如何在quantmod軟件包中創建技術指標

Question

我是R的新手，我在創建技術指標時遇到了一些問題。更具體地說，我想創建一個指標Fibonacci，它將被添加到chartSeries，並將包含5條水平線。我正在使用的數據是股票的收盤價。因此，我想要創建的圖表將在最大收盤價的位置上有一條水平線，最低收盤價的一條水平線和前兩條之間的三條水平線。我爲了拿一個時間序列股票的收盤價的五個值寫的代碼如下：

Fibonacci <- function(x) { 
x <- try.xts(x, error = as.matrix) 
n <- nrow(x) 
min <- runMin(x,n=n) 
max <- runMax(x,n=n) 
high <- 0.62*(max-min) + min 
middle <- 0.5*(max-min) + min 
low <- 0.38*(max-min) + min 
res <-cbind(na.spline(min),na.spline(max),na.spline(high), 
      na.spline(middle),na.spline(low)) 
colnames(res)<- c("min","max","high","middle","low") 
reclass (res, x) 
} 

我也寫了下面的代碼，以技術指標添加到現有的chartSeries情節quantmod包的：

addFibonacci<- function(col = "red",overlay = TRUE){ 
stopifnot("package:TTR" %in% search() || require("TTR", quietly = TRUE)) 
lchob <- quantmod:::get.current.chob() 
x <- as.matrix(lchob@xdata) 
chobTA <- new("chobTA") 
chobTA@new <- !overlay 
if (!is.OHLC(x)) 
    stop("Fibonacci requires HL series") 
else { 
fibon <- Fibonacci(Cl(x)) 
} 
chobTA@TA.values <- fibon[lchob@xsubset] 
chobTA@call <- match.call() 
chobTA@on <- 1 
chobTA@params <- list(xrange = lchob@xrange, colors = lchob@colors, 
    color.vol = lchob@color.vol, multi.col = lchob@multi.col, 
    spacing = lchob@spacing, width = lchob@width, bp = lchob@bp, 
    x.labels = lchob@x.labels, time.scale = lchob@time.scale, 
    col = col) 
if (is.null(sys.call(-1))) { 
    TA <- lchob@passed.args$TA 
    lchob@passed.args$TA <- c(TA, chobTA) 
    lchob@windows <- lchob@windows + ifelse(chobTA@new, 1, 
     0) 
    chartSeries.chob <- quantmod:::chartSeries.chob 
    do.call(chartSeries.chob, list(lchob)) 
    invisible(chobTA) 
} 
else { 
    return(chobTA) 
} 
} 

的問題是，所述指示器不獲取添加到圖表和我也得到以下錯誤消息：

Error in do.call(x@passed.args$TA[[j]]@name, list(x@passed.args$TA[[j]])) : 
    'what' must be a character string or a function 

我做錯了什麼想法？

Answer 1

比從頭開始編寫add*功能相反，你可以只使用newTA：

> library(quantmod) 
> getSymbols("AAPL") 
[1] "AAPL" 
> addFibonacci <- newTA(Fibonacci,on=1) 
> chartSeries(AAPL, TA="addFibonacci()") 
Error in addFibonacci() : could not find function "get.current.chob" 

嗯，顯然get.current.chob不出口......沒關係，我們就可以改變自己的功能。調用addFibonacci <- newTA(Fibonacci,on=1)後，addFibonacci被定義爲：

addFibonacci <- function (..., on = 1, legend = "auto") 
{ 
    #lchob <- get.current.chob() 
    lchob <- quantmod:::get.current.chob() 
    x <- as.matrix(lchob@xdata) 
    x <- Fibonacci(x = x) 
    yrange <- NULL 
    chobTA <- new("chobTA") 
    if (NCOL(x) == 1) { 
     chobTA@TA.values <- x[lchob@xsubset] 
    } 
    else chobTA@TA.values <- x[lchob@xsubset, ] 
    chobTA@name <- "chartTA" 
    if (any(is.na(on))) { 
     chobTA@new <- TRUE 
    } 
    else { 
     chobTA@new <- FALSE 
     chobTA@on <- on 
    } 
    chobTA@call <- match.call() 
    legend.name <- gsub("^add", "", deparse(match.call())) 
    gpars <- c(list(...), list())[unique(names(c(list(), list(...))))] 
    chobTA@params <- list(xrange = lchob@xrange, yrange = yrange, 
     colors = lchob@colors, color.vol = lchob@color.vol, multi.col = lchob@multi.col, 
     spacing = lchob@spacing, width = lchob@width, bp = lchob@bp, 
     x.labels = lchob@x.labels, time.scale = lchob@time.scale, 
     isLogical = is.logical(x), legend = legend, legend.name = legend.name, 
     pars = list(gpars)) 
    if (is.null(sys.call(-1))) { 
     TA <- lchob@passed.args$TA 
     lchob@passed.args$TA <- c(TA, chobTA) 
     lchob@windows <- lchob@windows + ifelse(chobTA@new, 1, 
      0) 
     chartSeries.chob <- chartSeries.chob 
     do.call("chartSeries.chob", list(lchob)) 
     invisible(chobTA) 
    } 
    else { 
     return(chobTA) 
    } 
} 

而且你能看到我更換了呼叫get.current.chob()與quantmod:::get.current.chob()。現在它應該工作。

chartSeries(AAPL, TA="addFibonacci()") 

成功！