我在策略中添加超过 7 个指标并使用applyIndicators函数时收到的错误消息：
(函数 (HLC, n = 20, maType, c = 0.015, ...) 中的错误：价格序列必须是高-低-收盘价或收盘价/单变量。此外：警告消息：在 log(x) 中：产生的 NaN
代码如下：
library(tsibble)
library(rlang)
library(dplyr)
library(tawny)
library(kernlab)
library(corpcor)
library(xts)
library(tidyquant)
library(rsample)
library(tidyr)
library(dplyr)
library(ggplot2)
library(dplyr)
library(magrittr)
library(scales)
library(tsibble)
library(purrr)
library(timetk)
library(kableExtra)
library(quantmod)
library(TTR)
library(PerformanceAnalytics)
library(FinancialInstrument)
library(foreach)
library(blotter)
library(quantstrat)
library(ggplot2)
library(dplyr)
library(IKTrading)
library(png)
library(devtools)
####### Part 1: Boiler Plate Set Up #######
# Set up Blotter
rm(list = ls(.blotter), envir = .blotter)
# Parameters and Dates
initdate <- "2010-01-01"
from <- "2011-01-01" #start of backtest
to <- "2021-12-01" #end of backtest
Sys.setenv(TZ= "EST") #Set up environment for timestamps
currency("USD") #Set up environment for currency to be used
# Get Data
symbols <- c("SPY","AAPL", "MSFT", "GOOG", "FB", "TWTR", "AMZN", "IBM", "NFLX", "NVDA","BAC", "UNH", "TSLA", "ZM", "PTON", "QCOM", "GE") #symbols used in our backtest
getSymbols(Symbols = symbols, src = "yahoo", from=from, to=to, adjust = TRUE) #receive data from google finance, adjusted for splits/dividends
# Tells quanstrat what instruments present and what currency to use
stock(symbols, currency = "USD", multiplier = 1)
# removes old portfolio and strategy from environment
rm.strat(portfolio.st)
rm.strat(strategy.st)
###Set Up Strategy Parameters
# Portfolio Size and Trade Size
tradesize <-10000 # default trade size. What if i do it in terms of % of the Portfolio?
initeq <- 100000 # default initial equity in our portfolio
# Naming Strategy, Portfolio and Account
strategy.st <- portfolio.st <- account.st <- "firststrat" #naming strategy, portfolio and account
# Removes old portfolio and strategy from environment.
rm.strat(portfolio.st)
rm.strat(strategy.st)
# Initialize Strategy, Portfolio and Account Objects
initPortf(portfolio.st, symbols = symbols, initDate = initdate, currency = "USD")
initAcct(account.st, portfolios = portfolio.st, initDate = initdate, currency = "USD", initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store=TRUE)
####### Part 2: Indicators, Signals and Rules #######
##### 2.1 Indicators
chartSeries(TSLA,type="line",subset='2019-02::2021-12',theme=chartTheme('white'))
candleChart(IBM, up.col = "black", dn.col = "red", theme = "white")
addSMA(n = c(200,50), on = 1, col = c("red", "blue"))
plot(RSI(Cl(AMZN), n=10)) #Plots the RSI with lookback equal to 10 days
## The add.indicator() Function
# Parameter List
.RSI.n = 3
.RSI.Up = 80
.RSI.Down = 20
.MACDSlow = 26
.MACDFast = 12
.Bbands.n = 20
.Bbands.sd = 2
.ROCSlow = 30
.ROCFast = 14
## The add.indicator() Function
add.indicator(strategy = strategy.st, name = "RSI", arguments = list(price = quote(Cl(mktdata)), n=.RSI.n), label = 'RSI')
add.indicator(strategy = strategy.st, name = "MACD", arguments = list(x=quote(Cl(mktdata)),nFast=.MACDFast, nSlow=.MACDSlow),label='MACD' )
add.indicator(strategy = strategy.st, name = "BBands", arguments = list(HLC = quote(HLC(mktdata)), n = .Bbands.n, maType = "SMA", sd = .Bbands.sd), label = "Bbands")
add.indicator(strategy = strategy.st, name = "ROC", arguments = list(x=quote(Cl(mktdata)),n=.ROCFast,type='continuous'),label="ROCFAST")
add.indicator(strategy = strategy.st, name = "ROC", arguments = list(x=quote(Cl(mktdata)),n=.ROCSlow,type='continuous'),label="ROCSLOW")
add.indicator(strategy = strategy.st, name = "momentum", arguments = list(x=quote(Cl(mktdata)),n=3),label="MOMFAST")
add.indicator(strategy = strategy.st, name = "momentum", arguments = list(x=quote(Cl(mktdata)),n=20),label="MOMSLOW")
add.indicator(strategy = strategy.st, name = "CCI", arguments = list(HLC = quote(HLC(mktdata)), n = 20, maType = "SMA", c = 0.015), label = "CCI")
test <- applyIndicators(strategy.st, mktdata=OHLC(AAPL))
tail(test,10)