閱讀列表以獲取xts對象的名稱

Question

我正在嘗試通過Guy Yonlin優秀示例代碼的版本來爲quantstrat &吸墨紙工作，但使其適用於一組投影組合。不幸的是，我試圖讀取符號列表，並讓R訪問下載的實際xts數據。

在下面的代碼中，我正確地找到"BND"這是第一個符號，但我無法弄清楚如何使TempSym成爲該符號的實際xts對象，以便它實際上具有行。

我在這裏做錯了什麼？我看到的實際故障是這樣的：

[1] "BND" 
Error in 1:nrow(TempSym) : argument of length 0 

請注意，在這一點上沒有任何語句被註釋掉了。它們基於我認爲我從Guy的示例代碼中去的地方。

library(blotter) 
MyPortfolios = c("Port1", "Port2") 

MySymbols=list() 
MySymbols[[1]]= c("BND","DBC","DXJ") 

MySymbols[[2]]= c("ALD", "BND","DBC","ECON") 

currency("USD") 

get("USD",envir=FinancialInstrument:::.instrument) 

Date_Start = "2013-01-01" 
Date_End = format(Sys.time(), "%Y-%m-%d") 

Sys.setenv(TZ="UTC") 

TotalSymbols = 0 
for (j in 1:length(MySymbols)){ 
    TempSym = MySymbols[[j]] 
    for (i in 1:length(TempSym)){ 
    if (!exists(paste(TempSym[i]))){ 
     stock(TempSym[i], currency="USD", multiplier=1) 
     get(TempSym[i],envir=FinancialInstrument:::.instrument) 
     getSymbols(TempSym[i], from=Date_Start, to=Date_End, adjust=T) 
     TotalSymbols = TotalSymbols + 1 
    } 
    } 
    rm(TempSym) 
} 

print(paste("Total symbols downloaded: ", TotalSymbols)) 
rm(TotalSymbols) 

suppressWarnings(rm("account.LongTerm",pos=.blotter)) 
suppressWarnings(rm("portfolio.Port1", pos=.blotter)) 
suppressWarnings(rm("portfolio.Port2", pos=.blotter)) 

initPortf(MyPortfolios[1], as.list(MySymbols[[1]]), initDate="2013-06-01") 
initPortf(MyPortfolios[2], as.list(MySymbols[[2]]), initDate="2013-06-01") 

initAcct("LongTerm", MyPortfolios, initDate="2013-06-01", initEq=600000) 

addTxn("Port1", Symbol="BND", TxnDate="2013-06-10", TxnQty=733, TxnPrice=81.83, TxnFees=0) 
addTxn("Port1", Symbol="DBC", TxnDate="2013-06-10", TxnQty=343, TxnPrice=26.22, TxnFees=0) 
addTxn("Port1", Symbol="DXJ", TxnDate="2013-06-10", TxnQty=259, TxnPrice=46.30, TxnFees=0) 

addTxn("Port2", Symbol="ALD", TxnDate="2013-06-11", TxnQty=60, TxnPrice=49.92, TxnFees=0) 
addTxn("Port2", Symbol="BND", TxnDate="2013-06-11", TxnQty=159, TxnPrice=81.83, TxnFees=0) 
addTxn("Port2", Symbol="ECON", TxnDate="2013-06-11", TxnQty=58, TxnPrice=26.67, TxnFees=0) 

################### 
# For each portfolio 
# look up each symbol 
# and calculate equity for each bar 
################### 

for (k in 1:length(MyPortfolios)){ 
    TempList = MySymbols[[k]] 
    for (j in 1:length(TempList)){ 
    TempSym = TempList[[j]] 
    print(paste(TempSym)) 
    for (i in 1:nrow(TempSym)){ 
#  CurrentDate <- time(TempSym)[i] 
#  updatePortf(MyPortfolios[k], Dates = CurrentDate) 
#  updateAcct(MyPortfolios[k], Dates = CurrentDate) 
#  updateEndEq(MyPortfolios[k], Dates = CurrentDate) 
    } 
    } 
} 


# create custom theme 
myTheme<-chart_theme() 
myTheme$col$dn.col<-'purple' 
myTheme$col$dn.border <- 'lightgray' 
myTheme$col$up.col<-'orange' 
myTheme$col$up.border <- 'lightgray' 

chart.Posn(MyPortfolios[1], Symbol = "BND", Dates = "2013::", theme=myTheme) 
chart.Posn(MyPortfolios[1], Symbol = "DBC", Dates = "2013::", theme=myTheme) 
chart.Posn(MyPortfolios[1], Symbol = "DXJ", Dates = "2013::", theme=myTheme) 

chart.Posn(MyPortfolios[2], Symbol = "ALD", Dates = "2013::", theme=myTheme) 
chart.Posn(MyPortfolios[2], Symbol = "BND", Dates = "2013::", theme=myTheme) 
chart.Posn(MyPortfolios[2], Symbol = "ECON", Dates = "2013::", theme=myTheme) 

Answer 1

你並不需要所有這些循環既是stocks和getSymbols都是量化的功能。 您也不需要get命令。你也不需要爲每個時間標記調用updatePortf，updateAcct和updateEndEq。您可以用投資組合名稱和賬戶名稱給他們打電話，它會自動將您的賬戶和投資組合標記爲有價格數據的所有時間戳。

library(blotter) 
MyPortfolios = c("Port1", "Port2") 

MySymbols = list() 
MySymbols[[1]] = c("BND", "DBC", "DXJ") 

MySymbols[[2]] = c("ALD", "BND", "DBC", "ECON") 

currency("USD") 
## [1] "USD" 


Date_Start = "2013-01-01" 
Date_End = format(Sys.time(), "%Y-%m-%d") 

Sys.setenv(TZ = "UTC") 


stock(MySymbols[[1]], currency = "USD", multiplier = 1) 
## [1] "BND" "DBC" "DXJ" 

stock(MySymbols[[2]], currency = "USD", multiplier = 1) 
## [1] "ALD" "BND" "DBC" "ECON" 


getSymbols(MySymbols[[1]], from = Date_Start, to = Date_End, adjust = T) 
## [1] "BND" "DBC" "DXJ" 

getSymbols(MySymbols[[2]], from = Date_Start, to = Date_End, adjust = T) 
## [1] "ALD" "BND" "DBC" "ECON" 




suppressWarnings(rm("account.LongTerm", pos = .blotter)) 
suppressWarnings(rm("portfolio.Port1", pos = .blotter)) 
suppressWarnings(rm("portfolio.Port2", pos = .blotter)) 

initPortf(MyPortfolios[1], as.list(MySymbols[[1]]), initDate = "2013-06-01") 
## [1] "Port1" 

initPortf(MyPortfolios[2], as.list(MySymbols[[2]]), initDate = "2013-06-01") 
## [1] "Port2" 


initAcct("LongTerm", MyPortfolios, initDate = "2013-06-01", initEq = 6e+05) 
## [1] "LongTerm" 


addTxn("Port1", Symbol = "BND", TxnDate = "2013-06-10", TxnQty = 733, TxnPrice = 81.83, TxnFees = 0) 
## [1] "2013-06-10 00:00:00 BND 733 @ 81.83" 

addTxn("Port1", Symbol = "DBC", TxnDate = "2013-06-10", TxnQty = 343, TxnPrice = 26.22, TxnFees = 0) 
## [1] "2013-06-10 00:00:00 DBC 343 @ 26.22" 

addTxn("Port1", Symbol = "DXJ", TxnDate = "2013-06-10", TxnQty = 259, TxnPrice = 46.3, TxnFees = 0) 
## [1] "2013-06-10 00:00:00 DXJ 259 @ 46.3" 


addTxn("Port2", Symbol = "ALD", TxnDate = "2013-06-11", TxnQty = 60, TxnPrice = 49.92, TxnFees = 0) 
## [1] "2013-06-11 00:00:00 ALD 60 @ 49.92" 

addTxn("Port2", Symbol = "BND", TxnDate = "2013-06-11", TxnQty = 159, TxnPrice = 81.83, TxnFees = 0) 
## [1] "2013-06-11 00:00:00 BND 159 @ 81.83" 

addTxn("Port2", Symbol = "ECON", TxnDate = "2013-06-11", TxnQty = 58, TxnPrice = 26.67, TxnFees = 0) 
## [1] "2013-06-11 00:00:00 ECON 58 @ 26.67" 


updatePortf(MyPortfolios[1]) 
## [1] "Port1" 

updatePortf(MyPortfolios[2]) 
## [1] "Port2" 


updateAcct("LongTerm") 
## [1] "LongTerm" 

updateEndEq("LongTerm") 
## [1] "LongTerm" 

Btw。您遇到的具體錯誤是您需要使用get將xts對象分配到TempSym。但你真的不需要使用這個循環，如上面我的代碼所示。

for (k in 1:length(MyPortfolios)){ 
    TempList = MySymbols[[k]] 
    for (j in 1:length(TempList)){ 
    TempSym = get(TempList[[j]]) # <--------------------- 
    print(paste(TempSym)) 
    for (i in 1:nrow(TempSym)){ 
     CurrentDate <- time(TempSym)[i] 
     updatePortf(MyPortfolios[k], Dates = CurrentDate) 
     updateAcct(MyPortfolios[k], Dates = CurrentDate) 
     updateEndEq(MyPortfolios[k], Dates = CurrentDate) 
    } 
    } 
}