I will try to be as clear as possible as I have been rebuked by some users. I deleted the last questions and I will try to be sufficiently explicative in this one. I apologize if the data I will insert will not be enough.
So, I am trying to run a strategy through the package Quantstrat.
install.packages("quantstrat")
My problem is that I get the following error:
`Error in `colnames<-`(`*tmp*`, value = seq(ncol(tmp_val))) :
attempt to set 'colnames' on an object with less than two dimensions`
When I try to run the following command:
> out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
I do not have this problem if I use, as indicator, one or more indicators, which are already defined by the package TTR.
I have this error only when I try to use a custom indicator. Here is the code for the custom indicator that I use:
wma <- WMA(Cl(RUT), n=4, wts=c(1:4))
wmamaxt <- rollmaxr(wma, n, fill = NA)
wmamint <- - rollmaxr(- wma, n, fill = NA)
CNOwma <- function (RUT) {(wma - wmamint) / (wmamaxt - wmamint)}
Please refer to the following code:
if (!require("TTR")) {
install.packages("TTR")
library(TTR)
}
if (!require("quantstrat")) {
if(!require("devtools")) {
install.packages("devtools")
require(devtools)
}
install_github("braverock/blotter") # dependency
install_github("braverock/quantstrat")
}
if (!require("IKTrading")){
install_github("IlyaKipnis/IKTrading", force=TRUE)
}
library(devtools)
library(quantmod)
library(quantstrat)
library(TTR)
library(png)
library(IKTrading)
install_github("braverock/blotter")
install_github("braverock/quantstrat")
install_github('IlyaKipnis/IKTrading')
initdate <- "2010-01-01"
from <- "2012-01-01" #start of backtest
to <- "2017-31-12" #end of backtest
Sys.setenv(TZ= "EST") #Set up environment for timestamps
currency("USD") #Set up environment for currency to be used
symbols <- c("RUT", "IXIC") #symbols used in our backtest
getSymbols(Symbols = symbols, src = "yahoo", from=from, to=to, adjust = TRUE) #receive data from google finance, adjusted for splits/dividends
stock(symbols, currency = "USD", multiplier = 1) #tells quanstrat what instruments present and what currency to use
wma <- WMA(Cl(RUT), n=4, wts=c(1:4))
wmamaxt <- rollmaxr(wma, n, fill = NA)
wmamint <- - rollmaxr(- wma, n, fill = NA)
CNOwma <- function (RUT) {(wma - wmamint) / (wmamaxt - wmamint)}
tradesize <-10000 #default trade size
initeq <- 100000 #default initial equity in our portfolio
strategy.st <- portfolio.st <- account.st <- "firststrat" #naming strategy, portfolio and account
#removes old portfolio and strategy from environment
rm.strat(portfolio.st)
rm.strat(strategy.st)
#initialize portfolio, account, orders and strategy objects
initPortf(portfolio.st, symbols = symbols, initDate = initdate, currency = "USD")
initAcct(account.st, portfolios = portfolio.st, initDate = initdate, currency = "USD", initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store=TRUE)
add.indicator(strategy = strategy.st,
name = 'CNOwma',
arguments = list(x = quote(Cl(mktdata)), n=4),
label = 'CNOwma4')
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "CNOwma4", threshold = 0.6,
relationship = "gt", cross = TRUE),
label = "longthreshold")
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "CNOwma4", threshold = 0.6,
relationship = "lt", cross = TRUE),
label = "shortthreshold")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "long", replace = FALSE,
prefer = "Open"),
type = "enter")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "shortthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "long", replace = FALSE,
prefer = "Open"),
type = "exit")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "shortthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "short", replace = FALSE,
prefer = "Open"),
type = "enter")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longthreshold", sigval = TRUE,
orderqty = "all", ordertype = "market",
orderside = "short", replace = FALSE,
prefer = "Open"),
type = "exit")
out <- applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
When I run the traceback() of the error, this is what I get:
> traceback()
4: stop("attempt to set 'colnames' on an object with less than two dimensions")
3: `colnames<-`(`*tmp*`, value = seq(ncol(tmp_val)))
2: applyIndicators(strategy = strategy, mktdata = mktdata, parameters = parameters,
...)
1: applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
