Hello,
I have been trying to figure out why the TxnFees argument does not
evaluate the pennyPerShare function when it is passed via add.rule. I
receive the following error..
out<-try(applyStrategy(strategy=stratBBands ,
portfolios='bbands',parameters=list(sd=SD,n=N)) )
Error in rbind(deparse.level, ...) :
(list) object cannot be coerced to type 'double'
In addition: Warning messages:
1: In rbind(deparse.level, ...) :
mismatched types: converting objects to numeric
2: In rbind(deparse.level, ...) : NAs introduced by coercion
I am using the BBands demo to demonstrate below.
Am I doing something wrong or is there something wrong with the code?
Thank you for taking the time to help.
I am using R (2.15.1 x64), Quantstrat (0.6.8), blotter (0.8.10),
FinancialInstrument (0.15.2)
Dan
require(quantstrat)
suppressWarnings(rm("order_book.bbands",pos=.strategy))
suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st","stock.str","stratBBands","initDate","initEq",'start_t','end_t'))
# some things to set up here
stock.str='IBM' # what are we trying it on
# we'll pass these
SD = 2 # how many standard deviations, traditionally 2
N = 20 # how many periods for the moving average, traditionally 20
currency('USD')
stock(stock.str,currency='USD',multiplier=1)
initDate='2006-12-31'
initEq=1000000
portfolio.st='bbands'
account.st='bbands'
initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
initAcct(account.st,portfolios='bbands', initDate=initDate)
initOrders(portfolio=portfolio.st,initDate=initDate)
addPosLimit(portfolio.st, stock.str, initDate, 200, 2 ) #set max pos
stratBBands <- strategy("bbands")
#one indicator
stratBBands <- add.indicator(strategy = stratBBands, name = "BBands",
arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'))
#add signals:
stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments =
list(columns=c("Close","up"),relationship="gt"),label="Cl.gt.UpperBand")
stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments =
list(columns=c("Close","dn"),relationship="lt"),label="Cl.lt.LowerBand")
stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments =
list(columns=c("High","Low","mavg"),relationship="op"),label="Cross.Mid")
# lets add some rules
stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100,
ordertype='market', orderside=NULL, threshold=NULL,osFUN=osMaxPos,
TxnFees=pennyPerShare),type='enter')
stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100,
ordertype='market', orderside=NULL, threshold=NULL,osFUN=osMaxPos,
TxnFees=pennyPerShare),type='enter')
stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all',
ordertype='market', orderside=NULL, threshold=NULL,osFUN=osMaxPos,
TxnFees=pennyPerShare),type='exit')
#alternately, to exit at the opposite band, the rules would be...
#stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
list(data=quote(mktdata),sigcol="Lo.gt.UpperBand",sigval=TRUE,
orderqty= 'all', ordertype='market', orderside=NULL,
threshold=NULL),type='exit')
#stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
list(data=quote(mktdata),sigcol="Hi.lt.LowerBand",sigval=TRUE,
orderqty= 'all', ordertype='market', orderside=NULL,
threshold=NULL),type='exit')
#TODO add thresholds and stop-entry and stop-exit handling to test
getSymbols(stock.str,from=initDate,index.class=c('POSIXt','POSIXct'))
start_t<-Sys.time()
out<-try(applyStrategy(strategy=stratBBands ,
portfolios='bbands',parameters=list(sd=SD,n=N)) )
# look at the order book
#getOrderBook('bbands')
end_t<-Sys.time()
print("strat execution time:")
print(end_t-start_t)
start_t<-Sys.time()
updatePortf(Portfolio='bbands',Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("updatePortf execution time:")
print(end_t-start_t)
chart.Posn(Portfolio='bbands',Symbol=stock.str)
plot(add_BBands(on=1,sd=SD,n=N))
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