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我正在尝试完成 Guy Yonlin 的 quantstrat & blogger 的优秀示例代码版本，但使其适用于一组投资组合。不幸的是，我一直在尝试读取符号列表并让 R 访问下载的实际 xts 数据。

在下面的代码中，我正确地找到"BND"了第一个符号，但我不知道如何使TempSym符号成为实际的 xts 对象，以便它实际上有行。

我在这里做错了什么？我看到的实际失败是这样的：

[1] "BND"
Error in 1:nrow(TempSym) : argument of length 0

请注意，此时注释掉的所有语句都没有被调试过。它们基于我认为我从 Guy 的示例代码中要去的地方。

library(blotter)
MyPortfolios = c("Port1", "Port2")

MySymbols=list()
MySymbols[[1]]= c("BND","DBC","DXJ")

MySymbols[[2]]= c("ALD", "BND","DBC","ECON")

currency("USD")

get("USD",envir=FinancialInstrument:::.instrument)

Date_Start = "2013-01-01"
Date_End = format(Sys.time(), "%Y-%m-%d")

Sys.setenv(TZ="UTC")

TotalSymbols = 0
for (j in 1:length(MySymbols)){
  TempSym = MySymbols[[j]]
  for (i in 1:length(TempSym)){
    if (!exists(paste(TempSym[i]))){
      stock(TempSym[i], currency="USD", multiplier=1)
      get(TempSym[i],envir=FinancialInstrument:::.instrument)
      getSymbols(TempSym[i], from=Date_Start, to=Date_End, adjust=T)
      TotalSymbols = TotalSymbols + 1
    }
  }
  rm(TempSym)
}

print(paste("Total symbols downloaded: ", TotalSymbols))
rm(TotalSymbols)

suppressWarnings(rm("account.LongTerm",pos=.blotter))
suppressWarnings(rm("portfolio.Port1", pos=.blotter))
suppressWarnings(rm("portfolio.Port2", pos=.blotter))

initPortf(MyPortfolios[1], as.list(MySymbols[[1]]), initDate="2013-06-01")
initPortf(MyPortfolios[2], as.list(MySymbols[[2]]), initDate="2013-06-01")

initAcct("LongTerm", MyPortfolios, initDate="2013-06-01", initEq=600000)

addTxn("Port1", Symbol="BND", TxnDate="2013-06-10", TxnQty=733, TxnPrice=81.83, TxnFees=0)
addTxn("Port1", Symbol="DBC", TxnDate="2013-06-10", TxnQty=343, TxnPrice=26.22, TxnFees=0)
addTxn("Port1", Symbol="DXJ", TxnDate="2013-06-10", TxnQty=259, TxnPrice=46.30, TxnFees=0)

addTxn("Port2", Symbol="ALD", TxnDate="2013-06-11", TxnQty=60,  TxnPrice=49.92, TxnFees=0)
addTxn("Port2", Symbol="BND", TxnDate="2013-06-11", TxnQty=159, TxnPrice=81.83, TxnFees=0)
addTxn("Port2", Symbol="ECON", TxnDate="2013-06-11", TxnQty=58, TxnPrice=26.67, TxnFees=0)

###################
# For each portfolio
# look up each symbol
# and calculate equity for each bar
###################

for (k in 1:length(MyPortfolios)){
  TempList = MySymbols[[k]]
  for (j in 1:length(TempList)){
    TempSym = TempList[[j]]
    print(paste(TempSym))
    for (i in 1:nrow(TempSym)){
#       CurrentDate <- time(TempSym)[i]
#       updatePortf(MyPortfolios[k], Dates = CurrentDate)
#       updateAcct( MyPortfolios[k], Dates = CurrentDate)
#       updateEndEq(MyPortfolios[k], Dates = CurrentDate)
    }
  }
}


# create custom theme
myTheme<-chart_theme()
myTheme$col$dn.col<-'purple'
myTheme$col$dn.border <- 'lightgray'
myTheme$col$up.col<-'orange'
myTheme$col$up.border <- 'lightgray'

chart.Posn(MyPortfolios[1], Symbol = "BND", Dates = "2013::", theme=myTheme)
chart.Posn(MyPortfolios[1], Symbol = "DBC", Dates = "2013::", theme=myTheme)
chart.Posn(MyPortfolios[1], Symbol = "DXJ", Dates = "2013::", theme=myTheme)

chart.Posn(MyPortfolios[2], Symbol = "ALD", Dates = "2013::", theme=myTheme)
chart.Posn(MyPortfolios[2], Symbol = "BND", Dates = "2013::", theme=myTheme)
chart.Posn(MyPortfolios[2], Symbol = "ECON", Dates = "2013::", theme=myTheme)
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1 回答 1

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您不需要所有这些循环，stocks它们getSymbols都是矢量化函数。你也不需要get指挥。此外，您实际上并不需要为每个时间戳调用updatePortf,updateAcct和。updateEndEq您可以使用投资组合名称和账户名称来调用它们，它会自动将账户和投资组合标记为您拥有可用价格数据的所有时间戳。

library(blotter)
MyPortfolios = c("Port1", "Port2")

MySymbols = list()
MySymbols[[1]] = c("BND", "DBC", "DXJ")

MySymbols[[2]] = c("ALD", "BND", "DBC", "ECON")

currency("USD")
## [1] "USD"


Date_Start = "2013-01-01"
Date_End = format(Sys.time(), "%Y-%m-%d")

Sys.setenv(TZ = "UTC")


stock(MySymbols[[1]], currency = "USD", multiplier = 1)
## [1] "BND" "DBC" "DXJ"

stock(MySymbols[[2]], currency = "USD", multiplier = 1)
## [1] "ALD"  "BND"  "DBC"  "ECON"


getSymbols(MySymbols[[1]], from = Date_Start, to = Date_End, adjust = T)
## [1] "BND" "DBC" "DXJ"

getSymbols(MySymbols[[2]], from = Date_Start, to = Date_End, adjust = T)
## [1] "ALD"  "BND"  "DBC"  "ECON"




suppressWarnings(rm("account.LongTerm", pos = .blotter))
suppressWarnings(rm("portfolio.Port1", pos = .blotter))
suppressWarnings(rm("portfolio.Port2", pos = .blotter))

initPortf(MyPortfolios[1], as.list(MySymbols[[1]]), initDate = "2013-06-01")
## [1] "Port1"

initPortf(MyPortfolios[2], as.list(MySymbols[[2]]), initDate = "2013-06-01")
## [1] "Port2"


initAcct("LongTerm", MyPortfolios, initDate = "2013-06-01", initEq = 6e+05)
## [1] "LongTerm"


addTxn("Port1", Symbol = "BND", TxnDate = "2013-06-10", TxnQty = 733, TxnPrice = 81.83, TxnFees = 0)
## [1] "2013-06-10 00:00:00 BND 733 @ 81.83"

addTxn("Port1", Symbol = "DBC", TxnDate = "2013-06-10", TxnQty = 343, TxnPrice = 26.22, TxnFees = 0)
## [1] "2013-06-10 00:00:00 DBC 343 @ 26.22"

addTxn("Port1", Symbol = "DXJ", TxnDate = "2013-06-10", TxnQty = 259, TxnPrice = 46.3, TxnFees = 0)
## [1] "2013-06-10 00:00:00 DXJ 259 @ 46.3"


addTxn("Port2", Symbol = "ALD", TxnDate = "2013-06-11", TxnQty = 60, TxnPrice = 49.92, TxnFees = 0)
## [1] "2013-06-11 00:00:00 ALD 60 @ 49.92"

addTxn("Port2", Symbol = "BND", TxnDate = "2013-06-11", TxnQty = 159, TxnPrice = 81.83, TxnFees = 0)
## [1] "2013-06-11 00:00:00 BND 159 @ 81.83"

addTxn("Port2", Symbol = "ECON", TxnDate = "2013-06-11", TxnQty = 58, TxnPrice = 26.67, TxnFees = 0)
## [1] "2013-06-11 00:00:00 ECON 58 @ 26.67"


updatePortf(MyPortfolios[1])
## [1] "Port1"

updatePortf(MyPortfolios[2])
## [1] "Port2"


updateAcct("LongTerm")
## [1] "LongTerm"

updateEndEq("LongTerm")
## [1] "LongTerm"

顺便提一句。您面临的具体错误是您需要将 xts 对象分配给TempSymusing get。但是你真的不需要使用这个循环，如我上面的代码所示。

for (k in 1:length(MyPortfolios)){
  TempList = MySymbols[[k]]
  for (j in 1:length(TempList)){
    TempSym = get(TempList[[j]]) # <---------------------
    print(paste(TempSym))
    for (i in 1:nrow(TempSym)){
       CurrentDate <- time(TempSym)[i]
       updatePortf(MyPortfolios[k], Dates = CurrentDate)
       updateAcct( MyPortfolios[k], Dates = CurrentDate)
       updateEndEq(MyPortfolios[k], Dates = CurrentDate)
    }
  }
}
于 2013-11-15T02:46:01.677 回答