R - Quantstrat - le test de retour ne fonctionne pas

Question

J'ai utilisé le code suivant de la conférence de Guy Yollin. Le résultat que j'ai obtenu n'était pas correct. Le résultat est affiché sous le code.

library(blotter) 
library(quantstrat) 

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

initDate = "1997-12-31" 
startDate = "1998-01-01" 
endDate = "2014-06-30" 
initEQ = 1e6 

Sys.setenv(TZ = "UTC") 

getSymbols('SPY', from = startDate, to = endDate, index.class = "POSIXct", adjust = T) 

SPY = to.monthly(SPY, indexAt = "endof", drop.time = FALSE) 
SPY$SMA10m <- SMA(Cl(SPY),10) 

qs.strategy <- "qsFaber" 

initPortf(qs.strategy, "SPY", initDate = initDate) 
initAcct(qs.strategy, portfolios = qs.strategy, initDate = initDate, initEq = initEQ) 
initOrders(portfolio = qs.strategy, initDate = initDate) 

strategy(qs.strategy, store = TRUE) 

strat <- getStrategy(qs.strategy) 

add.indicator(
    strategy = qs.strategy, 
    name = "SMA", 
    arguments = list(
    x = quote(Cl(mktdata)), 
    n = 10), 
    label = "SMA10" 
) 

add.signal(
    qs.strategy, 
    name = "sigCrossover", 
    arguments = list (
    columns = c("Close", "SMA10"), 
    relationship = "gt"), 
    label = "Cl.gt.SMA" 
) 

add.signal (
    qs.strategy, 
    name = "sigCrossover", 
    arguments = list(
    columns = c("Close", "SMA10"), 
    relationship = "lt"), 
    label = "Cl.lt.SMA" 
) 

add.rule(
    qs.strategy, 
    name = "ruleSignal", 
    arguments = list(
    sicol = "Cl.gt.SMA", 
    sigval = TRUE, 
    orderqty = 900, 
    ordertype = "market", 
    orderside = "long"), 
    type = "enter" 
) 

add.rule(
    qs.strategy, 
    name = "ruleSignal", 
    arguments = list(
    sicol = "Cl.lt.SMA", 
    sigval = TRUE, 
    orderqty = "all", 
    ordertype = "market", 
    orderside = "long"), 
    type = "exit" 
) 

applyStrategy(strategy = qs.strategy, portfolios = qs.strategy) 

getTxns(Portfolio = qs.strategy, "SPY") 

getTxns (portefeuille = qs.strategy, "SPY")

Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn. 1997-12-31 Realized.PL

0   0  0   0   0     0 

Je vous serais reconnaissant des évaluations ou des réponses! Merci d'avance!

Answer 1

Vérifiez comme 70. Il convient de lire sigcol not sicol.