r - 如何使用 apply.paramset 将符号列表添加为参数集？

Question

我得到了使用 apply.paramset 的建议，它期望参数集由 add.distribution 定义，从文档的外观来看，它与指标和规则一起使用。所以......如果我想并行化符号集。我该怎么做？这是我现在的代码

查看 if(FALSE) 阻止我卡在哪里

library(quantstrat) 
library(future.apply)
library(scorecard)

autoregressor1  = function(x){
  if(NROW(x)<12){ result = NA} else{
    y = ROC(Ad(x))
    y = na.omit(y)
    step1 = ar.yw(y)
    step2 = predict(step1,newdata=y,n.ahead=1)
    step3 = step2$pred[1]+1
    step4 = (step3*last(Ad(x))) - last(Ad(x))
    
    result = step4
  }
  return(result)
}

autoregressor = function(x){
  ans = rollapply(x,26,FUN = autoregressor1,by.column=FALSE)
  return (ans)}

reset_quantstrat <- function() {
  if (! exists(".strategy")) .strategy <<- new.env(parent = .GlobalEnv)
  if (! exists(".blotter")) .blotter <<- new.env(parent = .GlobalEnv)
  if (! exists(".audit")) .audit <<- new.env(parent = .GlobalEnv)
  suppressWarnings(rm(list = ls(.strategy), pos = .strategy))
  suppressWarnings(rm(list = ls(.blotter), pos = .blotter))
  suppressWarnings(rm(list = ls(.audit), pos = .audit))
  FinancialInstrument::currency("USD")
}

reset_quantstrat()

initDate <- '2010-01-01'

startDate <- '2011-01-01'

endDate <- '2019-08-10'

symbolstring1 <- c('^SP500TR','GOOG')

getSymbols(symbolstring1,from=startDate,to=endDate,adjust=TRUE,src='yahoo')

symbolstring1 <- c('SP500TR','GOOG')

.orderqty <- 1
.txnfees <- 0

reset_quantstrat()

search()

i=1

#here I'd like to use symbolstring as a subset in apply.paramset
symbolstring=as.character(symbolstring1[i])

try(rm.strat(strategyName),silent=TRUE)
try(rm(envir=FinancialInstrument:::.instrument),silent=TRUE)
for (name in ls(FinancialInstrument:::.instrument)){rm_instruments(name,keep.currencies = FALSE)}

currency('USD')

stock(symbolstring,currency='USD',multiplier=1)

init_equity <- 50000

Sys.setenv(TZ="UTC")

portfolioName <- accountName <- strategyName <- paste0("FirstPortfolio",i)

initPortf(name = portfolioName,
          symbols = symbolstring,
          initDate = initDate)

initAcct(name = accountName,
         portfolios = portfolioName,
         initDate = initDate,
         initEq = init_equity)

initOrders(portfolio = portfolioName,
           symbols = symbolstring,
           initDate = initDate)

strategy(strategyName, store = TRUE)
  
  add.indicator(
    strategy    =   strategyName, 
    name        =   "autoregressor", 
    arguments   =   list(
      x     =   quote(mktdata)),
    label       =   "arspread")
  
  add.signal(
    strategy            = strategyName,
    name                = "sigThreshold",
    arguments           = list(
      threshold     = 0.25,
      column            = "arspread",
      relationship  = "gte",
      cross         = TRUE),
    label               = "Selltime")
  
  add.signal(
    strategy            = strategyName,
    name                = "sigThreshold",
    arguments           = list(
      threshold     = 0.1,
      column            = "arspread",
      relationship  = "lt",
      cross         = TRUE),
    label               = "cashtime")
  
  add.signal(
    strategy        = strategyName,
    name                = "sigThreshold",
    arguments           = list(
      threshold     = -0.1,
      column            = "arspread",
      relationship  = "gt",
      cross         = TRUE),
    label               = "cashtime")
  
  add.signal(
    strategy        = strategyName,
    name                = "sigThreshold",
    arguments           = list(
      threshold     = -0.25,
      column            = "arspread",
      relationship  = "lte",
      cross         = TRUE),
    label               = "Buytime")
  
  #Entry Rule Long
  add.rule(strategyName,
           name             =   "ruleSignal",
           arguments            =   list(
             sigcol         =   "Buytime",
             sigval         =   TRUE,
             orderqty       =   .orderqty,
             ordertype      =   "market",
             orderside      =   "long",
             pricemethod        =   "market",
             replace            =   TRUE,
             TxnFees                =   -.txnfees
             #,
             #osFUN             =   osMaxPos
           ), 
           type             =   "enter",
           path.dep         =   TRUE,
           label                =   "Entry")
 
  add.rule(strategyName,
           name             =   "ruleSignal",
           arguments            =   list(
             sigcol         =   "Selltime",
             sigval         =   TRUE,
             orderqty       =   .orderqty,
             ordertype      =   "market",
             orderside      =   "short",
             pricemethod        =   "market",
             replace            =   TRUE,
             TxnFees                =   -.txnfees
             #,
             #osFUN             =   osMaxPos
           ), 
           type             =   "enter",
           path.dep         =   TRUE,
           label                =   "Entry")
  
summary(getStrategy(strategyName))

if(FALSE)
{
add.distribution(strategyName,
                 paramset.label = "forestopt",  #The label we will use when we want to run this optimisation in paramset
                 component.type = "symbol", # The custom function is of indicator type (not other alternatives including signal or rule)
                 component.label = "symbolstring", #this is the name of your custom function
                 variable = list(symbolstring = symbolstring1),
                 label = "myForestOptLabel") #choose whatever you want

resultsopt <- apply.paramset(strategyName,
                             paramset.label = "forestopt",
                             portfolio.st = strategyName,
                             account.st = strategyName, 
                             nsamples = 0)
}

results <- applyStrategy(strategy= strategyName, portfolios = portfolioName)

getTxns(Portfolio=portfolioName, Symbol=symbolstring)

mktdata

updatePortf(portfolioName)

dateRange <- time(getPortfolio(portfolioName)$summary)[-1]

updateAcct(portfolioName,dateRange)

updateEndEq(accountName)

print(plot(tail(getAccount(portfolioName)$summary$End.Eq,-1), main = "Portfolio Equity"))
  

这是我得到的错误。看起来它遍历了 3 个符号，但我不确定我应该如何创建参数集

[[1]] <simpleError in install.param.combo(strategy, param.combo, paramset.label): symbolstring: 策略FirstPortfolio中没有这样的符号规则>

[[2]] <simpleError in install.param.combo(strategy, param.combo, paramset.label): symbolstring: 策略FirstPortfolio中没有这样的符号规则>

[[3]] <simpleError in install.param.combo(strategy, param.combo, paramset.label): symbolstring: no such symbol rule in strategy FirstPortfolio>

标签： rparallel-processingquantstrat