我正在尝试使用吸墨纸对交易策略进行回测。经过长时间的搜索,我发现只有在没有交易发生且没有开仓的情况下才会出现错误。在打开任何交易之前,Posn 在 RStudio 的工作区中列为 numeric(0)。之后,它始终为 0 或位置。我的错误在哪里,或者我可以在第一个 if 子句 if(Posn!=0) 中添加什么?因为这 if 会生成带有以下消息的错误:
Error in if (Posn != 0) { : argument is of length zero
然后我尝试了这两个输入并得到了这些结果:
> Posn
numeric(0)
> Posn!=0
logical(0)
这是我的完整代码:
for(i in 84:200){
CurrentDate <- time(MergedXTS)[i]
ClosePrice <- as.numeric(MergedXTS[i,'Close'])
if(!(is.na(as.numeric(MergedXTS[i,'Close']))) && !(is.na(as.numeric(MergedXTS[i-1,'Close'])))){
RiskClose <- as.numeric(MergedXTS[i,'RiskIndicatorMA'])
RiskClose.PreviousDay <- as.numeric(MergedXTS[i-1,'RiskIndicatorMA'])
Posn <- getPosQty(StrategyName, Symbol=CrossCurrency, Date=CurrentDate)
print(Posn)
if(Posn != 0){
if(Posn>0){
#Long active, sell long
if(RiskClose <= ParamUp && RiskClose.PreviousDay > ParamUp){
addTxn(Risk.Strategy, Symbol=CrossCurrency, TxnDate=CurrentDate,
TxnPrice=ClosePrice, TxnQty = -1000 , TxnFees=0)
}
} else {
#Short active sell short
if(RiskClose >= ParamDown && RiskClose.PreviousDay < ParamDown){
addTxn(StrategyName, Symbol=CrossCurrency, TxnDate=CurrentDate,
TxnPrice=ClosePrice, TxnQty = 1000 , TxnFees=0)
}
}
} else {
if(RiskClose >= ParamUp && RiskClose.PreviousDay < ParamUp){
#Buy
addTxn(StrategyName, Symbol=CrossCurrency, TxnDate=CurrentDate,
TxnPrice=ClosePrice, TxnQty = 1000 , TxnFees=0)
}
if(RiskClose <= ParamDown && RiskClose.PreviousDay > ParamDown){
#Short
addTxn(StrategyName, Symbol=CrossCurrency, TxnDate=CurrentDate,
TxnPrice=ClosePrice, TxnQty = -1000 , TxnFees=0)
}
}
# Calculate P&L and resulting equity with blotter
updatePortf(StrategyName, Dates=CurrentDate)
updateAcct(StrategyName, Dates=CurrentDate)
updateEndEq(StrategyName, Dates=CurrentDate)
print(i)
}
}