I'm trying to use historical chart data in .csv format for simple backtesting with the quantstrat package in R. I've tried to use different sources - daily OHLC charts, tick data etc. , but I always get this error:
hasTsp(x): invalid time series parameters specified
It's important to note that everything works fine when I'm using getSymbols() instead of the .csv file.
First I import the data set, clean it and transform it to the xts format.
1) Importing the historical tick data.
Sys.setenv(TZ="UTC")
library(quantstrat)
GBPUSD.2015.01->GBPUSD
head(GBPUSD) ## how it looks before transforming
V1 V2 V3 V4
1 GBP/USD 20150101 21:43:43.344 1.55677 1.55966
2 GBP/USD 20150101 21:44:15.708 1.55647 1.55987
3 GBP/USD 20150101 21:45:11.580 1.55692 1.55886
4 GBP/USD 20150101 21:46:07.579 1.55732 1.55871
5 GBP/USD 20150101 21:46:41.545 1.55773 1.55858
6 GBP/USD 20150101 21:46:41.804 1.55772 1.55959
2) Cleaning and adjusting of time.
GBPUSD$V1 <- NULL
GBPUSD$V2 <- strptime(GBPUSD$V2,"%Y%m%d %H:%M:%S")
3) Transforming to xts.
GBPUSD <- xts(GBPUSD[,-1], order.by=GBPUSD[,1])
head(GBPUSD)
V3 V4
2015-01-01 21:43:43 1.55677 1.55966
2015-01-01 21:44:15 1.55647 1.55987
2015-01-01 21:45:11 1.55692 1.55886
2015-01-01 21:46:07 1.55732 1.55871
2015-01-01 21:46:41 1.55773 1.55858
2015-01-01 21:46:41 1.55772 1.55959
is.xts(GBPUSD)
[1] TRUE
GBPUSD <- to.period(GBPUSD,"hours",4) ## Transforming to a 4 hour OHLC chart
GBPUSD.Open GBPUSD.High GBPUSD.Low GBPUSD.Close
2015-01-02 00:59:58 1.55677 1.55852 1.55613 1.55634
2015-01-02 04:59:54 1.55627 1.55682 1.55410 1.55441
2015-01-02 08:59:57 1.55442 1.55509 1.55147 1.55297
2015-01-02 12:59:58 1.55236 1.55371 1.54120 1.54259
2015-01-02 16:59:58 1.54253 1.54393 1.53559 1.53601
2015-01-02 20:59:59 1.53602 1.53632 1.53273 1.53333
initDate = '2015-01-01' ## setting start/end date
.from=initDate
.to="2015-01-31"
currency(c('GBP', 'USD'))
4) Then I specify my strategy. Since it works with getSymbols() the problem should be in the transformation process and not in the definition of the portfolio,indicators,rules etc.
5) Applying the strategy
out <- applyStrategy(strategy.st, portfolio.st)
Error in hasTsp(x): invalid time series parameters specified
Here is the output of traceback() and sessionInfo():
> sessionInfo()
R version 3.1.1 (2014-07-10)
Platform: x86_64-apple-darwin13.1.0 (64-bit)
locale:
[1] de_DE.UTF-8/de_DE.UTF-8/de_DE.UTF-8/C/de_DE.UTF-8/de_DE.UTF-8
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] quantstrat_0.9.1669 foreach_1.4.2 blotter_0.9.1666
[4] PerformanceAnalytics_1.4.3579 FinancialInstrument_1.2.0 quantmod_0.4-3
[7] TTR_0.22-0 xts_0.9-7 zoo_1.7-11
loaded via a namespace (and not attached):
[1] codetools_0.2-8 grid_3.1.1 iterators_1.0.7 lattice_0.20-29 tools_3.1.1
> traceback()
6: hasTsp(x)
5: time.default(Dates)
4: time(Dates)
3: first(time(Dates))
2: applyRules(portfolio = portfolio, symbol = symbol, strategy = strategy,
mktdata = mktdata, Dates = NULL, indicators = sret$indicators,
signals = sret$signals, parameters = parameters, ..., path.dep = TRUE,
debug = debug)
1: applyStrategy(strategy.st, portfolio.st)
Thanks in advance for your help!
