基本信息：
R版：3.1.0
吸墨纸：0.8.19
问题描述：
我正在尝试实现一个 quantstrat 帐户，该帐户使用不同货币的多个投资组合。
所以这是我的基本设置：
- 1 个欧元账户
- 1 个美元投资组合
所以为了让它工作，我必须设置一个汇率，我基于从雅虎检索到的数据。然后我应该运行我的基本策略，转换将在最后一步通过 updateAcct 函数自动完成。
现在问题来了……我认为 updateAcct 函数有一个错误。
我的代码：
initDate="1990-01-01"
from="2007-01-01"
to="2012-12-31"
options(width=70)
options("getSymbols.warning4.0"=FALSE)
currency(c('USD','EUR'))
exchange_rate("USDEUR", tick_size = 0.01)
USDEUR <- Cl(getSymbols("EUR=X",src="yahoo", auto.assign = FALSE))
Sys.setenv(TZ="UTC")
#not sure why this might work
.blotter <- new.env()
.strategy <- new.env()
symbols <- c("^IXIC" #Nasdaq
)
if(!"XLB" %in% ls()) {
suppressMessages(getSymbols(symbols, from=from, to=to, src="yahoo", adjust=TRUE))
}
#need this to remove index call symbol (yahoo.) from string. I.e. get ^IXIC, but named IXIC
symbols<-gsub("\\^", "", symbols)
stock(symbols, currency="USD", multiplier=1)
#trade sizing and initial equity settings
tradeSize <- 10000
initEq <- tradeSize*length(symbols)
strategy.st <- portfolio.st <- account.st <- "TradeNasdaq100"
#clear old strategies etc.
suppressWarnings(try(rm.strat(strategy.st), silent=TRUE))
#initialize portfolio and account
initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='EUR',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)
然后我使用一些指标、信号、规则等......
#apply strategy
t1 <- Sys.time()
out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
t2 <- Sys.time()
print(t2-t1)
#set up analytics
updatePortf(portfolio.st)
dateRange <- time(getPortfolio(portfolio.st)$summary)[-1]
updateAcct(account.st,dateRange)
一切正常，直到代码到达最后一行。
最后一行将给出错误消息： Error in isTRUE(invert) : object 'invert' not found
可能的错误： 所以我决定检查 updateAcct 函数在这里尝试一些调试......我很确定代码中有错误。第 63 行中的 if 子句查询 isTRUE(invert)，但仅当它实际上为真时才创建 invert（参见 else 子句第 46 行）。但是 invert 没有初始化，因此如果它实际上是 false 代码将失败。
这是源代码吸墨纸（原始）
function (name = "default", Dates = NULL)
{
Account <- getAccount(name)
if (!is.null(attr(Account, "currency"))) {
a.ccy.str <- attr(Account, "currency")
}
Portfolios = names(Account$portfolios)
if (is.null(Dates))
Dates <- unique(do.call(c, c(lapply(Portfolios, function(x) index(.getPortfolio(x)$summary)),
use.names = FALSE, recursive = FALSE)))[-1]
if (!length(Dates))
return(name)
if (last(index(Account$summary)) > .parseISO8601(Dates)$first.time) {
whichi <- first(Account$summary[paste(.parseISO8601(Dates)$first.time,
"::", sep = ""), which.i = TRUE])
if (!is.null(whichi))
whichi = whichi - 1
if (whichi < 1)
whichi = 1
Account$summary = Account$summary[1:whichi, ]
}
for (pname in Portfolios) {
Portfolio = .getPortfolio(pname)
if (!is.null(attr(Portfolio, "currency"))) {
p.ccy.str <- attr(Portfolio, "currency")
}
psummary = Portfolio$summary[Dates]
if (a.ccy.str != p.ccy.str) {
CcyMult <- NA
port_currency <- try(getInstrument(p.ccy.str), silent = TRUE)
if (inherits(port_currency, "try-error") | !is.instrument(port_currency)) {
warning("Currency", p.ccy.str, " not found, using currency multiplier of 1")
CcyMult <- 1
}
else {
FXrate.str <- paste(p.ccy.str, a.ccy.str, sep = "")
FXrate <- try(get(FXrate.str), silent = TRUE)
if (inherits(FXrate, "try-error")) {
FXrate.str <- paste(a.ccy.str, p.ccy.str, sep = "")
FXrate <- try(get(FXrate.str), silent = TRUE)
if (inherits(FXrate, "try-error")) {
warning("Exchange Rate", FXrate.str, " not found for symbol,',Symbol,' using currency multiplier of 1")
CcyMult <- 1
}
else {
invert = TRUE
}
}
}
if (is.na(CcyMult) && !is.na(FXrate)) {
if (inherits(FXrate, "xts")) {
CcyMult <- FXrate[Dates]
CcyMult <- na.locf(merge(CcyMult, index(psummary)))
CcyMult <- drop(CcyMult[index(psummary)])
}
else {
CcyMult <- as.numeric(FXrate)
}
}
else {
CcyMult <- 1
}
if (isTRUE(invert)) {
CcyMult <- 1/CcyMult
}
psummary <- psummary * CcyMult
}
Account$portfolios[[pname]] = rbind(Account$portfolios[[pname]],
psummary)
}
summary = NULL
table = .getByPortf(Account, "Net.Trading.PL", Dates)
obsLength = length(index(table))
obsDates = index(table)
if (obsLength > 1)
on = periodicity(table)$units
else on = "none"
Attributes = c("Additions", "Withdrawals", "Realized.PL",
"Unrealized.PL", "Interest", "Gross.Trading.PL", "Txn.Fees",
"Net.Trading.PL", "Advisory.Fees", "Net.Performance",
"End.Eq")
for (Attribute in Attributes) {
switch(Attribute, Realized.PL = , Unrealized.PL = , Gross.Trading.PL = ,
Txn.Fees = , Net.Trading.PL = {
table = .getByPortf(Account, Attribute, Dates)
result = xts(rowSums(table, na.rm = TRUE), order.by = index(table))
}, Additions = {
result = if (on == "none") as.xts(sum(Account$Additions[paste("::",
obsDates, sep = "")]), order.by = index(table)) else {
if (length(Account$Additions[obsDates]) > 0) period.apply(Account$Additions[obsDates],
endpoints(Account$Additions[obsDates], on = on),
sum) else xts(rep(0, obsLength), order.by = obsDates)
}
}, Withdrawals = {
result = if (on == "none") as.xts(sum(Account$Withdrawals[paste("::",
obsDates, sep = "")]), order.by = index(table)) else {
if (length(Account$Additions[obsDates]) > 0) period.apply(Account$Withdrawals[obsDates],
endpoints(Account$Withdrawals[obsDates],
on = periodicity(table)$units), sum) else xts(rep(0,
obsLength), order.by = obsDates)
}
}, Interest = {
result = if (on == "none") as.xts(sum(Account$Interest[paste("::",
obsDates, sep = "")]), , order.by = index(table)) else {
if (length(Account$Additions[obsDates]) > 0) period.apply(Account$Interest[obsDates],
endpoints(Account$Interest[obsDates], on = periodicity(table)$units),
sum) else xts(rep(0, obsLength), order.by = obsDates)
}
}, Advisory.Fees = , Net.Performance = , End.Eq = {
result = xts(rep(0, obsLength), order.by = obsDates)
})
colnames(result) = Attribute
if (is.null(summary)) {
summary = result
}
else {
summary = cbind(summary, result)
}
}
summary[is.na(summary)] <- 0
Account$summary <- rbind(Account$summary, summary)
assign(paste("account", name, sep = "."), Account, envir = .blotter)
return(name)
}
这就是我认为它应该看起来的样子（代码段第 28-50 行）......
if (a.ccy.str != p.ccy.str) {
CcyMult <- NA
port_currency <- try(getInstrument(p.ccy.str), silent = TRUE)
if (inherits(port_currency, "try-error") | !is.instrument(port_currency)) {
warning("Currency", p.ccy.str, " not found, using currency multiplier of 1")
CcyMult <- 1
}
else {
FXrate.str <- paste(p.ccy.str, a.ccy.str, sep = "")
FXrate <- try(get(FXrate.str), silent = TRUE)
invert=FALSE #THIS IS THE LINE NEEDED FOR FIXING
if (inherits(FXrate, "try-error")) {
FXrate.str <- paste(a.ccy.str, p.ccy.str, sep = "")
FXrate <- try(get(FXrate.str), silent = TRUE)
if (inherits(FXrate, "try-error")) {
warning("Exchange Rate", FXrate.str, " not found for symbol,',Symbol,' using currency multiplier of 1")
CcyMult <- 1
}
else {
invert = TRUE
}
}
}
TL;博士
我认为在货币转换不需要反转汇率时会发生 blogger:updateAcct 中的错误...
问题： 我是对的，这是一个错误吗？还是我错过了什么？
PS：
我通常会将其作为错误提交，但 A）我不知道如何向作者提交错误 B）我仍然是 quantstrat、blotter 和 Co. 的新手，我认为其他人也应该检查一下（和作者也经常在这里闲逛）...