMA200")
add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)), n = 50),
              label = "SMA50")
add.indicator(strategy = strategy.st,
              name = "RSI",
              arguments = list(price=quote(Cl(mktdata)), n = 3),
              label = "RSI_3")
RSI_avg <- function(price, n1, n2) {
    rsi_1 <- RSI(price = price, n = 1)
    rsi_2 <- RSI(price = price, n = 2)
    RSI_avg <- (rsi_1/rsi_2)/2
    colnames(RSI_avg) <- "RSI_avg"
    return (RSI_avg)
}
add.indicator(strategy.st, name = "RSI_avg", arguments = list(price = quote(Cl(mktdata)), n1 = 3, n2 = 4), label = "RSI_3_4")
DVO <-function(HLC, navg = 2, percentlookback = 126){
    ratio <- Cl(HLC)/(Hi(HLC) + Lo(HLC))/2
    avgratio <- SMA(ratio, n = navg)
    out <- runPercentRank(avgratio, n = percentlookback, exact.multiplier = 1)*100
    colnames(out) <- "DVO"
    return(out)
}
add.indicator(strategy.st, name = "DVO", arguments = list (HLC=quote(HLC(mktdata)),navg = 2, percentlookback = 126), label = "DVO_2_126")
test <- applyIndicators(strategy = strategy.st, mktdata = OHLC(SPY))

Answer 2

global environment 我测试了这段代码，它可以工作。我必须安装 R 3.5 才能使用 quantstrat ，但它给出的答案与“Datacamp”练习中的答案相同。我也遇到了和你一样的问题，但是意识到我没有正确格式化 DVO add.indicator 代码。

# Create a 200-day SMA
spy_sma <- SMA(Cl(SPY), n = 200)

# Create an RSI with a 3-day lookback period
spy_rsi <- RSI(Cl(SPY), n = 3)

# Plot the closing prices of SPY
plot(Cl(SPY))
# Overlay a 200-day SMA
lines(SMA(Cl(SPY), n = 200), col = "red")

add.indicator(strategy = strategy.st, 
              # Add the SMA function
              name = "SMA", #TTR function
              # Create a lookback period
              arguments = list(x = quote(Cl(mktdata)), n = 200), 
              # Label your indicator SMA200 ________ equivalent to "<-"
              label = "SMA200")

# Add a 50-day SMA indicator to strategy.st
add.indicator(strategy = strategy.st, 
              # Add the SMA function
              name = "SMA", 
              # Create a lookback period
              arguments = list(x = quote(Cl(mktdata)), n = 50), 
              # Label your indicator SMA50
              label = "SMA50")


# Add an RSI 3 indicator to strategy.st
add.indicator(strategy = strategy.st, 
              # Add the RSI 3 function
              name = "RSI", 
              # Create a lookback period
              arguments = list(x = quote(Cl(mktdata)), n = 3), 
              # Label your indicator RSI_3
              label = "RSI_3")


library(TTR)
library(quantmod)
# Write the calc_RSI_avg function
calc_RSI_avg <- function(price, n1, n2) {
  
  # RSI 1 takes an input of the price and n1
  RSI_1 <- RSI(price = price, n = 1)
  
  # RSI 2 takes an input of the price and n2
  RSI_2 <- RSI(price = price, n = 2)
  
  # RSI_avg is the average of RSI_1 and RSI_2
  RSI_avg <- (RSI_1 + RSI_2)/2
  
  # Your output of RSI_avg needs a column name of RSI_avg
  colnames(RSI_avg) <- "RSI_avg"
  return(RSI_avg)
}

# Add this function as RSI_3_4 to your strategy with n1 = 3 and n2 = 4
add.indicator(strategy.st, name = "RSI_3_4", arguments = list(price = quote(Cl(mktdata)), n1 = 3, n2 = 4), label = "RSI_3_4")

DVO <- function(HLC, navg = 2, percentlookback = 126) {
  
  # Compute the ratio between closing prices to the average of high and low
  ratio <- Cl(HLC)/((Hi(HLC) + Lo(HLC))/2)
  
  # Smooth out the ratio outputs using a moving average
  avgratio <- SMA(ratio, n = 2)
  
  # Convert ratio into a 0-100 value using runPercentRank()
  out <- runPercentRank(avgratio, n = percentlookback, exact.multiplier = 1) * 100
  colnames(out) <- "DVO"
  return(out)
}
  
# Add the DVO indicator to your strategy
add.indicator(strategy = strategy.st, name = "DVO", 
              arguments = list(HLC = quote(HLC(mktdata)), navg = 2, percentlookback = 126),
              label = "DVO_2_126")

# Use applyIndicators to test out your indicators
test <- applyIndicators(strategy = strategy.st, mktdata = OHLC(SPY))

# Subset your data between Sep. 1 and Sep. 5 of 2013
test_subset <- test["2013-09-01/2013-09-05"]