我试图通过将一定比例的投资组合（100％或20％）投资于头寸而不是固定的订单数量（即10股）来使Quantstrat工作。

我尝试从（Quantstrat: Ordersize function）改编ordersize函数，但是我的代码在交易过程中出错：

[1] "2016-06-01 00:00:00 BP 3972.33383061 @ 25.1741178521841"
[1] "2016-06-30 00:00:00 BP -3972.33383061 @ 28.5237037199368"
[1] "2016-09-14 00:00:00 BP 4157.48457062 @ 27.2534200275105"
[1] "2016-11-02 00:00:00 BP 4157.48457062 @ 27.8177899348377"
[1] "2017-03-30 00:00:00 BP -8314.96914124 @ 29.2450509184207"
Error in if (!is.null(orderqty) && orderqty != 0 && length(orderprice)) { : 
  missing value where TRUE/FALSE needed

我的代码如下：

###########################################################################################
#
#  part 1 - initialize things
#
###########################################################################################

initdate <- "2016-01-01"
from <- "2016-01-01" #start of backtest
to <- Sys.Date() #end of backtest

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


tradesize <-100000 #default trade size
initeq <- 100000 #default initial equity in our portfolio

strategy.st <- portfolio.st <- account.st <- "firststrat" #naming strategy,portfolio and account

#removes old portfolio and strategy from environment
rm.strat(portfolio.st)
rm.strat(strategy.st) 

#initialize portfolio,account,orders and strategy objects
initPortf(portfolio.st,symbols = symbols,initDate = initdate,currency = "GBP")
initacct(account.st,portfolios = portfolio.st,initEq = initeq)
initOrders(portfolio.st,initDate = initdate)

# set position limits
strategy(strategy.st,store=TRUE)

#################
#               #
#  add signals  #
#               #
#################

# custom entry signal
add.signal(strategy.st,name = "sigThreshold",arguments = list(column = "abv_bb",threshold = 1,relationship = "gte",cross = TRUE),label = "thresholdentry")

# custom exit signal
add.signal(strategy.st,arguments = list(column = "blw_bb",label = "thresholdexit")


###############
#             #
#  add rules  #
#             #
###############


osInvestAll <- function (data,timestamp,orderqty,ordertype,orderside,equity,portfolio,symbol,ruletype,...,initEq) {
  datePos <- format(timestamp,"%Y-%m-%d %H:%M:%OS")

  datePos <- strptime(c(datePos),format = "%Y-%m-%d %H:%M:%OS",tz = 
                        "UTC") + 86400 #for daily data

  updatePortf(Portfolio=portfolio,Symbol=symbol,Dates=paste0(start(data),"/",datePos))
  # After updating portfolio profit,we can extract the Net.Trading.PL earned up to datePos.
  trading_pl <- sum(.getPortfolio(portfolio)$summary$Net.Trading.PL)
  # The total equity in the strategy for this symbol (and this symbol only in isolation always,# as this is how quantstrat by default works with applyStrategy)
  equity <- initEq + trading_pl
  ClosePrice <- getPrice(data,prefer = "Close")[datePos]
  UnitSize <- as.numeric((equity / ClosePrice))
  UnitSize1 <- round(UnitSize,digits = 8)
  UnitSize1
}


# add custom entry rule
add.rule(strategy.st,name = "ruleSignal",arguments = list(sigcol = "thresholdentry",sigval = TRUE,ordertype = "market",orderside = "long",prefer = "Close",osFUN = osInvestAll),type = "enter")

# add custom exit rule
add.rule(strategy.st,arguments = list(sigcol = "thresholdexit",orderqty = "all",prefer = "Close"),type = "exit",label="ExitRule",enabled=T)


##################
#                #
#  run strategy  #
#                #
##################

out <- applyStrategy(strategy = strategy.st,initEq=initeq)