problems in quantstrat : argument "price" is missing, with no default

Question

I am a new user trying to backtesting on quantstrat, when I run the following code shows the message at the bottom. Can anyone help me to fix it?

library(quantmod)
initdate = "1999-01-01"
from = "2003-01-01"
to = "2015-06-30"
remove(srs)
symbols("spy")
src = "yahoo"
getSymbols("SPY", from = from, to = to, src = src, adjust = TRUE)
plot(Cl(SPY))
getSymbols("GBP", from = from, to = to, src = src, adjust = TRUE)
lines(SMA(Cl(SPY),n = 200, col = "red"))
Sys.setenv(TZ = "UTC")
library(quantstrat)
currency("USD")
library(quantmod)
getSymbols("GDX", from = from, to = to, src = src, adjust = TRUE)
stock("GDX", currency = "USD")
stock("SPY", currency = "USD")
tradesize <- 100000
initeq <- 100000
strategy.st <-"firststrat"
portfolio.st <- "firststrat"
account.st <- "firststrat"
rm.strat(strategy.st)
initPortf(portfolio.st, symbols = "SPY", initdate = initdate, currency = "USD")
initAcct(account.st, portfolio = portfolio.st, initDate = initdate, currency = "USD",initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store = TRUE)
spy_sma <- SMA(x=Cl(SPY), n = 200)
spy_rsi <- RSI(price=Cl(SPY), n=3)
plot(Cl(SPY))
lines(SMA(Cl(SPY), n=200, col = "red"))
"trend"
plot(Cl(SPY))
plot(RSI(Cl(SPY), n = 2))
"reversion"
add.indicator(strategy = strategy.st, 
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)), n = 200),
              label = "SMA200")
add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)), n = 50),
              label = "SMA50")
add.indicator(strategy = strategy.st,
              name = "RSI",
              arguments = list(x=quote(Cl(maktdata)), n = 3),
              label = "RSI_3")
RSI_avg <- function(price, n1, n2) {
  rsi_1 <- RSI(price = price, n = 1)
  rsi_2 <- RSI(price = price, n = 2)
  RSI_avg <- (rsi_1/rsi_2)/2
  colnames(RSI_avg) <- "RSI_avg"
  return (RSI_avg)
}
add.indicator(strategy.st, name = "RSI_avg", arguments = list(price = quote(Cl(mktdata)), n1 = 3, n2 = 4), label = "RSI_3_4")
DVO <-function(HLC, navg = 2, percentlookback = 126){
  ratio <- Cl(HLC/(Hi(HLC) + Lo(HLC))/2)
  avgratio <- SMA(ratio, n = navg)
  out <- runPercentRank(avgratio, n = percentlookback, exact.multiplier = 1)*100
  colnames(out) <- "DVO"
  return(out)
}
add.indicator(strategy.st, name = "DVO", arguments = list (HLC=quote(HLC(mktdata)),navg = 2, percentlookback = 126), label = "DVO_2_126")
test <- applyIndicators(strategy = strategy.st, mktdata = OHLC(SPY))

appears the following message on my Console

test <- applyIndicators(strategy = strategy.st, mktdata = OHLC(SPY)) Error in try.xts(price, error = as.matrix) : argument "price" is missing, with no default

Answer 1

global environment I tested this code and it works. I had to install R 3.5 to be able to use quantstrat , but it gives the same answers as in the "Datacamp" exercise. I also had the same issue as you, but realized that I hadn't formatted the DVO add.indicator code correctly.

# Create a 200-day SMA
spy_sma <- SMA(Cl(SPY), n = 200)

# Create an RSI with a 3-day lookback period
spy_rsi <- RSI(Cl(SPY), n = 3)

# Plot the closing prices of SPY
plot(Cl(SPY))
# Overlay a 200-day SMA
lines(SMA(Cl(SPY), n = 200), col = "red")

add.indicator(strategy = strategy.st, 
              # Add the SMA function
              name = "SMA", #TTR function
              # Create a lookback period
              arguments = list(x = quote(Cl(mktdata)), n = 200), 
              # Label your indicator SMA200 ________ equivalent to "<-"
              label = "SMA200")

# Add a 50-day SMA indicator to strategy.st
add.indicator(strategy = strategy.st, 
              # Add the SMA function
              name = "SMA", 
              # Create a lookback period
              arguments = list(x = quote(Cl(mktdata)), n = 50), 
              # Label your indicator SMA50
              label = "SMA50")


# Add an RSI 3 indicator to strategy.st
add.indicator(strategy = strategy.st, 
              # Add the RSI 3 function
              name = "RSI", 
              # Create a lookback period
              arguments = list(x = quote(Cl(mktdata)), n = 3), 
              # Label your indicator RSI_3
              label = "RSI_3")


library(TTR)
library(quantmod)
# Write the calc_RSI_avg function
calc_RSI_avg <- function(price, n1, n2) {
  
  # RSI 1 takes an input of the price and n1
  RSI_1 <- RSI(price = price, n = 1)
  
  # RSI 2 takes an input of the price and n2
  RSI_2 <- RSI(price = price, n = 2)
  
  # RSI_avg is the average of RSI_1 and RSI_2
  RSI_avg <- (RSI_1 + RSI_2)/2
  
  # Your output of RSI_avg needs a column name of RSI_avg
  colnames(RSI_avg) <- "RSI_avg"
  return(RSI_avg)
}

# Add this function as RSI_3_4 to your strategy with n1 = 3 and n2 = 4
add.indicator(strategy.st, name = "RSI_3_4", arguments = list(price = quote(Cl(mktdata)), n1 = 3, n2 = 4), label = "RSI_3_4")

DVO <- function(HLC, navg = 2, percentlookback = 126) {
  
  # Compute the ratio between closing prices to the average of high and low
  ratio <- Cl(HLC)/((Hi(HLC) + Lo(HLC))/2)
  
  # Smooth out the ratio outputs using a moving average
  avgratio <- SMA(ratio, n = 2)
  
  # Convert ratio into a 0-100 value using runPercentRank()
  out <- runPercentRank(avgratio, n = percentlookback, exact.multiplier = 1) * 100
  colnames(out) <- "DVO"
  return(out)
}
  
# Add the DVO indicator to your strategy
add.indicator(strategy = strategy.st, name = "DVO", 
              arguments = list(HLC = quote(HLC(mktdata)), navg = 2, percentlookback = 126),
              label = "DVO_2_126")

# Use applyIndicators to test out your indicators
test <- applyIndicators(strategy = strategy.st, mktdata = OHLC(SPY))

# Subset your data between Sep. 1 and Sep. 5 of 2013
test_subset <- test["2013-09-01/2013-09-05"]

Answer 2

RSI takes a parameter price, not x. Also be careful how you construct ratio in DVO. You also have a typo in RSI_3 for mktdata. It's not clear why you are requesting "GBP" in this code, nor why symbols("spy") is called also, but they aren't really part of your problem.

These changes should make your code work:

library(quantmod)
initdate = "1999-01-01"
from = "2003-01-01"
to = "2015-06-30"
#remove(srs)
#symbols("spy")
src = "yahoo"
getSymbols("SPY", from = from, to = to, src = src, adjust = TRUE)
plot(Cl(SPY))
getSymbols("GBP", from = from, to = to, src = src, adjust = TRUE)
lines(SMA(Cl(SPY),n = 200, col = "red"))
Sys.setenv(TZ = "UTC")
library(quantstrat)
currency("USD")
library(quantmod)
getSymbols("GDX", from = from, to = to, src = src, adjust = TRUE)
stock("GDX", currency = "USD")
stock("SPY", currency = "USD")
tradesize <- 100000
initeq <- 100000
strategy.st <-"firststrat"
portfolio.st <- "firststrat"
account.st <- "firststrat"
rm.strat(strategy.st)
initPortf(portfolio.st, symbols = "SPY", initdate = initdate, currency = "USD")
initAcct(account.st, portfolio = portfolio.st, initDate = initdate, currency = "USD",initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store = TRUE)
spy_sma <- SMA(x=Cl(SPY), n = 200)
spy_rsi <- RSI(price=Cl(SPY), n=3)
plot(Cl(SPY))
lines(SMA(Cl(SPY), n=200, col = "red"))
"trend"
plot(Cl(SPY))
plot(RSI(Cl(SPY), n = 2))
"reversion"
add.indicator(strategy = strategy.st, 
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)), n = 200),
              label = "SMA200")
add.indicator(strategy = strategy.st,
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)), n = 50),
              label = "SMA50")
add.indicator(strategy = strategy.st,
              name = "RSI",
              arguments = list(price=quote(Cl(mktdata)), n = 3),
              label = "RSI_3")
RSI_avg <- function(price, n1, n2) {
    rsi_1 <- RSI(price = price, n = 1)
    rsi_2 <- RSI(price = price, n = 2)
    RSI_avg <- (rsi_1/rsi_2)/2
    colnames(RSI_avg) <- "RSI_avg"
    return (RSI_avg)
}
add.indicator(strategy.st, name = "RSI_avg", arguments = list(price = quote(Cl(mktdata)), n1 = 3, n2 = 4), label = "RSI_3_4")
DVO <-function(HLC, navg = 2, percentlookback = 126){
    ratio <- Cl(HLC)/(Hi(HLC) + Lo(HLC))/2
    avgratio <- SMA(ratio, n = navg)
    out <- runPercentRank(avgratio, n = percentlookback, exact.multiplier = 1)*100
    colnames(out) <- "DVO"
    return(out)
}
add.indicator(strategy.st, name = "DVO", arguments = list (HLC=quote(HLC(mktdata)),navg = 2, percentlookback = 126), label = "DVO_2_126")
test <- applyIndicators(strategy = strategy.st, mktdata = OHLC(SPY))