Quantstrat:如何创建多个指标，信号规则

问题描述

我想基于不同的信号(例如SMA50 > SMA10和MACD > 0)添加多个规则.但是，使用sigComparision时出现错误.有人可以建议一种更好的方法吗?

I want to add multiple rules based on different signals like SMA50 > SMA10 and MACD > 0. However, I am getting an error using sigComparision. Can anyone suggest a better way to do it?

推荐答案

您可以使用两种显而易见的方法:您可以在添加规则中构建复合信号功能，也可以使用sigFormula.已知后者很慢.例如，请参见以下线程:

There are two obvious approaches you could use: You can build a composite signal function in add rules, or you could use sigFormula. The latter is known to be slow. For example see this thread:

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

我在这里突出显示一个关键部分:

I highlight a key section here:

....

我会警告您，尽管sigFormula非常灵活，但R并不是很灵活 快速使用此方法.这似乎是这种方式的副作用 data.frames被存储为列表，并且 eval(parse(text = formula)，x)语法由R内部管理.

I will warn you that while sigFormula is very flexible, R isn't very fast using this methodology. It seems to be a side effect of the way data.frames are stored as lists, and of the way that the eval(parse(text=formula),x) syntax is managed internally by R.

对于每日或低频数据，这可能很好，但是对于 通常我发现较高的频率写自定义是有意义的 信号功能指示器，用于更复杂的比较.

For daily or lower-frequency data, that's probably fine, but for higher frequencies I usually find it makes sense to write a custom indicator of signal function for more complex comparisons.

在以下示例中(基于quantstrat软件包中的macd.R演示)，您可以尝试两种方法:

In the following example (based off the macd.R demo in the quantstrat package) you can experiment with both approaches:

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)

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