[prev in list] [next in list] [prev in thread] [next in thread] 

List:       r-sig-finance
Subject:    [R-SIG-Finance] Quantstrat: Setting the column name in add.indicator?
From:       "Ollmar, Fridthjof" <Fridthjof.Ollmar () ae ! no>
Date:       2013-10-28 11:54:50
Message-ID: AAF45BB039257D40851A24D0310DE1662BCA0FCB26 () krsexch02 ! a-e ! no
[Download RAW message or body]

Due to a change in SMA and a change in quantstrat (from revison 1411 to 1415?) of \
indicators.R I cant find an easy way of setting the column name of an indicator in \
quantstrat. Does anyone know of an easy way of setting the column name of an \
indicator?


More detailed description:

> From the following code I used to get an indicator column named  only "XXX":

strategy("example", store=TRUE)
getSymbols("SPY", src='yahoo')
add.indicator('example', 'SMA', arguments=list(x=quote(Ad(SPY)), n=20), label="XXX")
str(getStrategy('example')$indicators)
out <- applyIndicators('example', SPY)
tail(out)

Results in:

           SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted \
SPY.Adjusted.SMA.20.XXX 2013-08-09   169.58   170.10  168.72    169.31   91757700     \
169.31                169.1540 2013-08-12   168.46   169.31  168.38    169.11   \
68323300       169.11                169.2020 2013-08-13   169.41   169.90  168.41    \
169.61   80643600       169.61                169.3065 2013-08-14   169.53   169.80  \
168.70    168.74   79468400       168.74                169.3460 2013-08-15   167.41  \
167.43  166.09    166.38  152033600       166.38                169.2215 2013-08-16   \
166.06   166.63  165.50    165.83  130552300       165.83                169.0545


But now it is named "SPY.Adjusted.SMA.20.XXX". Some of the problem is due to SMA now \
appends SMA.<n> to the column name. Using an older version of SMA or changing the \
function from SMA to runMean still dont fix the problem:

strategy("example", store=TRUE)
getSymbols("SPY", src='yahoo')
add.indicator('example', 'runMean', arguments=list(x=quote(Ad(SPY)), n=20), \
label="XXX") str(getStrategy('example')$indicators)
out <- applyIndicators('example', SPY)
tail(out)

Results in:

           SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted   X1.XXX
2013-08-09   169.58   170.10  168.72    169.31   91757700       169.31 169.1540
2013-08-12   168.46   169.31  168.38    169.11   68323300       169.11 169.2020
2013-08-13   169.41   169.90  168.41    169.61   80643600       169.61 169.3065
2013-08-14   169.53   169.80  168.70    168.74   79468400       168.74 169.3460
2013-08-15   167.41   167.43  166.09    166.38  152033600       166.38 169.2215
2013-08-16   166.06   166.63  165.50    165.83  130552300       165.83 169.0545


Does anyone know of an easy way to get the indicator to be named only "XXX"?
The reason I need control over the name is that I use the column later in sigFormula.

Fridthjof




	[[alternative HTML version deleted]]

_______________________________________________
R-SIG-Finance@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.


[prev in list] [next in list] [prev in thread] [next in thread]