[R-SIG-Finance] QuantStrat Using ^NYA

[Joshua Ulrich]

Hi Dan,

You can do this with quantmod::setSymbolLookup.  It's mentioned in the
See Also section of ?getSymbols.  I mention this because it's my
favorite section to find functionality I may not be aware of.

Something like this should do the trick:
setSymbolLookup(NYA=list(name="^NYA",src="yahoo"))
stock.str <- "NYA"

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Sat, Sep 17, 2011 at 7:20 PM, Dan Avery <DAvery at marketingleverage.com> wrote:
> Hi All,
>
> First, hats off to all involved in the quantstrat and related projects - very impressive stuff.
>
> I ran the bbands.R example from the demo using the supplied stock.str = 'IBM' and the program ran to completion without a problem. However, when I tried to run the the demo script with stock.str = '^NYA' the program couldn't find the stock data. Looks like the symbol in the portfolio retains the leading '^' but the getSymbol brings in the data and uses NYA as the symbol.
>
> The following shows the input and error message
>
>>suppressWarnings(rm("order_book.bbands",pos=.strategy))
>
>> suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
>
>> suppressWarnings(rm("account.st","portfolio.st","stock.str","stratBBands","initDate","initEq",'start_t','end_t'))
>
>> stock.str='^NYA' # what are we trying it on
>
>> SD = 2 # how many standard deviations, traditionally 2
>
>> N = 20 # how many periods for the moving average, traditionally 20
>
>> currency('USD')
> [1] "USD"
>
>> stock(stock.str,currency='USD',multiplier=1)
> [1] "X.NYA"
>
>> initDate='2006-12-31'
>
>> initEq=1000000
>
>> portfolio.st='bbands'
>
>> account.st='bbands'
>
>> initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
> [1] "bbands"
>
>> initAcct(account.st,portfolios='bbands', initDate=initDate)
> [1] "bbands"
>
>> initOrders(portfolio=portfolio.st,initDate=initDate)
>
>> stratBBands <- strategy("bbands")
>
>> stratBBands <- add.indicator(strategy = stratBBands, name = "BBands",
> + arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'))
>
>> stratBBands <- add.signal(stratBBands,name="sigCrossover",
> + arguments = list(columns=c("Close","up"),relationship="gt"),label="Cl.gt.UpperBand")
>
>> stratBBands <- add.signal(stratBBands,name="sigCrossover",
> + arguments = list(columns=c("Close","dn"),relationship="lt"),label="Cl.lt.LowerBand")
>
>> stratBBands <- add.signal(stratBBands,name="sigCrossover",
> + arguments = list(columns=c("High","Low","mavg"),relationship="op"),label="Cross.Mid")
>
>> stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market', ord .... [TRUNCATED]
>
>> stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market', ord .... [TRUNCATED]
>
>> stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', ordertype='market', ordersi .... [TRUNCATED]
>
>> getSymbols(stock.str,from=initDate)
> [1] "NYA"
>
>> start_t<-Sys.time()
>
>> out<-try(applyStrategy(strategy=stratBBands , portfolios='bbands',parameters=list(sd=SD,n=N)) )
> Error in get(symbol) : object '^NYA' not found
>
>> end_t<-Sys.time()
>
>> print("strat execution time:")
> [1] "strat execution time:"
>
>> print(end_t-start_t)
> Time difference of 0.00999999 secs
>
>> start_t<-Sys.time()
>
>> updatePortf(Portfolio='bbands',Dates=paste('::',as.Date(Sys.time()),sep=''))
> Error in get(Symbol, envir = as.environment(.GlobalEnv)) :
>  object '^NYA' not found
> In addition: Warning messages:
> 1: In getInstrument(symbol) :
>  instrument ^NYA not found, please create it first.
> 2: In getInstrument(Symbol) :
>  instrument ^NYA not found, please create it first.
> 3: In .updatePosPL(Portfolio = pname, Symbol = as.character(symbol),  :
>  Instrument ^NYA  not found, things may break
>>
>
>
> Any insights would be appreciated.
>
> Dan Avery
>
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