我坚持以下分析:
library(quantstrat)
stock_size = 200
tickers = c("XOM", "MCD")
init.date = as.Date("2008-01-01")
usd = "USD"
currency(usd)
for(ticker in tickers){
stock(ticker, currency=usd, multiplier = 1)
}
options("getSymbols.warning4.0"=FALSE)
getSymbols(tickers,from=init.date,to.assign=TRUE)
suppressWarnings(rm(strat, port, acct, ords))
port.name <- "MyPort"
port <- initPortf(port.name,tickers,initDate=init.date)
acct.name <- "MyAcct"
acct <- initAcct(acct.name,portfolios=port.name, initDate=init.date, initEq=35000)
ords <- initOrders(portfolio=port.name,initDate=init.date)
strat.name <- "MyStrat"
strat<- strategy(strat.name)
strat<- add.indicator(strategy = strat, name = "SMA", arguments = list(x=quote(Ad(mktdata)), n=20),label= "ma20" )
strat<- add.indicator(strategy = strat, name = "SMA", arguments = list(x=quote(Ad(mktdata)), n=50),label= "ma50")
strat<- add.signal(strat, …我正在经历从Github安装吸墨纸和quantstrat包的困难时期.当我们在sourceforge上托管时,我在网上找到的大多数帮助都已经过时了.我尝试使用install_github()函数,它返回错误如下.(事实上,当我尝试R-Forge时会出现类似的错误)任何人都能提供关于这里发生的事情的线索吗？
install_github("braverock/blotter")
Downloading GitHub repo braverock/blotter@master
from URL https://api.github.com/repos/braverock/blotter/zipball/master
Installing blotter
"C:/PROGRA~1/R/R-33~1.3/bin/x64/R" --no-site-file --no-environ --no-save \
--no-restore --quiet CMD INSTALL \
"C:/Users/User/AppData/Local/Temp/Rtmp8mMwyT/devtools416cfd229e7/braverock-blotter-bdefb02" \
--library="C:/Program Files/R/R-3.3.3/library" --install-tests
* installing *source* package 'blotter' ...
** libs
*** arch - i386
c:/Rtools/mingw_32/bin/gcc -I"C:/PROGRA~1/R/R-33~1.3/include" -DNDEBUG -I"d:/Compiler/gcc-4.9.3/local330/include" -O3 -Wall -std=gnu99 -mtune=core2 -c calcPosAvgCost.c -o calcPosAvgCost.o
make: sh.exe: Command not found
make: *** [calcPosAvgCost.o] Error 127
Warning: running command 'make -f "C:/PROGRA~1/R/R-33~1.3/etc/i386/Makeconf" -f "C:/PROGRA~1/R/R-33~1.3/share/make/winshlib.mk" SHLIB="blotter.dll" OBJECTS="calcPosAvgCost.o"' had status 2
ERROR: compilation failed for package 'blotter'
* …我正在研究基本 RSI 交易信号。当股票低于 20 RSI 时买入 100 股，当股票高于 80 RSI 时平仓。
发生的情况是，一旦股票跌破 20，我就买入 100 股，如果股票再次跌破 20，而 RSI 没有首先达到 80，我最终会再买入 100 股（总共 200 股）。
一旦我有了一个仓位，我就不想再增加了。谢谢。
rm.strat(portfolio.st)
rm.strat(strategy.st)
rm.strat(account.st)
#setup
Sys.setenv(TZ = "UTC")
stock.str = "AAPL"
currency('USD')
stock("AAPL", currency= "USD", multiplier = 1)
initDate = "2010-01-01"
startDate = "2011-01-01"
to = Sys.Date()
initEq = 100000
portfolio.st = account.st = strategy.st = 'rsi'
getSymbols("AAPL", from = initDate)
initPortf(portfolio.st, symbols = stock.str,
initDate = initDate)
initAcct(account.st,
portfolio.st,
initDate = initDate, initEq = initEq)
initOrders(portfolio.st, …嗨,我正在通过这个代码(这是有效的,可重复的)
if (!exists('.blotter')) .blotter <- new.env()
if (!exists('.strategy')) .strategy <- new.env()
if (!exists('.instrument')) .instrument <- new.env()
currency("USD")
stock("SPY",currency="USD",multiplier=1)
ls(envir=FinancialInstrument:::.instrument)
initDate <- '1997-12-31'
startDate <- '1998-01-01'
endDate <- '2013-07-31'
initEq <- 1e6
Sys.setenv(TZ="UTC")
getSymbols('SPY', from=startDate, to=endDate, adjust=T)
SPY=to.monthly(SPY, indexAt='endof')
SPY$SMA10m <- SMA(Cl(SPY), 10)
# inz portfolio, account
qs.strategy <- "qsFaber"
rm.strat(qs.strategy) # remove strategy etc. if this is a re-run
initPortf(qs.strategy,'SPY', initDate=initDate)
initAcct(qs.strategy,portfolios=qs.strategy, initDate=initDate, initEq=initEq)
initOrders(portfolio=qs.strategy,initDate=initDate)
# instantiate a new strategy object
strategy(qs.strategy,store=TRUE)
add.indicator(strategy = qs.strategy, name = "SMA",
arguments = …