1

这是我的代码：

library(quantstrat)
suppressWarnings(try(rm(list=ls(FinancialInstrument:::.instrument),pos=FinancialInstrument:::.instrument),silent=TRUE))

currency("EUR")
stock("ATX",currency="EUR",multiplier=1)
ls(envir=FinancialInstrument:::.instrument)
ls(all=T)

initDate <- '1999-01-04'
startDate <- '1999-01-05'
endDate <-  '2014-09-25'
initEq <- 1e6

Sys.setenv(TZ="UTC")

## ----echo=FALSE,results='hide'-------------------------------------------
if(file.exists("ATX.RData"))
{
  load("ATX.RData")
} else {
  getSymbols('^ATX', from=startDate, to=endDate, index.class="POSIXct", adjust=T)
  save(list="ATX",file="ATX.RData")
}  

##

b <- BBands(HLC=HLC(ATX["1999"]), n=20, sd=2)

##
rm.strat("multiAsset.bb1") # remove portfolio, account, orderbook if re-run
initPortf(name="multiAsset.bb1", "ATX", initDate=initDate)
initAcct(name="multiAsset.bb1", portfolios="multiAsset.bb1",
         initDate=initDate, initEq=initEq)
initOrders(portfolio="multiAsset.bb1", initDate=initDate)

#
strategy("bbands", store=TRUE)
#
add.indicator("bbands", name = "BBands",
              arguments = list(HLC = quote(HLC(ATX)), maType='SMA'), label='BBands')

#Sell short when the close crosses above the upper band
add.signal("bbands", name="sigCrossover",
           arguments=list(columns=c("Close","up"),relationship="gt"),
           label="Cl.gt.UpperBand")

# Buy long when the close crosses below the lower band
add.signal("bbands", name="sigCrossover",
           arguments=list(columns=c("Close","dn"),relationship="lt"),
           label="Cl.lt.LowerBand")


add.signal("bbands", name="sigCrossover",
           arguments=list(columns=c("High","Low","mavg"),relationship="op"),
           label="Cross.Mid")

###
add.rule("bbands", name='ruleSignal',
         arguments=list(prefer="Close",sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100,
                        ordertype='market', orderside=NULL),type='enter')

add.rule("bbands", name='ruleSignal',
         arguments=list(prefer="Close",sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100,
                        ordertype='market', orderside=NULL),type='enter')


add.rule("bbands", name='ruleSignal',
         arguments=list(prefer="Close",sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all',
                        ordertype='market', orderside=NULL),type='exit')

##
SD = 2
N = 20

##
out <- applyStrategy("bbands",
                     portfolios="multiAsset.bb1",parameters=list(sd=SD,n=N))

##
updatePortf("multiAsset.bb1")
updateAcct("multiAsset.bb1")
updateEndEq("multiAsset.bb1")

当我运行时updatePortf("multiAsset.bb1")，会出现：

updatePortf("multiAsset.bb1")
[1] "multiAsset.bb1"
Warning messages:
1: In getInstrument(p.ccy.str) :
  instrument USD not found, please create it first.
2: In .updatePosPL(Portfolio = pname, Symbol = as.character(symbol),  :
  CurrencyUSD not found, using currency multiplier of 1

Question 1: 我做错了什么，所以出现了以下内容？我想EUR用于货币，而不是USD.

Question 2: 当我prefer="Close"在函数中指定add.rule将ruleSignal使用次日收盘价作为交易价格时，这是否正确？

此致

4

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