除其他事项外，我的目标是在许多股票上构建枝形吊灯出口，但是我在quantstrat和quantmod图表之间的代码某些方面苦苦挣扎。
以下代码将我带到我想要的quantmod位置：
chandelierstop <- function(HLC,n=22) {
high22 <- runmax(Hi(HLC),n)
custATR <- ATR(HLC,n)[,2]
chandy <- high22 - custATR *3
return(chandy)
}
但是，我在quantstrat本身的ATR代码中遇到了问题。我将附加示例代码，然后在下面突出显示该问题。问题的简介代码：
rm(list = ls(.blotter),envir = .blotter)
initdate <- "2018-01-01"
from <- "2018-01-01"
to <- "2020-09-26"
Sys.setenv(TZ= "EST")
currency("USD")
TENC <- getSymbols("0700.HK",from=from,to=to,adjust = TRUE,auto.assign=FALSE)
colnames(TENC) <- gsub(x = colnames(TENC),pattern = "0700.HK",replacement = "TENC")
newsymbols <- c("TENC")#for simplicity,clearly I have other symbols in my code
stock(newsymbols,currency = "USD",multiplier = 1)
tradesize <-10000
initeq <- 100000
strategy.st <- portfolio.st <- account.st <- "firststrat"
rm.strat(portfolio.st)
rm.strat(strategy.st)
##Initiate portfolios etc
initPortf(portfolio.st,symbols = newsymbols,initDate = initdate,currency = "USD")
initacct(account.st,portfolios = portfolio.st,initEq = initeq)
initOrders(portfolio.st,initDate = initdate)
strategy(strategy.st,store=TRUE)
###Add indicators
add.indicator(strategy = strategy.st,name="ADX",arguments=list(HLC=quote(HLC(mktdata)),n=14),label="ADX")
add.indicator(strategy.st,name="runmin",arguments = list (x=quote(Lo(mktdata)[,1]),n=22),label = "Min22")
add.indicator(strategy.st,name="runmax",arguments = list (x=quote(Hi(mktdata)[,label = "Max22")
到目前为止一切顺利。但是，我在ATR（）部分遇到了问题。
我尝试过：
add.indicator(strategy.st,name="ATR",arguments = list(HLC=quote(HLC(mktdata)),label = "ATR22")
甚至：
myATR <- function(HLC,n = 22) {
result <- ATR(HLC,2] #,maType=SMA
return(result)
}
add.indicator(strategy.st,name="myATR",arguments = list (HLC=quote(HLC(mktdata)),label = "ATRNew")
尝试调和我得到的东西
ATR(TENC,22)
或者实际上
myATR(TENC,22)
但似乎没有。 Quantstrat中的ATR值是ATR（）中一位数ATR的两倍。
为了清楚起见，我以以下方式将上述输出与quantstrat进行比较：
test = applyIndicators(strategy.st,mktdata=TENC)
test["2018-11::2018-11-30"]
myATR（TENC，22）的输出：
2018-11-01 6.111568
2018-11-02 7.006606
2018-11-05 7.241666
2018-11-06 7.494809
2018-11-07 7.829317
2018-11-08 8.353682
2018-11-09 8.507375
2018-11-12 8.561621
2018-11-13 8.064378
2018-11-14 8.245193
2018-11-15 8.028214
2018-11-16 8.353681
2018-11-19 8.100540
2018-11-20 8.218069
2018-11-21 7.829316
2018-11-22 8.091499
2018-11-23 7.946846
2018-11-26 8.109580
2018-11-27 8.272315
2018-11-28 8.516415
2018-11-29 9.158311
2018-11-30 9.058861
quantstrat的输出：
X1.Min22 X1.Max22 atr.ATRNew
2018-11-01 250.0137 323.2078 11.94287
2018-11-02 250.0137 317.8376 12.66613
2018-11-05 250.0137 313.6607 13.12721
2018-11-06 250.0137 306.1027 13.11817
2018-11-07 250.0137 305.1082 13.56117
2018-11-08 250.0137 302.1247 13.64253
2018-11-09 250.0137 302.1247 13.99512
2018-11-12 250.0137 302.1247 13.90472
2018-11-13 250.0137 302.1247 13.63349
2018-11-14 250.0137 302.1247 12.90119
2018-11-15 250.0137 302.1247 13.03680
2018-11-16 250.0137 302.1247 12.81078
2018-11-19 250.0137 302.1247 12.48531
2018-11-20 250.0137 302.1247 12.37682
2018-11-21 250.0137 302.1247 12.43107
2018-11-22 250.0137 302.1247 12.06944
2018-11-23 250.0137 302.1247 11.83438
2018-11-26 250.0137 302.1247 11.68069
2018-11-27 250.0137 302.1247 11.54507
2018-11-28 250.0137 313.2630 11.61740
2018-11-29 255.1850 319.0310 11.75301
2018-11-30 258.5663 319.0310 11.38234
因此，我正在将ATR（TENC，22）与atr.ATRNew进行比较。非常感谢您的帮助。