Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.
Home Page: http://enricoschumann.net/PMwR
License: Other
Sorry, but I have similar issue again. I have ran the same codeas in previous issue on the larger dataset :
# create signal function
mom = function(P, k) {
# P = coredata(prices["2004-02-26 20:00:00 UTC/2004-03-26 20:00:00 UTC"])
o <- order(P[nrow(P), ]/ P[1, ], decreasing = TRUE)
w <- numeric(ncol(P))
w[o[1:k]] <- 1/k
w
}
mom.latest <- mom(head(coredata(prices), 250), 10)
signal <- function(fun, ...) {
print("Debug 1")
print(Timestamp())
# if (as.character(Timestamp()) == '"1998-05-28 19:00:00 UTC"') print(Close(n = 250))
P <- Close(n = 250)
print("Debug 2")
w = fun(P, ...)
print(all(is.finite(w)))
print(w)
# if (any(!is.finite(w))) {
# print("problem!")
# }
}
bt.mom <- btest(prices = list(coredata(P)),
signal = signal,
do.signal = "lastofmonth",
convert.weights = TRUE,
initial.cash = 1000,
k = 3,
fun = mom,
b = 250,
timestamp = timestamp,
instrument = instrument)
and I get error :
Error in if (max(abs(dXs)) < tol) rebalance <- FALSE else if (!is.na(tol.p) && :
missing value where TRUE/FALSE neede
I tested if all values are finite in w as you see above and they are.
If I uncomment this part:
# if (any(!is.finite(w))) {
# print("problem!")
# }
it doesn't return an error. Weird behavior.
I have added the dataset on the cloud. You can download it but it is larger file this time:
https://snpmarketdata.blob.core.windows.net/test/prices_large.csv
I contuined with my momentum backtest and get some error again which I can' debug.
Here is exampled code:
library(data.table)
library(xts)
library(PMwR)
prices = fread("https://snpmarketdata.blob.core.windows.net/test/prices.csv")
prices = as.xts.data.table(prices)
timestamp <- index(prices)
instrument <- colnames(prices)
mom = function(P, k) {
print("TEST")
o <- order(P[nrow(P), ]/P[1, ], decreasing = TRUE)
w <- numeric(ncol(P))
w[o[1:k]] <- 1/k
w
}
mom.latest <- mom(head(coredata(prices), 250), 10)
signal <- function(fun, ...) {
print("HERE")
P <- Close(n = 250)
fun(P, ...)
}
bt.mom <- btest(prices = list(coredata(prices)),
signal = signal,
do.signal = "lastofmonth",
convert.weights = TRUE,
initial.cash = 1000,
k = 2,
fun = mom,
b = 250,
timestamp = timestamp,
instrument = instrument)
Here is the output
[1] "2000-02-28 20:00:00 UTC"
[1] "2000-03-30 20:00:00 UTC"
[1] "2000-04-27 19:00:00 UTC"
[1] "2000-05-30 19:00:00 UTC"
[1] "2000-06-29 19:00:00 UTC"
[1] "2000-07-28 19:00:00 UTC"
[1] "2000-08-30 19:00:00 UTC"
[1] "2000-09-28 19:00:00 UTC"
[1] "2000-10-30 20:00:00 UTC"
[1] "2000-11-29 20:00:00 UTC"
[1] "2000-12-28 20:00:00 UTC"
[1] "2001-01-30 20:00:00 UTC"
Error in if (max(abs(dXs)) < tol) rebalance <- FALSE else if (!is.na(tol.p) && :
missing value where TRUE/FALSE needed
I have following NAv and cf object:
library(data.table)
NAV = structure(list(timestamp = structure(c(19312, 19313, 19314, 19317,
19318, 19319, 19320, 19321, 19324, 19325, 19326, 19327, 19328,
19331, 19332, 19333, 19334, 19335, 19338, 19339, 19340, 19341,
19342, 19345, 19346, 19347, 19348, 19349, 19352, 19353, 19354,
19355, 19356, 19359, 19360, 19361, 19362, 19363, 19366, 19367,
19368, 19369, 19370, 19373, 19374, 19375, 19376, 19377, 19380,
19381, 19382, 19383, 19384, 19387, 19388, 19389, 19390, 19391,
19394, 19395, 19396, 19397, 19398, 19401, 19402, 19403, 19404,
19405, 19408, 19409, 19410, 19411, 19412, 19415, 19416, 19417,
19418, 19419, 19422, 19423, 19424, 19425, 19426, 19429, 19430,
19431, 19432, 19433, 19436, 19437, 19438, 19439, 19440, 19443,
19444, 19445, 19446, 19447, 19450, 19451, 19452, 19453, 19454,
19457, 19458, 19459, 19460, 19461, 19464, 19465, 19466, 19467,
19468, 19471, 19472, 19473, 19474, 19475, 19478, 19479), class = "Date"),
NAV = c(970, 2500, 2500, 2494.56, 2526.42, 2541.54, 2541.54,
2540.28, 2500.68, 2496.25, 2570.6, 2568.44, 2565.26, 2520.26,
2485.35, 2480.98, 2499.11, 2481, 2513.97, 2531.74, 2515.96,
2456.99, 2429.14, 2408.53, 2411.28, 2426.09, 2421.59, 2434.36,
2434.36, 2425.3, 2396.49, 2436.8, 2430.37, 2430.37, 2419.23,
2436.5, 2407.55, 2459.38, 2470.14, 2469.76, 2469.38, 2478.34,
2487.58, 2487.58, 2483.2, 2445.13, 2427.65, 2470.71, 2498.07,
2495.1, 2495.61, 2521.62, 1090107.32, 1086971.73, 1086971.34,
1098903.22, 1111018.21, 1102344.67, 1096241.55, 1096241.55,
1096069.72, 1096069.72, 1101335.625, 1107990.41, 1107990.41,
1116275.52, 1123598.4, 1123598.4, 1123598.4, 1123598.4, 1123598.4,
1124678.98, 1105307.14, 1109141.14, 1104793.89, 1100303.32,
1108848.65, 1130268.42, 1130532.8, 1112747.75, 1114419.18,
1093341.95, 1077124.06, 1074777.33, 1074607.62, 1074435.35,
1074435.35, 1074435.35, 1074435.35, 1074435.35, 1056056.925,
1059896.37, 1059896.37, 1060085.77, 1057218.13, 1060825.9678,
1067748.42, 1067748.42, 1068830.855, 1062896.015, 1063951.985,
1067918.395, 1067918.395, 1068319.775, 1068432.975, 1063912.785,
1077848.515, 1075044.865, 1078374.615, 1078902.625, 1078545.505,
1072487.845, 1073146.795, 1073743.695, 1056519.745, 1051870.815,
1072200.585, 1073637.47, 1073110.76, 1072934.49)), row.names = c(NA,
-120L), class = c("data.table", "data.frame"))
cf <- structure(list(timestamp = structure(c(19312L, 19313L, 19384L), class = c("IDate", "Date")),
`cashflow ` = c(970, 1530, 1089500)), row.names = c(NA, -3L), class = c("data.table", "data.frame"))
I tried to use unit_prices function on this 2 objects (following example):
nav_units <- unit_prices(as.data.frame(NAV ),
cashflow = as.data.frame(cf),
initial.price = 100)
plot(nav_units$price)
buy as you can see on the plot, results are worng, there is a big break that shouldn't exists.
Hi,
I am trying to use code from your book Numerical methods from chapter 15 when you apply btest function on momentum strategy.
I have prepare the data to be the same as in the exmaple, but I get an error:
Here is reprex:
library(data.table)
library(xts)
library(PMwR)
prices = fread("https://snpmarketdata.blob.core.windows.net/test/prices.csv")
prices = as.xts.data.table(prices)
timestamp <- index(prices)
instrument <- colnames(prices)
mom = function(P, k) {
print("TEST")
o <- order(P[nrow(P), ]/P[1, ], decreasing = TRUE)
w <- numeric(ncol(P))
w[o[1:k]] <- 1/k
w
}
mom.latest <- mom(head(coredata(prices), 250), 10)
signal <- function(fun, ...) {
print("HERE")
P <- Close(n = 250)
fun(P, ...)
}
bt.mom <- btest(prices = list(prices),
signal = signal,
do.signal = "lastofmonth",
convert.weights = TRUE,
initial.cash = 1000,
k = 2,
fun = mom,
b = 250,
timestamp = timestamp,
instrument = instrument)
I get an error
Error in v[t] <- X[t, nzero] %*% mC[t, nzero] + cash[t] :
replacement has length zero
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