我正在研究配对交易数据,下面的函数应该给 total.profit 值“k”。
optimal.k = function (k) {
u = m + k * s
l = m - k * s
profit = 0
profit = 0
total.profit = 0
i = 1
p = 0.001
while ( i <= length(r) ) {
if ( r[i] >= u ) {
buy.unit = 1/East$Close[i]
sell.unit = 1/South$Close[i]
if ( i == length(r) ) {
buy.price = buy.unit * East$Close[i]
sell.price = sell.unit * South$Close[i]
profit = sell.price - buy.price
costs = (sell.price + buy.price) * p
total.profit = total.profit + profit - costs
break
}
while ( r[i] > m ) { #################################### here
i = i + 1
}
buy.price = buy.unit * East$Close[i]
sell.price = sell.unit * South$Close[i]
profit = sell.price - buy.price
costs = (sell.price + buy.price) * p
total.profit = total.profit + profit - costs
}
if ( r[i] <= l ) {
buy.unit = 1/South$Close[i]
sell.unit = 1/East$Close[i]
if ( i == length(r) ) {
buy.price = buy.unit * South$Close[i]
sell.price = sell.unit * East$Close[i]
profit = sell.price - buy.price
costs = (sell.price + buy.price) * p
total.profit = total.profit + profit - costs
break
}
while ( r[i] < m ) {
i = i + 1
}
buy.price = buy.unit * East$Close[i]
sell.price = sell.unit * South$Close[i]
profit = sell.price - buy.price
costs = (sell.price + buy.price) * p
total.profit = total.profit + profit - costs
}
if ( i == length(r) ) stop
i = i + 1
}
print(total.profit)
}
如果我运行该函数,我会收到此错误消息。
optimize.k(1) while (r[i] > m) { 中的错误:需要 TRUE/FALSE 的缺失值
我不明白为什么 (r[i] > m) 是 NA 有谁知道它为什么会发生?