在 Quantstrat 中为 R 创建投资组合时，导致此错误消息的原因是什么？

Question

I have been following this tutorial to learn about backtesting using Quantstrat.

https://timtrice.github.io/backtesting-strategies/basic-strategy.html

I ran into trouble at the start of part 5. The only thing I have done differently that I can see is that I imported my OHLC data from a csv rather than from Yahoo directly. This is because I have been having trouble with Quantmod recently. The csv was downloaded directly from Yahoo finance. A sample is at the very bottom of the page.

My code is below. I do not get any error messages until the start of block 2. At that point, I get the following error message.

Error in portfolio$symbols[[instrument]] <- new.env(hash = TRUE) : 
  wrong args for environment subassignment

I made sure the csv was imported properly, and it displays an xts with the expected dimensions. Beyond that, I am not sure where to go. I tried searching for anyone with a similar error code, but I did not see an obvious cause for the problem.

If anyone has any suggestions, I would appreciate it.

Block 1

install.packages("devtools") # if not installed
install.packages("FinancialInstrument") #if not installed
install.packages("PerformanceAnalytics") #if not installed
install.packages('quantmod')

# next install blotter from GitHub
devtools::install_github("braverock/blotter")
# next install quantstrat from GitHub
devtools::install_github("braverock/quantstrat")

library(devtools)
library(FinancialInstrument)
library(PerformanceAnalytics)
library(quantstrat)
library(TTR)
library(blotter)
library(quantmod)
    Sys.setenv(TZ = "UTC")
    currency('USD')
    init_date <- "2010-01-04"
    start_date <- "2010-01-05"
    end_date <- "2019-12-27"
    init_equity <- 1e4 # $10,000
    adjustment <- TRUE
    symbols<-c(IEZ)


getSymbols.csv("IEZ",
               env=globalenv(),
               dir="C:\\Users\\NEW USER\\Downloads",
               return.class = "xts",
               extension="csv",index.class="POSIXct")

symbols<-IEZ


stock('IEZ', 
      currency = "USD", 
      multiplier = 1)

portfolio.st <- "Port.Luxor"
account.st <- "Acct.Luxor"
strategy.st <- "Strat.Luxor"


rm.strat(portfolio.st) # remove old strategies
rm.strat(account.st)

Block 2

initPortf(name = portfolio.st,
          symbols = symbols,
          initDate = init_date)

initAcct(name = account.st,
         portfolios = portfolio.st,
         initDate = init_date,
         initEq = init_equity)

initOrders(portfolio = portfolio.st,
           symbols = IEZ,
           initDate = init_date)

strategy(strategy.st, store = TRUE)

##Adding Indicators

add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x = quote(Cl(mktdata)), 
                               n = 10),
              label = "nFast")
add.indicator(strategy = strategy.st, 
              name = "SMA", 
              arguments = list(x = quote(C(mktdata)), 
                               n = 30), 
              label = "nSlow")
#Adding Signals

add.signal(strategy = strategy.st,
           name="sigCrossover",
           arguments = list(columns = c("nFast", "nSlow"),
                            relationship = "gte"),
           label = "long")

add.signal(strategy = strategy.st,
           name="sigCrossover",
           arguments = list(columns = c("nFast", "nSlow"),
                            relationship = "lt"),
           label = "short")

##Adding Rules
add.rule(strategy = strategy.st,
         name = "ruleSignal",
         arguments = list(sigcol = "long",
                          sigval = TRUE,
                          orderqty = 100,
                          ordertype = "stoplimit",
                          orderside = "long", 
                          threshold = 0.0005,
                          prefer = "High", 
                          TxnFees = -10, 
                          replace = FALSE),
         type = "enter",
         label = "EnterLONG")

add.rule(strategy.st,
         name = "ruleSignal",
         arguments = list(sigcol = "short",
                          sigval = TRUE,
                          orderqty = -100,
                          ordertype = "stoplimit",
                          threshold = -0.005, 
                          orderside = "short", 
                          replace = FALSE, 
                          TxnFees = -10, 
                          prefer = "Low"),
         type = "enter",
         label = "EnterSHORT")

add.rule(strategy.st, 
         name = "ruleSignal", 
         arguments = list(sigcol = "short", 
                          sigval = TRUE, 
                          orderside = "long", 
                          ordertype = "market", 
                          orderqty = "all", 
                          TxnFees = -10, 
                          replace = TRUE), 
         type = "exit", 
         label = "Exit2SHORT")

add.rule(strategy.st, 
         name = "ruleSignal", 
         arguments = list(sigcol = "long", 
                          sigval = TRUE, 
                          orderside = "short", 
                          ordertype = "market", 
                          orderqty = "all", 
                          TxnFees = -10, 
                          replace = TRUE), 
         type = "exit", 
         label = "Exit2LONG")


cwd <- getwd()
setwd("~/")
results_file <- paste("results", strategy.st, "RData", sep = ".")
if( file.exists(results_file) ) {
  load(results_file)
} else {
  results <- applyStrategy(strategy.st, portfolios = portfolio.st)
  updatePortf(portfolio.st)
  updateAcct(account.st)
  updateEndEq(account.st)
  if(checkBlotterUpdate(portfolio.st, account.st, verbose = TRUE)) {
    save(list = "results", file = results_file)
    save.strategy(strategy.st)
  }
}
setwd(cwd)

Sample of CSV

       IEZ.Open IEZ.High IEZ.Low IEZ.Close IEZ.Volume IEZ.Adjusted
2010-01-04    43.84    44.61   43.55     44.61   38.23743       382700
2010-01-05    44.68    45.58   44.54     45.51   39.00885       202500
2010-01-06    45.47    46.59   45.40     46.52   39.87460       283100
2010-01-07    46.37    46.73   45.93     46.66   39.99459       238800
2010-01-08    46.45    47.71   46.45     47.56   40.76603       173800
2010-01-11    47.93    48.09   46.65     47.05   40.32888       232000

Answer 1

Not sure all that environment code is necessary.

Replace this block

cwd <- getwd()
setwd("~/")
results_file <- paste("results", strategy.st, "RData", sep = ".")
if( file.exists(results_file) ) {
  load(results_file)
} else {
  results <- applyStrategy(strategy.st, portfolios = portfolio.st)
  updatePortf(portfolio.st)
  updateAcct(account.st)
  updateEndEq(account.st)
  if(checkBlotterUpdate(portfolio.st, account.st, verbose = TRUE)) {
    save(list = "results", file = results_file)
    save.strategy(strategy.st)
  }
}
setwd(cwd)

With this:

applyStrategy(strategy.st, portfolios = portfolio.st)
updatePortf(portfolio.st)
updateAcct(account.st)
updateEndEq(account.st)

And the strategy should run as expected.