I am kind of a noob but i pretty much copy pasted the code (after i typed it incorrecly) from the website and spend hours looking at it and googleing because i couldnt make it run
The problem was the checkBlotterUpdate() it told me: Error in getAccount(account.st) : promise already under evaluation: recursive default argument reference or earlier problems?
checkBlotterUpdate <- function(port.st = portfolio.st,
account.st = account.st,
verbose = TRUE) {
ok <- TRUE
p <- getPortfolio(port.st)
a <- getAccount(account.st)
syms <- names(p$symbols)
port.tot <- sum(
sapply(
syms,
FUN = function(x) eval(
parse(
text = paste("sum(p$symbols",
x,
"posPL.USD$Net.Trading.PL)",
sep = "$")))))
port.sum.tot <- sum(p$summary$Net.Trading.PL)
if(!isTRUE(all.equal(port.tot, port.sum.tot))) {
ok <- FALSE
if(verbose) print("portfolio P&L doesn't match sum of symbols P&L")
}
initEq <- as.numeric(first(a$summary$End.Eq))
endEq <- as.numeric(last(a$summary$End.Eq))
if(!isTRUE(all.equal(port.tot, endEq - initEq)) ) {
ok <- FALSE
if(verbose) print("portfolio P&L doesn't match account P&L")
}
if(sum(duplicated(index(p$summary)))) {
ok <- FALSE
if(verbose)print("duplicate timestamps in portfolio summary")
}
if(sum(duplicated(index(a$summary)))) {
ok <- FALSE
if(verbose) print("duplicate timestamps in account summary")
}
return(ok)
}
library(quantstrat)
Sys.setenv(TZ = "UTC")
currency('USD')
init_date <- "2007-12-31"
start_date <- "2008-01-01"
end_date <- "2009-12-31"
init_equity <- 1e4 # $10,000
adjustment <- TRUE
basic_symbols <- function() {
symbols <- c(
"SPY", # iShares Russell 2000 Index ETF
"QQQ", # PowerShares QQQ TRust, Series 1 ETF
"IWM" # SPDR S&P 500 ETF Trust
)
}
checkBlotterUpdate <- function(port.st = portfolio.st,
acct.st = account.st,
verbose = TRUE) {
ok <- TRUE
p <- getPortfolio(port.st)
a <- getAccount(acct.st)
syms <- names(p$symbols)
port.tot <- sum(
sapply(
syms,
FUN = function(x) eval(
parse(
text = paste("sum(p$symbols",
x,
"posPL.USD$Net.Trading.PL)",
sep = "$")))))
port.sum.tot <- sum(p$summary$Net.Trading.PL)
if(!isTRUE(all.equal(port.tot, port.sum.tot))) {
ok <- FALSE
if(verbose) print("portfolio P&L doesn't match sum of symbols P&L")
}
initEq <- as.numeric(first(a$summary$End.Eq))
endEq <- as.numeric(last(a$summary$End.Eq))
if(!isTRUE(all.equal(port.tot, endEq - initEq)) ) {
ok <- FALSE
if(verbose) print("portfolio P&L doesn't match account P&L")
}
if(sum(duplicated(index(p$summary)))) {
ok <- FALSE
if(verbose)print("duplicate timestamps in portfolio summary")
}
if(sum(duplicated(index(a$summary)))) {
ok <- FALSE
if(verbose) print("duplicate timestamps in account summary")
}
return(ok)
}
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,
symbols = symbols,
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,
name = "SMA",
arguments = list(x = quote(Cl(mktdata)),
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,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "lt"),
label = "short")
add.rule(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,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderqty = -100,
ordertype = "stoplimit",
threshold = -0.005,
orderside = "short",
replace = FALSE,
TxnFees = -10,
prefer = "Low"),
type = "enter",
label = "EnterSHORT")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderside = "long",
ordertype = "market",
orderqty = "all",
TxnFees = -10,
replace = TRUE),
type = "exit",
label = "Exit2SHORT")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderside = "short",
ordertype = "market",
orderqty = "all",
TxnFees = -10,
replace = TRUE),
type = "exit",
label = "Exit2LONG")
cwd <- getwd()
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)
checkBlotterUpdate()
I am kind of a noob but i pretty much copy pasted the code (after i typed it incorrecly) from the website and spend hours looking at it and googleing because i couldnt make it run
The problem was the checkBlotterUpdate() it told me: Error in getAccount(account.st) : promise already under evaluation: recursive default argument reference or earlier problems?
from what i read it is a problem of the form x=x.
When I changed
account.st=account.sttoacct.st=account.stand
a <- getAccount(account.st)intoa <- getAccount(acct.st)it workedmy question is did I made a mistake somewhere else which caused this to be a problem which it actually is not, or am I correct?
the code on the website: (https://timtrice.github.io/backtesting-strategies/using-quantstrat.html#checkBlotterUpdate)
also the rest of "my" code: