r - quantstrat：如何创建多个指标、信号规则

Question

我想根据不同的信号添加多个规则，例如SMA50 > SMA10和MACD > 0。但是，我在使用sigComparision. 任何人都可以提出更好的方法吗？

score 3 · Accepted Answer

您可以使用两种明显的方法：您可以在添加规则中构建复合信号函数，或者您可以使用sigFormula. 众所周知，后者很慢。例如看到这个线程：

https://stat.ethz.ch/pipermail/r-sig-finance/2012q1/009310.html

我在这里强调一个关键部分：

sigFormula 使用 R 语法功能，允许您将列名直接用作公式中的变量。它没有部分匹配，因为列成为公式变量。

……

我会警告你，虽然 sigFormula 非常灵活，但 R 使用这种方法并不是很快。这似乎是 data.frames 存储为列表的方式的副作用，以及 eval(parse(text=formula),x) 语法由 R 内部管理的方式的副作用。

对于每日或较低频率的数据，这可能很好，但对于较高频率的数据，我通常发现编写信号函数的自定义指标以进行更复杂的比较是有意义的。

在以下示例中（基于macd.Rquantstrat 包中的演示），您可以尝试两种方法：

require(quantstrat)
suppressWarnings(rm("order_book.macd",pos=.strategy))
suppressWarnings(rm("account.macd","portfolio.macd",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACD","startDate","initEq",'start_t','end_t'))

stock.str='AAPL' # what are we trying it on


fastMA = 12 
slowMA = 26 
signalMA = 8
maType="EMA"

currency('USD')
stock(stock.str,currency='USD',multiplier=1)

startDate='2006-12-31'
initEq=1000000
portfolio.st='macd'
account.st='macd'

getSymbols(stock.str,from=startDate)


initPortf(portfolio.st,symbols=stock.str)
initAcct(account.st,portfolios=portfolio.st)
initOrders(portfolio=portfolio.st)

strat.st<-portfolio.st
# define the strategy
strategy(strat.st, store=TRUE)

#one indicator
add.indicator(strat.st, name = "MACD", 
              arguments = list(x=quote(Cl(mktdata)),
                               nFast=fastMA, 
                               nSlow=slowMA),
              label='_' 
)

add.indicator(strat.st, name = "SMA", 
              arguments = list(x=quote(Cl(mktdata)),
                               n=10),
              label='SMA10' 
)



add.indicator(strat.st, name = "SMA", 
              arguments = list(x=quote(Cl(mktdata)),
                               n = 50),
              label='SMA50' 
)

# Create your own signal for entry:
macdSMAsig <- function(data) {
  # first condition:
  sig <- data[, "SMA.SMA50"] > data[, "SMA.SMA10"] & data[, "macd._"] > 0
  colnames(sig) <- "upSig"
  sig
}



 # Activate (uncomment) only ONE of the following signals.  Both do the same thing:

#OPTION 1 for entry signal based on combining signals:
add.signal(strat.st,name="macdSMAsig",
           arguments = list(data = quote(mktdata)),
           label="enterSig"
)

#OPTION 2 for entry signal based on combining signals:
# add.signal(strat.st, name = "sigFormula",
#            arguments = list(data = quote(mktdata),
#                             formula = "SMA.SMA50 > SMA.SMA10 & macd._ > 0"),
#            label = "upSig.enterSig"
#            )



add.signal(strat.st,name="sigThreshold",
           arguments = list(column="signal._",
                            relationship="lt",
                            threshold=0,
                            cross=TRUE),
           label="signal.lt.zero"
)

####
# add rules

# entry
add.rule(strat.st,name='ruleSignal', 
         # be careful to get the label of the signal column correct:
         arguments = list(sigcol="upSig.enterSig",
                          sigval=TRUE, 
                          orderqty=100, 
                          ordertype='market', 
                          orderside='long', 
                          threshold=NULL),
         type='enter',
         label='enter',
         storefun=FALSE
)

# exit
add.rule(strat.st,name='ruleSignal', 
         arguments = list(sigcol="signal.lt.zero",
                          sigval=TRUE, 
                          orderqty='all', 
                          ordertype='market', 
                          orderside='long', 
                          threshold=NULL,
                          orderset='exit2'),
         type='exit',
         label='exit'
)

#end rules
####


out<-applyStrategy(strat.st , portfolios=portfolio.st,verbose=TRUE)



updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep=''))

chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)

tx <- getTxns(portfolio.st, stock.str)
sum(tx$Net.Txn.Realized.PL)

score 0 · Accepted Answer

我尝试了您的代码，但似乎收到此错误：

applyRules 中的错误（投资组合 = 投资组合，符号 = 符号，策略 = 策略，：mktdata 不包含“sigcol”：entersig

这就是我所做的：

    library(quantmod)
library(FinancialInstrument)
library(PerformanceAnalytics)
library(foreach)
library(blotter)
library(quantstrat)

options("getSymbols.yahoo.warning"=FALSE)
options("getSymbols.warning4.0"=FALSE)

initDate="1990-01-01"
from ="2003-01-01"
to ="2012-12-31"
symbols = c("AAPL")
currency("USD")
getSymbols(symbols, from=from, to=to, adjust=TRUE)

stock(symbols, currency="USD", multiplier=1)
initEq=1000000

strategy.st <- portfolio.st <- account.st <- "mystrat"

rm.strat("mystrat")


initPortf(name=portfolio.st,
          symbols=symbols,
          initDate=initDate,
          currency='USD')
initAcct(name=account.st,
         portfolios=portfolio.st,
         initDate=initDate,
         currency='USD',
         initEq=initEq)
initOrders(portfolio=portfolio.st,
           initDate=initDate)

strategy(strategy.st, store=TRUE)

### Add Indicators

nRSI <- 21
buyThresh <- 50
sellThresh <- 50

#Indicator for EMA long medium short

nEMAL<- 80
nEMAM<- 21
nEMAS<- 13
nEMAF<- 5

add.indicator(strategy.st, name="RSI",
              arguments=list(price=quote(Cl(mktdata)), n=nRSI),
              label="rsi")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAL),
              label="EMAL")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAM),
              label="EMAM")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAS),
              label="EMAS")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAF),
              label="EMAF")

#customsig <- function(data) {
  sig <- data[, "EMA.EMAF"] > data[, "EMA.EMAS"] & data[, "EMA.EMAF"] > data[, "EMA.EMAM"] & data[, "rsi"] >50 & data[, "EMA.EMAM"] > data[, "EMA.EMAL"] & data[, "EMA.EMAS"] > data[, "EMA.EMAL"]  
  colnames(sig) <- "upSig"
  sig
}

#downsig <- function(data) {
  sig <- data[, "EMA.EMAF"] < data[, "EMA.EMAS"] & data[, "EMA.EMAF"] < data[, "EMA.EMAM"] & data[, "rsi"] <50 & data[, "EMA.EMAM"] < data[, "EMA.EMAL"] & data[, "EMA.EMAS"] < data[, "EMA.EMAL"]  
  colnames(sig) <- "downSig"
  sig
}



### Add Signal- Enter

add.signal(strategy.st, name="customsig",
           arguments=list(data = quote(mktdata)),
           label = "entersig")

add.signal(strategy.st, name="downsig",
           arguments=list(data = quote(mktdata)),
           label = "downsig.exitsig")

### Add rule - Enter

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="entersig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          threshold=NULL),
         type='enter',
         path.dep=TRUE)


### Add rule- Exit

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="downsig.exitsig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          pricemethod='market',
                          replace=FALSE),
         type='exit',
         path.dep=TRUE)

start_t<-Sys.time()
out<-try(applyStrategy(strategy=strategy.st,
                       portfolios=portfolio.st))


updatePortf(portfolio.st)
updateAcct(portfolio.st)
updateEndEq(account.st)

for(symbol in symbols) {
  chart.Posn(
    Portfolio=portfolio.st,
    Symbol=symbol,
    log=TRUE)
}

r - quantstrat：如何创建多个指标、信号规则

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