我知道这个问题已经被问到了,但是这里发布的所有答案都不适用于我 . 我会回测一个简单的指标策略,但最终会出现以下错误:
Error in .xts(e, .index(e1), .indexCLASS = indexClass(e1), .indexFORMAT = indexFormat(e1), :
index length must match number of observations
In addition: Warning messages:
1: In match.names(column, colnames(data)) :
all columns not located in X1.runsum for bid.vol ask.vol vol bid.freq ask.freq freq bid.price ask.price price
2: In min(j, na.rm = TRUE) :
no non-missing arguments to min; returning Inf
3: In max(j, na.rm = TRUE) :
no non-missing arguments to max; returning -Inf
我正在使用的数据显示买/卖量,总交易量,买/卖报价,报价和一秒钟的买卖交易数量:
> head(data)
bid.vol ask.vol vol bid.freq ask.freq freq bid.price ask.price price
2014-09-25 00:00:01 0.0000000 0.0722401 0.0722401 0 1 1 NA 408.110 408.110
2014-09-25 00:00:02 0.0423759 0.0430572 0.0854331 1 2 3 408.110 408.111 408.111
2014-09-25 00:00:03 0.0299792 0.1648549 0.1948341 1 4 5 408.106 408.112 408.112
2014-09-25 00:00:04 0.0000000 2.9369966 2.9369966 0 9 9 408.106 407.500 407.500
2014-09-25 00:00:05 0.0000000 0.0000000 0.0000000 0 0 0 408.106 407.500 407.500
2014-09-25 00:00:06 0.0000000 0.0000000 0.0000000 0 0 0 408.106 407.500 407.500
具有以下结构:
> str(data)
An ‘xts’ object on 2014-09-25 00:00:01/2014-10-01 23:59:50 containing:
Data: num [1:603994, 1:9] 0 0.0424 0.03 0 0 ...
- attr(*, "dimnames")=List of 2
..$ : NULL
..$ : chr [1:9] "bid.vol" "ask.vol" "vol" "bid.freq" ...
Indexed by objects of class: [POSIXct,POSIXt] TZ: CET
xts Attributes:
NULL
>
策略非常简单:当给定间隔的移动窗口上的运行总和高于或等于某个阈值时,应该有一个信号 .
运行总和的指标运作良好:
add.indicator(strategy.st, name = "runSum", arguments = list(x = quote(data$ask.vol), n = lookBackVol), label = "runsum")
给
bid.vol ask.vol vol bid.freq ask.freq freq bid.price ask.price price X1.runsum
2014-09-25 00:00:01 0.0000000 0.0722401 0.0722401 0 1 1 NA 408.110 408.110 NA
2014-09-25 00:00:02 0.0423759 0.0430572 0.0854331 1 2 3 408.110 408.111 408.111 NA
2014-09-25 00:00:03 0.0299792 0.1648549 0.1948341 1 4 5 408.106 408.112 408.112 NA
2014-09-25 00:00:04 0.0000000 2.9369966 2.9369966 0 9 9 408.106 407.500 407.500 NA
2014-09-25 00:00:05 0.0000000 0.0000000 0.0000000 0 0 0 408.106 407.500 407.500 3.217149
2014-09-25 00:00:06 0.0000000 0.0000000 0.0000000 0 0 0 408.106 407.500 407.500 3.144909
但我没有得到的是为什么newc olumns被称为“ X1.runsum " and not only " runsum " as stated in parametr label = " runsum” . 这可能会在调用signal时引起命名问题:
> add.signal(strategy.st, name = "sigThreshold", arguments = list(column = "X1.runsum", threshold = thresholdVol, relationship = "gte", cross = TRUE), label = "longEntry")
最终会出现一个错误,如开头所述 .
我试过这个:
-
将add.signal中的名称从
column = X1.runsum
更改为column = runsum
- 没有帮助 -
下载更新版本的RRT包 - 没有帮助
-
也像
arguments = list(x = quote(data$ask.vol[,1])
这样的指标功能 - 没有帮助
我不能使用标准的OHLC功能,因为我的数据包含的信息不仅仅是OHLC .
你能帮忙吗?
1 回答
错误在第二行:
因为它称原始未更改的数据不包含任何指标 . 但请改用: