Я написал улучшенную функцию сравнения на основе sigComparison. Это не красиво, также я не тестировал функцию смещения. Протестировано - это спецификация сравнений 'и', 'или', 'xor', и с помощью сравнения первого и второго уровня можно использовать до четырех столбцов для получения столбца результата True/False.
#'sigCOMP
#'@description signal comparison operators incl and, or, xor for quantstrat signals.
#'@param label name of the output signal
#'@param data the market data
#'@param columns the signal columns to intersect, if a second level comparison is used, the comparison result must reside in the first column only (compare one 2nd level with a True/False Column) or in both, marked by Keyword '2nd'
#'@param relationship operators gte, gt, lte, lt, eq, and, or, xor TODO:NOT
#'@param secondComparison vector of columns to intersect, if yes, then also set the relationship comparison
#'@param relationshipSecondComparison operators gte, gt, lte, lt, eq
#'@param offset1 optional
#'@param offset2 optional
#'@return a new signal column that intersects the provided columns
#'@export
sigCOMP <- function (label, data = mktdata, columns, relationship = c("gte", "gt", "lte", "lt", "eq", "and", "or", "xor"), relationshipSecondComparison = c("gte", "gt", "lte", "lt", "eq"), secondComparison, res_not, offset1 = 0, offset2 = 0)
{
ret_sig = NULL
compcols <- NULL
if(!missing(columns)){
if (relationship == "op") {
if (columns[1] %in% c("Close", "Cl", "close"))
stop("Close not supported with relationship=='op'")
switch(columns[1], Low = , low = , bid = {
relationship = "lt"
}, Hi = , High = , high = , ask = {
relationship = "gt"
})
} #whatever that is
colNums <- NULL
for(sec in 1:length(columns)){
if (columns[sec]=='2nd'){
colNums <- c(colNums,0)
}
else{
colNums <- c(colNums, match.names(columns[sec], colnames(data)))
}
}
opr <- switch(relationship[1],
gt = , `>` = ">",
gte = , gteq = , ge = , `>=` = ">=",
lt = , `<` = "<",
lte = , lteq = , le = , `<=` = "<=",
eq = , `==` = , `=` = "==",
and = "&",
or = "|",
xor = "xor"
# todo: NOT
)
} #perform preparation actions if 1|2 columns exist or else stop
else {
stop("only works if two comparison columns are provided. for true/false evaluations you can add e.g. 2nd 2nd or <Signal>, 2nd ")
}
if (!missing(secondComparison))
{
ret_sig2nd <- NULL
opr2nd <- c(1:length(secondComparison))
if (length(secondComparison) != length(relationshipSecondComparison)){
stop("make sure to have a comparison operator for each second level comparison you would like to perform")
}
else {
for (j in 1:length(relationshipSecondComparison)) {
# run through pairs of columns and relationship checks and return these in a dataframe ret_sig2nd
# the return column of the appropriate pair will have the name col1 op col2 e.g. close gt nFast
colNums2nd <- c(0,0)
comp2ndPartners <- unlist(secondComparison[j])
relationship2 <- unlist(relationshipSecondComparison)[j]
colNums2nd[1] <- match.names(comp2ndPartners[1], colnames(data))
colNums2nd[2] <- match.names(comp2ndPartners[2], colnames(data))
opr2nd[j] <- switch(relationship2,
gt = , `>` = ">",
gte = , gteq = , ge = , `>=` = ">=",
lt = , `<` = "<",
lte = , lteq = , le = , `<=` = "<=",
eq = , `==` = , `=` = "==",
and = "&",
or = "|",
xor = "xor"
# todo: NOT
)
ret_append <- do.call(opr2nd[j], list(data[, colNums2nd[1]] + offset1,
data[, colNums2nd[2]] + offset2))
colnames(ret_append) <- paste0(comp2ndPartners[1]," ",relationship2[j]," ",comp2ndPartners[2])
ret_sig2nd <- cbind(ret_sig2nd,ret_append)
rm(ret_append)
}
compcols <- ret_sig2nd
} # end of 2nd Comp = 2nd Relationship validity block
if(ncol(compcols)==1){ # check the case if only one second level comparison exists
transfer2ndToFirst <- compcols #assumption is, the second level comparison took place with the first column of the first level
# if one second level comparison is provided, execute transfer object with second column of first level
compcols <- transfer2ndToFirst[, 1] #offset already included in second level comparison
compcols <- cbind(compcols, data[, colNums[2]] + offset2)
} # provide the transfer object to be used in the first level comparison if only one second level comparison exists
}
else { # check the case if no second level comparison exists
# if no second level comparison is provided, only execute first level
compcols <- data[, colNums[1]] + offset1
compcols <- cbind(compcols, data[, colNums[2]] + offset2)
} # if no second level exists, execute comparison for first level only
# for all cases, perform the first level comparison with the columns stored in compcols - offset has to be applied before storing to compcols
ret_sig <- do.call(opr, list(compcols[, 1] ,
compcols[, 2]))
colnames(ret_sig) <- label
return(ret_sig)
}
# ### TESTS
# # To compare just two (first level) colums
# rm(testOnlyFirst)
# testOnlyFirst<- sigCOMP(
# columns=c("nSlow","nFast"),
# relationship=c("gt"),
# label='GT'
#)
#
#
# #To compare a signal or another T/F value with a second level comparison
# rm(testOneSecond)
# testOneSecond<- sigCOMP(
# columns=c("2nd","exitLong"),
# relationship=c("and"),
# secondComparison =list(c("Close", "nFast")),
# relationshipSecondComparison = list(c("gt")),
# label='andGT'
#)
#
#
# rm(test2Second)
# test2Second<- sigCOMP(
# columns=c("2nd", "2nd"),
# relationship=c("or"),
# secondComparison =list(c("Close", "nFast"), c("Close", "nSlow")),
# relationshipSecondComparison = list(c("gt"), c("gt")),
# label='orGT'
#)
#
# rm(test2SecondOr)
# test2SecondOr<- sigCOMP(
# columns=c("2nd", "2nd"),
# relationship=c("or"),
# secondComparison =list(c("Close", "nFast"), c("Close", "nSlow")),
# relationshipSecondComparison = list(c("gt"), c("gt")),
# label='orGT'
#)
#
# rm(test2SecondXor)
# test2SecondXor<- sigCOMP(
# columns=c("2nd", "2nd"),
# relationship=c("xor"),
# secondComparison =list(c("Close", "nFast"), c("Close", "nSlow")),
# relationshipSecondComparison = list(c("gt"), c("gt")),
# label='orGT'
#)
Чтобы тесты работают правильно, убедитесь, чтобы иметь mktdata dataframe в вашей среде, включая индикатор столбцов из SMA (т.е. nFast, nSlow) и сигнальной колонки «exitLong», например, от RSI или адаптировать тестовые окна к именам столбцов. – til