r - "Error in mktdata[, keep] : number of dimensions incorrect "由于存货 "T"指的是 TRUE？

Question

当我试图在 AT&T 股票上运行一个 quantstrat 的例子时遇到了一个问题，该股票被称为“T”。我相信这是因为 R 在某个地方认为这个 T 指的是 TRUE。这是我的代码:

library(quantstrat)
ticker="T"
total_hist.start = as.Date("2006-06-22")
total_hist.end   = as.Date("2008-06-20")
total_hist = total_hist.end - total_hist.start

currency("USD")
stock(ticker,currency="USD",multiplier=1)

getSymbols(ticker,from=total_hist.start,to=total_hist.end,to.assign=TRUE)
init.date = initDate=total_hist.start-1
strat.name<- "MyStrat"
port.name <- "MyPort"
acct.name <- "MyAcct"

TradeSize = 1000
initEq=as.numeric( TradeSize*max(Ad(get(ticker)) ) )

port <- initPortf(port.name,ticker,initDate=init.date)
acct <- initAcct(acct.name,portfolios=port.name, initDate=init.date, initEq=initEq)
ords <- initOrders(portfolio=port.name,initDate=init.date)
strat<- strategy(strat.name)

strat<- add.indicator(strategy = strat, name = "SMA", arguments = list(x=quote(Ad(mktdata)), n=20),label= "ma20" )

strat<- add.indicator(strategy = strat, name = "SMA", arguments = list(x=quote(Ad(mktdata)), n=50),label= "ma50")
strat<- add.signal(strat,name="sigCrossover",arguments = 
list(columns=c("ma20","ma50"),relationship="gte"),label="ma20.gt.ma50")

strat<- add.signal(strat,name="sigCrossover",arguments =   
list(column=c("ma20","ma50"),relationship="lt"),label="ma20.lt.ma50")
strat<- add.rule(strategy = strat,name='ruleSignal', arguments = list(sigcol="ma20.gt.ma50",sigval=TRUE,  
orderqty=TradeSize, ordertype='market', orderside='long', pricemethod='market'),type='enter', path.dep=TRUE)

strat<- add.rule(strategy = strat,name='ruleSignal', arguments = list(sigcol="ma20.lt.ma50",sigval=TRUE, orderqty='all', 
ordertype='market', orderside='long', pricemethod='market'),type='exit', path.dep=TRUE)

out<-try(applyStrategy(strategy=strat, portfolios=port.name))

我现在收到此错误消息:

Error in mktdata[, keep] : nombre de dimensions incorrect

我试过另一只股票，例如代码为“A”的 Agilent Technologies，但我没有收到此错误，所以我几乎可以肯定问题出在 T 类似于 TRUE 的事实。感谢您的帮助!

Answer 1

您的问题不在quantstrat，而是在getSymbols

> head(T)
[1] TRUE
> get('T')
[1] TRUE
> getSymbols(T,from=total_hist.start,to=total_hist.end,to.assign=TRUE)
Error in do.call(paste("getSymbols.", symbol.source, sep = ""), 
list(Symbols = current.symbols, : could not find function "getSymbols.TRUE"
> getSymbols('T',from=total_hist.start,to=total_hist.end,to.assign=TRUE)
[1] "T"
> head(T)
           T.Open T.High T.Low T.Close T.Volume T.Adjusted
2006-06-22  27.34  27.44 27.13   27.29 14123800      19.85
2006-06-23  27.15  27.61 27.05   27.37 10474500      19.91
2006-06-26  27.32  27.53 27.19   27.33 11311200      19.88
2006-06-27  27.38  27.49 27.29   27.35  9869100      19.89
2006-06-28  27.27  27.44 27.24   27.41 14853300      19.94
2006-06-29  27.42  27.79 27.42   27.70 17314300      20.15

一种解决方法是改为执行类似的操作:

stock('ATT',currency='USD')
ticker<-'ATT'
ATT<-getSymbols('T',from=total_hist.start,to=total_hist.end,auto.assign=FALSE)

这将避免 R 中任何 T/F 与 TRUE/FALSE 的混淆(这在我看来总是一个可怕的想法)。

问候，

• 布莱恩