我一直在关注本教程，以了解有关使用Quantstrat进行回测的信息。

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

在第5部分开始时遇到麻烦。我能做的唯一不同的事情是，我从csv而不是直接从Yahoo导入了OHLC数据。这是因为我最近在使用Quantmod时遇到了麻烦。 CSV是直接从Yahoo Finance下载的。示例位于页面的最底部。

我的代码如下。在第2块开始之前，我没有收到任何错误消息。这时，我收到以下错误消息。

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

我确保正确导入了csv，并且显示了具有预期尺寸的xts。除此之外，我不确定要去哪里。我尝试搜索具有类似错误代码的任何人，但没有发现问题的明显原因。

如果有人有任何建议，我将不胜感激。

第1块

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)

第2块

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,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,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,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("~/")
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)

CSV样本

       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