我一直在关注以下教程，以学习如何在Quantstrat中测试不同的变量。

https://timtrice.github.io/backtesting-strategies/parameter-optimization.html

本教程的有关优化的部分位于此链接的第7部分中，但这取决于前面的部分。

输入apply.paramset后，R不返回任何内容。

如果我输入tradeStats(portfolio.st,'SPY')，它将返回此内容；

 [1] Portfolio          Symbol             Num.Txns           Num.Trades        
 [5] Total.Net.Profit   Avg.Trade.PL       Med.Trade.PL       Std.Err.Trade.PL  
 [9] Largest.Winner     Largest.Loser      Gross.Profits      Gross.Losses      
[13] Std.Dev.Trade.PL   Percent.Positive   Percent.Negative   Profit.Factor     
[17] Avg.Win.Trade      Med.Win.Trade      Avg.Losing.Trade   Med.Losing.Trade  
[21] Avg.Daily.PL       Med.Daily.PL       Std.Dev.Daily.PL   Std.Err.Daily.PL  
[25] Ann.Sharpe         Max.Drawdown       Profit.To.Max.Draw Avg.WinLoss.Ratio 
[29] Med.WinLoss.Ratio  Max.Equity         Min.Equity         End.Equity        
<0 rows> (or 0-length row.names)

此数据框的格式符合我的预期，但没有任何值。我希望得到的结果将为我显示慢速和快速SMA值的每种组合的值。

我尝试运行apply.strategy，但这给了我相同的结果。

我的理解是apply.paramset与apply.strategy具有相似的功能。

我尝试在没有此部分的情况下运行它，结果相同。

library(parallel)

if( Sys.info()['sysname'] == "Windows") {
  library(doParallel)
  registerDoParallel(cores=detectCores())
} else {
  library(doMC)
  registerDoMC(cores=detectCores())
}

直接从本教程中获取的代码如下。

我这里缺少什么吗？我完成了本教程的第12部分，并且毫无困难地查看了第5部分的结果，该部分不包含发行版。但是，我看不到优化后查看结果的任何信息。

＃教程第5部分

  library(quantstrat)
    library(blotter)
Sys.setenv(TZ = "UTC")

currency('USD')

init_date <- "2007-12-31"
start_date <- "2008-01-01"
end_date <- "2009-12-31"
init_equity <- 1e4 # $10,000
adjustment <- TRUE


basic_symbols <- function() {
  symbols <- c(
    "IWM",# iShares Russell 2000 Index ETF
    "qqQ",# PowerShares qqQ TRust,Series 1 ETF
    "SPY" # SPDR S&P 500 ETF Trust
  )
}

symbols <- basic_symbols()

getSymbols(Symbols = symbols,src = "yahoo",index.class = "POSIXct",from = start_date,to = end_date,adjust = adjustment)

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

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

rm.strat(portfolio.st)
rm.strat(account.st)

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,initDate = init_date)
strategy(strategy.st,store = TRUE)

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

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

add.signal(strategy = strategy.st,relationship = "lt"),label = "short")
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,arguments = list(sigcol = "short",orderqty = -100,threshold = -0.005,orderside = "short",replace = FALSE,prefer = "Low"),label = "EnterSHORT")

add.rule(strategy.st,ordertype = "market",orderqty = "all",replace = TRUE),type = "exit",label = "Exit2SHORT")
add.rule(strategy.st,label = "Exit2LONG")
cwd <- getwd()
setwd("C:\\Users\\NEW USER\\Desktop\\RYO\\R Working Directory")
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)

#Tutorial,Part 7
.fastSMA <- (1:30)
.slowSMA <- (20:80)
.nsamples <- 5
portfolio.st <- "Port.Luxor.MA.Opt"
account.st <- "acct.Luxor.MA.Opt"
strategy.st <- "Strat.Luxor.MA.Opt"

rm.strat(portfolio.st)
rm.strat(account.st)

initPortf(name = portfolio.st,initDate = init_date)
initacct(name = account.st,initEq = init_equity)
initOrders(portfolio = portfolio.st,initDate = init_date)

strategy(strategy.st,store = TRUE)

rm.strat(portfolio.st)
rm.strat(account.st)
initPortf(name = portfolio.st,initDate = init_date)
initOrders(portfolio = portfolio.st,initDate = init_date)
add.distribution(strategy.st,paramset.label = "SMA",component.type = "indicator",component.label = "nFast",variable = list(n = .fastSMA),label = "nFAST")
add.distribution(strategy.st,component.label = "nSlow",variable = list(n = .slowSMA),label = "nSLOW")
add.distribution.constraint(strategy.st,distribution.label.1 = "nFAST",distribution.label.2 = "nSLOW",operator = "<",label = "SMA.Constraint")
library(parallel)

if( Sys.info()['sysname'] == "Windows") {
  library(doParallel)
  registerDoParallel(cores=detectCores())
} else {
  library(doMC)
  registerDoMC(cores=detectCores())
}
cwd <- getwd()
setwd("C:\\Users\\NEW USER\\Desktop\\RYO\\R Working Directory")
results_file <- paste("results",sep = ".")
if( file.exists(results_file) ) {
  load(results_file)
} else {
  results <- apply.paramset(strategy.st,portfolio.st = portfolio.st,account.st = account.st,nsamples = .nsamples)
  if(checkBlotterupdate(portfolio.st,file = results_file)
    save.strategy(strategy.st)
  }
}
setwd(cwd)

applyStrategy(strategy.st,portfolios = portfolio.st)

checkBlotterupdate(portfolio.st,verbose = TRUE)

updatePortf(portfolio.st)
updateacct(account.st)
updateacct(account.st)