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我以前使用 quantsrat_0.9.1739 和blotter_0.9.1741 有一段时间了,它工作正常,直到我用blotter 0.12.4 将它们更新到最新版本0.10.7。

我之前编写的大多数模拟都包含以下消息:(这个是从演示(macd)中提取的)

Warning message: In .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), : Could not parse ::2018-01-12 as ISO8601 string, or one/bothends of the range were outside the available prices: 2007-01-03/2014-05-30. Using all data instead.

它修改了我过去生成的近 50% 的回测的最终结果。如果我回到以前版本的 quantstrat 并运行相同的策略,一切都会恢复正常。

如果任何可能遇到与我相同情况的人可以让我知道如何解决此问题,我将不胜感激。

以下是有关我的会话的更多信息:

 R version 3.4.3 (2017-11-30)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 7 x64 (build 7601) Service Pack 1

Matrix products: default

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United States.1252    LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C                           LC_TIME=English_United States.1252    

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
 [1] quantstrat_0.10.7             foreach_1.4.4                 blotter_0.12.4               
 [4] PerformanceAnalytics_1.4.3541 FinancialInstrument_1.3.1     quantmod_0.4-12              
 [7] TTR_0.23-2                    xts_0.10-1                    zoo_1.8-1                    
[10] devtools_1.13.4              

loaded via a namespace (and not attached):
 [1] codetools_0.2-15 lattice_0.20-35  digest_0.6.13    withr_2.1.1      MASS_7.3-47      grid_3.4.3       R6_2.2.2        
 [8] git2r_0.21.0     httr_1.3.1       curl_3.1         boot_1.3-20      iterators_1.0.9  tools_3.4.3      compiler_3.4.3  
[15] memoise_1.1.0   

提前感谢您提供的任何帮助!

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