R:xts中的错误 - order.by

Question

我正在努力(重新)建立标准普尔500指数的基本预测模型(数据来自雅虎财经)

我对数据集的"排序"遇到了一些困难.
在data.model的构建期间,发生以下错误

xts(new.x,x.index)中的错误:NROW(x)必须匹配length(order.by)

经过一些研究后,我意识到问题在于排序,并且它似乎缺乏基础动物园包所需的排序.

有没有一种优雅的方法来解决这个问题？!提前致谢

library(xts)
library(tseries)
library(quantmod)

GSPC <- as.xts(get.hist.quote("^GSPC",start="1970-01-02", 
quote=c("Open", "High", "Low", "Close","Volume","AdjClose")))

head(GSPC)

T.ind <- function(quotes, tgt.margin = 0.025, n.days = 10) {
 v <- apply(HLC(quotes), 1, mean)
 r <- matrix(NA, ncol = n.days, nrow = NROW(quotes))
 for (x in 1:n.days) r[, x] <- Next(Delt(v, k = x), x)
 x <- apply(r, 1, function(x) sum(x[x > tgt.margin | x <
 -tgt.margin]))
 if (is.xts(quotes))
 xts(x, time(quotes))
 else x
}


myATR <- function(x) ATR(HLC(x))[, "atr"]
mySMI <- function(x) SMI(HLC(x))[, "SMI"]
myADX <- function(x) ADX(HLC(x))[, "ADX"]
myAroon <- function(x) aroon(x[, c("High", "Low")])$oscillator
myBB <- function(x) BBands(HLC(x))[, "pctB"]
myChaikinVol <- function(x) Delt(chaikinVolatility(x[, c("High", "Low")]))[, 1]
myCLV <- function(x) EMA(CLV(HLC(x)))[, 1]
myEMV <- function(x) EMV(x[, c("High", "Low")], x[, "Volume"])[, 2]
myMACD <- function(x) MACD(Cl(x))[, 2]
myMFI <- function(x) MFI(x[, c("High", "Low", "Close")], x[, "Volume"])
mySAR <- function(x) SAR(x[, c("High", "Close")])[, 1]
myVolat <- function(x) volatility(OHLC(x), calc = "garman")[, 1]

library(randomForest)
data.model <- specifyModel(T.ind(GSPC) ~ Delt(Cl(GSPC),k=1:10) +
 myATR(GSPC) + mySMI(GSPC) + myADX(GSPC) + myAroon(GSPC) +
 myBB(GSPC) + myChaikinVol(GSPC) + myCLV(GSPC) +
 CMO(Cl(GSPC)) + EMA(Delt(Cl(GSPC))) + myEMV(GSPC) +
 myVolat(GSPC) + myMACD(GSPC) + myMFI(GSPC) + RSI(Cl(GSPC)) +
 mySAR(GSPC) + runMean(Cl(GSPC)) + runSD(Cl(GSPC)))

Answer 1

traceback()揭示Delt(Cl(GSPC),k=1:10)调用中发生的错误:

> Delt(Cl(GSPC),k=1:10)
Error in xts(new.x, x.index) : NROW(x) must match length(order.by)

Delt期望一个(mx 1)对象,但你传递一个(mx 2)对象.这是因为GSPC有两列匹配Cl("Close"和"AdjClose").这可能会引起其他领域的麻烦......

Cl期望返回的对象getSymbols,其中调整后的关闭列被命名为"已调整".如果get.hist.quote由于某种原因需要使用,只需在下载数据后重命名"AdjClose"列.

colnames(GSPC) <- c("Open", "High", "Low", "Close","Volume","Adjusted")
Delt(Cl(GSPC),k=1:10)  # works now