I am trying to (re)build a basic prediction model of the S&P 500 INDEX (data orignates from Yahoo finance)
I ran into some difficulties with the "ordering" of my data set.
During the build of data.model the following error occurs
Error in xts(new.x, x.index) : NROW(x) must match length(order.by)
After some research I realize that the problem is with the ordering, and it seems to lack ordering as is required for the underlying zoo package.
Is there an elegant way to solve this issue?! Thanks in advance
library(xts)
library(tseries)
library(quantmod)
GSPC <- as.xts(get.hist.quote("^GSPC",start="1970-01-02",
quote=c("Open", "High", "Low", "Close","Volume","AdjClose")))
head(GSPC)
T.ind <- function(quotes, tgt.margin = 0.025, n.days = 10) {
v <- apply(HLC(quotes), 1, mean)
r <- matrix(NA, ncol = n.days, nrow = NROW(quotes))
for (x in 1:n.days) r[, x] <- Next(Delt(v, k = x), x)
x <- apply(r, 1, function(x) sum(x[x > tgt.margin | x <
-tgt.margin]))
if (is.xts(quotes))
xts(x, time(quotes))
else x
}
myATR <- function(x) ATR(HLC(x))[, "atr"]
mySMI <- function(x) SMI(HLC(x))[, "SMI"]
myADX <- function(x) ADX(HLC(x))[, "ADX"]
myAroon <- function(x) aroon(x[, c("High", "Low")])$oscillator
myBB <- function(x) BBands(HLC(x))[, "pctB"]
myChaikinVol <- function(x) Delt(chaikinVolatility(x[, c("High", "Low")]))[, 1]
myCLV <- function(x) EMA(CLV(HLC(x)))[, 1]
myEMV <- function(x) EMV(x[, c("High", "Low")], x[, "Volume"])[, 2]
myMACD <- function(x) MACD(Cl(x))[, 2]
myMFI <- function(x) MFI(x[, c("High", "Low", "Close")], x[, "Volume"])
mySAR <- function(x) SAR(x[, c("High", "Close")])[, 1]
myVolat <- function(x) volatility(OHLC(x), calc = "garman")[, 1]
library(randomForest)
data.model <- specifyModel(T.ind(GSPC) ~ Delt(Cl(GSPC),k=1:10) +
myATR(GSPC) + mySMI(GSPC) + myADX(GSPC) + myAroon(GSPC) +
myBB(GSPC) + myChaikinVol(GSPC) + myCLV(GSPC) +
CMO(Cl(GSPC)) + EMA(Delt(Cl(GSPC))) + myEMV(GSPC) +
myVolat(GSPC) + myMACD(GSPC) + myMFI(GSPC) + RSI(Cl(GSPC)) +
mySAR(GSPC) + runMean(Cl(GSPC)) + runSD(Cl(GSPC)))
Answer
traceback() reveals the error occurs in the Delt(Cl(GSPC),k=1:10) call:
> Delt(Cl(GSPC),k=1:10)
Error in xts(new.x, x.index) : NROW(x) must match length(order.by)
Delt expects a (m x 1) object but you're passing a (m x 2) object. This is because GSPC has two columns that are matched by Cl ("Close" and "AdjClose"). This will probably cause headaches in other areas too...
Cl expects objects like those returned by getSymbols, where the adjusted close column is named "Adjusted". If you need to use get.hist.quote for some reason, just rename the "AdjClose" column after you download the data.
colnames(GSPC) <- c("Open", "High", "Low", "Close","Volume","Adjusted")
Delt(Cl(GSPC),k=1:10) # works now