[Blotter-commits] r226 - in pkg/quantstrat: R demo

[noreply at r-forge.r-project.org]

Author: braverock
Date: 2010-02-04 17:29:07 +0100 (Thu, 04 Feb 2010)
New Revision: 226

Modified:
   pkg/quantstrat/R/indicators.R
   pkg/quantstrat/R/signals.R
   pkg/quantstrat/demo/simplestrat.R
Log:
- clean up function name matching
- update demo script

Modified: pkg/quantstrat/R/indicators.R
===================================================================
--- pkg/quantstrat/R/indicators.R	2010-02-04 15:20:53 UTC (rev 225)
+++ pkg/quantstrat/R/indicators.R	2010-02-04 16:29:07 UTC (rev 226)
@@ -51,9 +51,14 @@
     
     for (indicator in strategy$indicators){
         #TODO check to see if they've already been calculated
-        if(!is.function(get(indicator$name))) {
-            message(paste("Skipping indicator",indicator$name,"because there is no function by that name to call"))
-            next()
+
+        if(!is.function(get(indicator$name))){
+            if(!is.function(get(paste("sig",indicator$name,sep='.')))){
+                message(paste("Skipping indicator",indicator$name,"because there is no function by that name to call"))
+                next()      
+            } else {
+                indicator$name<-paste("ind",indicator$name,sep='.')
+            }
         }
         
         # see 'S Programming p. 67 for this matching

Modified: pkg/quantstrat/R/signals.R
===================================================================
--- pkg/quantstrat/R/signals.R	2010-02-04 15:20:53 UTC (rev 225)
+++ pkg/quantstrat/R/signals.R	2010-02-04 16:29:07 UTC (rev 226)
@@ -54,14 +54,19 @@
     
     for (signal in strategy$signals){
         #TODO check to see if they've already been calculated
-        if(!is.function(get(signal$name)) & !is.function(get(paste("sig",signal$name,sep='.')))) {
-            message(paste("Skipping signal",signal$name,"because there is no function by that name to call"))
-            next()
+        
+        if(!is.function(get(signal$name))){
+            if(!is.function(get(paste("sig",signal$name,sep='.')))){
+                message(paste("Skipping signal",signal$name,"because there is no function by that name to call"))
+                next()      
+            } else {
+                signal$name<-paste("sig",signal$name,sep='.')
+            }
         }
         
         # see 'S Programming p. 67 for this matching
-        fun<-try(match.fun(signal$name),silent=TRUE)
-        if(inherits(fun,,"try-error")) fun <- match.fun(paste(sig,signal$name,'.'))
+        fun<-match.fun(signal$name)
+
         .formals  <- formals(fun)
         onames <- names(.formals)
         
@@ -126,7 +131,7 @@
     return(ret_sig)
 }
 
-sigCrossover <- sigComparison <- function(label,data, columns, relationship=c("gt","lt","eq","gte","lte")) {
+sigCrossover <- function(label,data, columns, relationship=c("gt","lt","eq","gte","lte")) {
     # TODO should call sigComparison and then do a diff so we only have the signal in the period it actually changes
 }
 

Modified: pkg/quantstrat/demo/simplestrat.R
===================================================================
--- pkg/quantstrat/demo/simplestrat.R	2010-02-04 15:20:53 UTC (rev 225)
+++ pkg/quantstrat/demo/simplestrat.R	2010-02-04 16:29:07 UTC (rev 226)
@@ -1,16 +1,16 @@
 
 s <- strategy("simplestrat")
 s <- add.indicator(strategy = s, name = "SMA", arguments = list(x = quote(Cl(mktdata)), n=10), label="SMA10")
+s <- add.indicator(strategy = s, name = "BBands", arguments = list(HLC = quote(HLC(mktdata)), sd = 1.8,maType=quote(SMA)))
 
-# this indicator fails on dots, so we'll not enable it for now
-#s <- add.indicator(strategy = s, name = "BBands", arguments = list(HLC = quote(HLC(mktdata)), sd = 1.8,maType=quote(SMA)))
-
 getSymbols("IBM")
 IBM.mod=applyIndicators(s,mktdata=IBM)
 
 #manually apply a signal function for demonstration
-IBM.mod = cbind(IBM.mod,sigComparison(label="Close.gt.Open",data=IBM.mod,columns=c("Close","Open"),">"))
-IBM.mod = cbind(IBM.mod,sigComparison(label="Adjusted.gt.SMA",data=IBM.mod,columns=c("Adjusted","SMA10"),">"))
+cbind(IBM.mod,sigComparison(label="Close.gt.Open",data=IBM.mod,columns=c("Close","Open"),">"))
+cbind(IBM.mod,sigComparison(label="Adjusted.gt.SMA",data=IBM.mod,columns=c("Adjusted","SMA10"),">"))
 
 #or, do it properly and add it to the strategy:
-s<- add.indicator(s,name="sigComparison",arguments = list(data=quote(mktdata),columns=c("Close","Open"),relationship=">"))label="Close.gt.Open")
\ No newline at end of file
+s<- add.signal(s,name="sigComparison",arguments = list(data=quote(mktdata),columns=c(".Close","Open"),relationship="gt"),label="ClosegtOpen")
+s<- add.signal(s,name="sigComparison",arguments = list(data=quote(mktdata),columns=c(".Close","up"),relationship="gt"),label="ClosegtUpperBand")
+IBM.mod<-applySignals(s,mktdata=IBM.mod)
\ No newline at end of file