Generating indicators of different periodicity in quantstrat - r

Question

I would like to use indicators of timeframes different to the data I am using. I have seen this asked a few time but no solutions as of yet (at least for me anyway).
The below example uses daily stock data however the actual project uses intraday currency data. I have an easy work around for importing the intraday csv data now so the example and real-world should be interchangeable enough.
library(quantstrat)
initDate="2000-01-01"
from="2003-01-01"
to="2016-12-31"
#set account currency and system timezone
currency('USD')
Sys.setenv(TZ="UTC")
#get data
symbols <- "SPY"
getSymbols(symbols, from=from, to=to, src="yahoo", adjust=TRUE)
stock(symbols, "USD")
#trade sizing and initial equity settings
tradeSize <- 100000
initEq <- tradeSize*length(symbols)
#set up the portfolio, account and strategy
strategy.st <- portfolio.st <- account.st <- "mtf.strat"
rm.strat(strategy.st)
initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)
#SMA length
nSMA <- 14
Adding the SMA as, in this case a daily indicator works a treat
add.indicator(strategy.st, name="SMA",
arguments=list(x=quote(Cl(mktdata)), n=nSMA, maType = "SMA"),
label="SMA")
test <- applyIndicators(strategy.st, mktdata=OHLC(SPY))
Yet trying to add, in this case a weekly SMA
add.indicator(strategy.st, name="SMA",
arguments=list(x=quote(to.period(Cl(mktdata), period = "weeks", k = 1, indexAt = "startof")), n=nSMA, maType = "SMA"),
label="SMAw1")
## Or this
add.indicator(strategy.st, name="SMA",
arguments=list(x=quote(to.weekly(Cl(mktdata))), n=nSMA, maType = "SMA"),
label="SMAw1")
test <- applyIndicators(strategy.st, mktdata=OHLC(SPY))
# Error in runSum(x, n) : ncol(x) > 1. runSum only supports univariate 'x'
Calling the Close column directly without Cl(x) results in the same error. I did this as TTR:::runSum will throw the above error if given more than one column of data.
I'm not entirely sure what the problem is so some assistance would be great.

Answer 1

The problem is that to.period (and therefore to.weekly) return OHLC objects, not a univariate series like TTR::SMA expects. So you need to wrap the output of to.period in Cl.
add.indicator(strategy.st, name="SMA",
arguments=list(x=quote(Cl(to.weekly(Cl(mktdata)))), n=nSMA, maType = "SMA"),
label="SMAw1")
test <- applyIndicators(strategy.st, mktdata=OHLC(SPY))
Now that code runs, but it may still be a problem for your strategy. There will be a lot of NA when that indicator is merged with the daily mktdata.
R> tail(merge(SPY, test$SMA))
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted SMA.SMAw1
2016-11-25 221.10 221.56 221.01 221.52 37861800 221.52 215.0720
2016-11-28 221.16 221.48 220.36 220.48 70284100 220.48 NA
2016-11-29 220.52 221.44 220.17 220.91 67079400 220.91 NA
2016-11-30 221.63 221.82 220.31 220.38 99783700 220.38 NA
2016-12-01 220.73 220.73 219.15 219.57 77230500 219.57 NA
2016-12-02 219.67 220.25 219.26 219.68 70863400 219.68 215.3207
So it's a good idea to create your own SMA wrapper function to handle all these steps. Then call add.indicator using your wrapper function.
mySMA <- function(x, on = "days", k = 1, n = 10) {
agg <- x[endpoints(x, on, k)]
sma <- SMA(agg, n)
# merge with zero-width xts object w/original index, filling NA
result <- merge(sma, xts(,index(x)), fill = na.locf)
return(result)
}
add.indicator(strategy.st, name = "mySMA",
arguments = list(x = quote(Cl(mktdata)),
on = "weeks",
n = nSMA),
label = "SMAw1")
test <- applyIndicators(strategy.st, mktdata = OHLC(SPY))
Now the indicator will have a value for every observation in mktdata when it's merged.
> tail(merge(SPY, test$SMA))
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted SMA.SMAw1
2016-11-25 221.10 221.56 221.01 221.52 37861800 221.52 215.0720
2016-11-28 221.16 221.48 220.36 220.48 70284100 220.48 215.0720
2016-11-29 220.52 221.44 220.17 220.91 67079400 220.91 215.0720
2016-11-30 221.63 221.82 220.31 220.38 99783700 220.38 215.0720
2016-12-01 220.73 220.73 219.15 219.57 77230500 219.57 215.0720
2016-12-02 219.67 220.25 219.26 219.68 70863400 219.68 215.3207