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Custom Indicator Problem

Atakan Okan
Hi everyone,


I am facing a problem regarding a higher-time-frame custom indicator. I have daily yahoo finance data but would like to use the technical indicator MACD on weekly close data. I have written a custom function as I have seen in a previous post some years ago but couldn't manage to add the weekly indicator output to mktdata. Any help is appreciated, thank you


Reproducible example:


#Custom Indicator Problem

library(quantmod)
library(quantstrat)
library(TTR)

Sys.setenv(TZ = "UTC")

.strategy <- new.env()
.blotter  <- new.env()

getSymbols("GARAN.IS")


#Stock
symbol.name = "GARAN.IS"
tick.size = 0.01
currency('TRY')
stock(symbol.name, currency="TRY", multiplier=1,tick_size= tick.size)

initialEquity = 1000
port.acct.currency <- "TRY"

strategy.st <- 'Custom_Prob'
rm.strat(strategy.st)

initDate = as.character(as.Date(index(GARAN.IS[1])-1))
initPortf(strategy.st, symbol.name, initDate=initDate, currency = port.acct.currency)
initAcct(strategy.st, portfolios=strategy.st, initDate=initDate,
         initEq=initialEquity, currency = port.acct.currency)
initOrders(portfolio=strategy.st,initDate=initDate)
strategy(strategy.st,store=TRUE)
summary(getStrategy(strategy.st))

#MACD W1 indicator
MACD_W1 <- function(mktdata=quote(mktdata),
                    nFast = 12,
                    nSlow = 26,
                    nSig = 9){
  y <- GARAN.IS
  is.xts(y)
  y <- to.weekly(y)
  y <- Cl(y)
  y <- MACD(y,
            nFast = nFast,
            nSlow = nSlow,
            nSig = nSig,
            maType = "EMA")
  y <- cbind(mktdata, y[paste(first(index(mktdata)),
                              last(index(mktdata)),
                              sep = "/")])
  y <- y[-which(is.na(y[,1])),]
  y <- na.locf(y)
  y <- y[,c((ncol(y)-1),ncol(y))]
  y
}

add.indicator(strategy.st,
              name = "MACD",
              arguments = list(x=Cl(GARAN.IS)),
              label='macd')

add.indicator(strategy.st,
              name = "MACD_W1",
              arguments = list(mktdata=quote(mktdata)))


apply.indicators.df <- applyIndicators(strategy.st, mktdata=GARAN.IS)    #testing indicator calculations


-Atakan Okan



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