r - Quantstrat：如何在 add.rule 上应用 allowMagicalThinking？

Question

我知道这个问题已经在这里和这里被问过，但allowMagicalThinking=TRUE仅适用于一个规则时不起作用。

我想申请allowMagicalThinking在“高”信号的同一天退出时执行的信号。仅在退出规则上。

library(quantstrat)

# read indicators data
AA <- read.zoo(header = TRUE, as.is = TRUE,
                       index.column = 1, format = "%m/%d/%y", text = "
        Date   Open   High    Low  Close    Volume Adj.Close     enterLong exitLong
1   12/21/15 201.41 201.88 200.09 201.67  99094300    197.43             0            0
2   12/22/15 202.72 203.85 201.55 203.50 111026200    199.22             0            0
3   12/23/15 204.69 206.07 204.58 206.02 110987200    201.69             0            0
4   12/24/15 205.72 206.33 205.42 205.68  48539600    201.36             0            0
5   12/28/15 204.86 205.26 203.94 205.21  65899900    200.90             0            0
6   12/29/15 206.51 207.79 206.47 207.40  92640700    203.04             0            0
7   12/30/15 207.11 207.21 205.76 205.93  63317700    201.60             0            0
8   12/31/15 205.13 205.89 203.87 203.87 102929500    199.58             0            0
9     1/4/16 200.49 201.03 198.59 201.02 222353500    196.79             1            0
10    1/5/16 201.40 201.90 200.05 201.36 110845800    197.13             0            0
11    1/6/16 198.34 200.06 197.60 198.82 152112600    194.64             0            0
12    1/7/16 195.33 197.44 193.59 194.05 213436100    189.97             0            1
13    1/8/16 195.19 195.85 191.58 191.92 209817200    187.89             0            0
14   1/11/16 193.01 193.41 189.82 192.11 187941300    188.07             0            0
15   1/12/16 193.82 194.55 191.14 193.66 172330500    189.59             0            0
")
AA <- as.xts(AA)

# Set the timezone to UTC
Sys.setenv(TZ = "UTC")

# Set the currency to USD 
currency("USD")
stock("AA", currency = "USD")

# Define your trade size and initial equity
tradesize <- 100000
initeq <- 100000

# Define the names of your strategy, portfolio and account
strategy.st <- "firststrat"
portfolio.st <- "firststrat"
account.st <- "firststrat"

# Remove the existing strategy if it exists
rm.strat(strategy.st)

# initialize the portfolio
initPortf(portfolio.st, symbols = "AA")

# initialize the account
initAcct(account.st, portfolios = portfolio.st, initEq = initeq)

# initialize the orders
initOrders(portfolio.st)

# set position limits
addPosLimit(portfolio.st, "AA", start(AA), 100)

# store the strategy
strategy(strategy.st, store = TRUE)

add.signal(strategy.st, name = "sigThreshold",
           arguments = list(column = "enterLong",
                            threshold = 1,
                            relationship = "eq",
                            cross = FALSE),
           label = "thresholdentry")

add.signal(strategy.st, name = "sigThreshold",
           arguments = list(column = "exitLong",
                            threshold = 1,
                            relationship = "eq",
                            cross = FALSE),
           label = "thresholdexit")


# add Rules
add.rule(strategy.st, name = "ruleSignal",
         arguments = list(sigcol = "thresholdentry",
                          sigval = TRUE,
                          ordertype = "market",
                          orderside = "long",
                          orderqty = 100,
                          replace = FALSE,
                          prefer = "Open",
                          osFUN = osMaxPos,
                          tradeSize = tradesize,
                          maxSize = tradesize),
         type = "enter")

add.rule(strategy.st, name = "ruleSignal",
         arguments = list(sigcol = "thresholdexit",
                          sigval = TRUE,
                          orderqty = "all",
                          ordertype = "market",
                          orderside = "long",
                          replace = FALSE,
                          prefer = "High",
                          allowMagicalThinking = TRUE),
         type = "exit")


applyStrategy(strategy.st, portfolio.st)
# actual result
# [1] "2016-01-05 00:00:00 AA 100 @ 201.4"
# [1] "2016-01-08 00:00:00 AA -100 @ 195.85"

预期的结果是

2016-01-05 AA 100  # enter one day after the signal (default)
2016-01-07 AA -100 # exit the same day of the signal on the "High" (with allowMagicalThinking=TRUE)

如果allowMagicalThinking = TRUE应用于策略，结果是：

applyStrategy(strategy.st, portfolio.st, allowMagicalThinking = TRUE)
[1] "2016-01-04 00:00:00 AA 100 @ 200.49"
[1] "2016-01-07 00:00:00 AA -100 @ 195.33"

标签： rquantstrat