I am completing the exercises from Applied Predictive Modeling, the R textbook for the caret package, by the authors. I cannot get the train function to work with methods M5P or M5Rules.
The code will run fine manually:
data("permeability")
trainIndex <- createDataPartition(permeability[, 1], p = 0.75,
list = FALSE)
fingerNZV <- nearZeroVar(fingerprints, saveMetrics = TRUE)
trainY <- permeability[trainIndex, 1]
testY <- permeability[-trainIndex, 1]
trainX <- fingerprints[trainIndex, !fingerNZV$nzv]
testX <- fingerprints[-trainIndex, !fingerNZV$nzv]
indx <- createFolds(trainY, k = 10, returnTrain = TRUE)
ctrl <- trainControl('cv', index = indx)
m5Tuner <- t(as.matrix(expand.grid(
N = c(1, 0),
U = c(1, 0),
M = floor(seq(4, 15, length.out = 3))
)))
startTime <- Sys.time()
m5Tune <- foreach(tuner = m5Tuner) %do% {
m5ctrl <- Weka_control(M = tuner[3],
N = tuner[1] == 1,
U = tuner[2] == 1)
mods <- lapply(ctrl$index,function(fold) {
d <- cbind(data.frame(permeability = trainY[fold]),
trainX[fold, ])
mod <- M5P(permeability ~ ., d, control = m5ctrl)
rmse <- RMSE(predict(mod, as.data.frame(trainX[-fold, ])),
trainY[-fold])
list(model = mod, rmse = rmse)
})
mean_rmse <- mean(sapply(mods, '[[', 'rmse'))
list(models = mods, mean_rmse = mean_rmse)
}
endTime <- Sys.time()
endTime - startTime
# Time difference of 59.17742 secs
The same data and controls (swapping 'rules' for 'M' -why can't I specify M as a tuning parameter?) will not finish:
m5Tuner <- expand.grid(
pruned = c("Yes", "No"),
smoothed = c("Yes", "No"),
rules = c("Yes", "No")
)
m5Tune <- train(trainX, trainY,
method = 'M5',
trControl = ctrl,
tuneGrid = m5Tuner,
control = Weka_control(M = 10))
The example from the book will not finish, either:
library(caret)
data(solubility)
set.seed(100)
indx <- createFolds(solTrainY, returnTrain = TRUE)
ctrl <- trainControl(method = "cv", index = indx)
set.seed(100)
m5Tune <- train(x = solTrainXtrans, y = solTrainY,
method = "M5",
trControl = ctrl,
control = Weka_control(M = 10))
This may be a problem with the use of a parallel backend with RWeka, for me, at least. My example from above will not finish with %dopar%.
I have run sudo R CMD javareconf before each example and restarted Rstudio.
sessionInfo()
R version 3.3.0 (2016-05-03)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Arch Linux
locale:
[1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C
[3] LC_TIME=en_US.UTF-8 LC_COLLATE=en_US.UTF-8
[5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=en_US.UTF-8
[7] LC_PAPER=en_US.UTF-8 LC_NAME=en_US.UTF-8
[9] LC_ADDRESS=en_US.UTF-8 LC_TELEPHONE=en_US.UTF-8
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=en_US.UTF-8
attached base packages:
[1] stats graphics grDevices utils datasets methods
[7] base
other attached packages:
[1] APMBook_0.0.0.9000 RWeka_0.4-27
[3] caret_6.0-68 ggplot2_2.1.0
[5] lattice_0.20-30 AppliedPredictiveModeling_1.1-6
# dozens others loaded via namespace.
When using parallel processing with train and RWeka models, you should have gotten the error:
In train.default(trainX, trainY, method = "M5", trControl = ctrl, :
Models using Weka will not work with parallel processing with multicore/doMC
The java interface to Weka does not work with multiple workers.
It takes a while but the train call will complete if you don't have workers registered with foreach
Max
Related
I am following a tutorial here. A few days ago I was able to run this code without error and run it on my own data set (it was always a little hit and miss with obtaining this error) - however now I try to run the code and I always obtain the same error.
Error in solve.QP(Dmat, dvec, Amat, bvec = b0, meq = 2) :
constraints are inconsistent, no solution!
I get that the solver cannot solve the equations but I am a little confused as to why it worked previously and now it does not... The author of the article has this code working...
library(tseries)
library(data.table)
link <- "https://raw.githubusercontent.com/DavZim/Efficient_Frontier/master/data/mult_assets.csv"
df <- data.table(read.csv(link))
df_table <- melt(df)[, .(er = mean(value),
sd = sd(value)), by = variable]
er_vals <- seq(from = min(df_table$er), to = max(df_table$er), length.out = 1000)
# find an optimal portfolio for each possible possible expected return
# (note that the values are explicitly set between the minimum and maximum of the expected returns per asset)
sd_vals <- sapply(er_vals, function(er) {
op <- portfolio.optim(as.matrix(df), er)
return(op$ps)
})
SessionInfo:
R version 3.5.3 (2019-03-11)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows >= 8 x64 (build 9200)
Matrix products: default
locale:
[1] LC_COLLATE=Spanish_Spain.1252 LC_CTYPE=Spanish_Spain.1252 LC_MONETARY=Spanish_Spain.1252
[4] LC_NUMERIC=C LC_TIME=Spanish_Spain.1252
attached base packages:
[1] parallel stats graphics grDevices utils datasets methods base
other attached packages:
[1] lpSolve_5.6.13.1 data.table_1.12.0 tseries_0.10-46 rugarch_1.4-0
loaded via a namespace (and not attached):
[1] Rcpp_1.0.0 MASS_7.3-51.1 mclust_5.4.2
[4] lattice_0.20-38 quadprog_1.5-5 Rsolnp_1.16
[7] TTR_0.23-4 tools_3.5.3 xts_0.11-2
[10] SkewHyperbolic_0.4-0 GeneralizedHyperbolic_0.8-4 quantmod_0.4-13.1
[13] spd_2.0-1 grid_3.5.3 KernSmooth_2.23-15
[16] yaml_2.2.0 numDeriv_2016.8-1 Matrix_1.2-15
[19] nloptr_1.2.1 DistributionUtils_0.6-0 ks_1.11.3
[22] curl_3.3 compiler_3.5.3 expm_0.999-3
[25] truncnorm_1.0-8 mvtnorm_1.0-8 zoo_1.8-4
tseries::portfolio.optim disallows short selling by default, see argument short. If short = FALSE asset weights may not go below 0. And as the weights must sum up to 1, also no individual asset weight could be above 1. There's no leverage.
(Possibly, in an earlier version of tseries default could have been short = TRUE. This would explain why it previously worked for you.)
Your target return (pm) cannot exceed the highest return of any of the input assets.
Solution 1: Allow short selling, but remember that that's a different efficient frontier. (For reference, see any lecture or book discussing Markowitz optimization. There's a mathematical solution to the problem without short-selling restriction.)
op <- portfolio.optim(as.matrix(df), er, shorts = T)
Solution 2: Limit the target returns between the worst and the best asset's return.
er_vals <- seq(from = min(colMeans(df)), to = max(colMeans(df)), length.out = 1000)
Here's a plot of the obtained efficient frontiers.
Here's the full script that gives both solutions.
library(tseries)
library(data.table)
link <- "https://raw.githubusercontent.com/DavZim/Efficient_Frontier/master/data/mult_assets.csv"
df <- data.table(read.csv(link))
df_table <- melt(df)[, .(er = mean(value),
sd = sd(value)), by = variable]
# er_vals <- seq(from = min(df_table$er), to = max(df_table$er), length.out = 1000)
er_vals1 <- seq(from = 0, to = 0.15, length.out = 1000)
er_vals2 <- seq(from = min(colMeans(df)), to = max(colMeans(df)), length.out = 1000)
# find an optimal portfolio for each possible possible expected return
# (note that the values are explicitly set between the minimum and maximum of the expected returns per asset)
sd_vals1 <- sapply(er_vals1, function(er) {
op <- portfolio.optim(as.matrix(df), er, short = T)
return(op$ps)
})
sd_vals2 <- sapply(er_vals2, function(er) {
op <- portfolio.optim(as.matrix(df), er, short = F)
return(op$ps)
})
plot(x = sd_vals1, y = er_vals1, type = "l", col = "red",
xlab = "sd", ylab = "er",
main = "red: allowing short-selling;\nblue: disallowing short-selling")
lines(x = sd_vals2, y = er_vals2, type = "l", col = "blue")
I'm not understanding how to do indirect subscripting in %dopar% or in llply( .parallel = TRUE). My actual use-case is a list of formulas, then generating a list of glmer results in a first foreach %dopar%, then calling PBmodcomp on specific pairs of results in a separate foreach %dopar%. My toy example, using numeric indices rather than names of objects in the lists, works fine for %do% but not %dopar%, and fine for alply without .parallel = TRUE but not with .parallel = TRUE. [My real example with glmer and indexing lists by names rather than by integers works with %do% but not %dopar%.]
library(doParallel)
library(foreach)
library(plyr)
cl <- makePSOCKcluster(2) # tiny for toy example
registerDoParallel(cl)
mB <- c(1,2,1,3,4,10)
MO <- c("Full", "noYS", "noYZ", "noYSZS", "noS", "noZ",
"noY", "justS", "justZ", "noSZ", "noYSZ")
# Works
testouts <- foreach(i = 1:length(mB)) %do% {
# mB[i]
MO[mB[i]]
}
testouts
# all NA
testouts2 <- foreach(i = 1:length(mB)) %dopar% {
# mB[i]
MO[mB[i]]
}
testouts2
# Works
testouts3 <- alply(mB, 1, .fun = function(i) { MO[mB[i]]} )
testouts3
# fails "$ operator is invalid for atomic vectors"
testouts4 <- alply(mB, 1, .fun = function(i) { MO[mB[i]]},
.parallel = TRUE,
.paropts = list(.export=ls(.GlobalEnv)))
testouts4
stopCluster(cl)
I've tried various combinations of double brackets like MO[mB[[i]]], to no avail. mB[i] instead of MO[mB[i]] works in all 4 and returns a list of the numbers. I've tried .export(c("MO", "mB")) but just get the message that those objects are already exported.
I assume that there's something I misunderstand about evaluation of expressions like MO[mB[i]] in different environments, but there may be other things I misunderstand, too.
sessionInfo() R version 3.5.1 (2018-07-02) Platform: x86_64-w64-mingw32/x64 (64-bit) Running under: Windows 7 x64 (build
7601) Service Pack 1
Matrix products: default
locale: [1] LC_COLLATE=English_United States.1252 [2]
LC_CTYPE=English_United States.1252 [3] LC_MONETARY=English_United
States.1252 [4] LC_NUMERIC=C [5]
LC_TIME=English_United States.1252
attached base packages: [1] parallel stats graphics grDevices
utils datasets methods [8] base
other attached packages: [1] plyr_1.8.4 doParallel_1.0.13
iterators_1.0.9 foreach_1.5.0
loaded via a namespace (and not attached): [1] compiler_3.5.1
tools_3.5.1 listenv_0.7.0 Rcpp_0.12.17 [5]
codetools_0.2-15 digest_0.6.15 globals_0.12.1 future_1.8.1
[9] fortunes_1.5-5
The problem appears to be with version 1.5.0 of foreach on r-forge. Version 1.4.4 from CRAN works fine for both foreach %do par% and llply( .parallel = TRUE). For anyone finding this post when searching for %dopar% with lists, here's the code where mList is a named list of formulas, and tList is a named list of pairs of model names to be compared.
tList <- list(Z1 = c("Full", "noYZ"),
Z2 = c("noYS", "noYSZS"),
S1 = c("Full", "noYS"),
S2 = c("noYZ", "noYSZS"),
A1 = c("noYSZS", "noY"),
A2 = c("noSZ", "noYSZ")
)
cl <- makePSOCKcluster(params$nCores) # value from YAML params:
registerDoParallel(cl)
# first run the models
modouts <- foreach(imod = 1:length(mList),
.packages = "lme4") %dopar% {
glmer(as.formula(mList[[imod]]),
data = dsn,
family = poisson,
control = glmerControl(optimizer = "bobyqa",
optCtrl = list(maxfun = 100000),
check.conv.singular = "warning")
)
}
names(modouts) <- names(mList)
####
# now run the parametric bootstrap tests
nSim <- 500
testouts <- foreach(i = seq_along(tList),
.packages = "pbkrtest") %dopar% {
PBmodcomp(modouts[[tList[[i]][1]]],
modouts[[tList[[i]][2]]],
nsim = nSim)
}
names(testouts) <- names(tList)
stopCluster(Cl)
I'm trying to use rfe function from the caret package in combination with PLS-DA model.
sessionInfo()
R version 3.1.1 (2014-07-10)
Platform: x86_64-apple-darwin10.8.0 (64-bit)
locale:
[1] en_GB.UTF-8/en_GB.UTF-8/en_GB.UTF-8/C/en_GB.UTF-8/en_GB.UTF-8
attached base packages:
[1] splines grid parallel stats graphics grDevices utils datasets methods base
other attached packages:
[1] mclust_4.4 Kendall_2.2 doBy_4.5-13 survival_2.37-7 statmod_1.4.20
[6] preprocessCore_1.26.1 sva_3.10.0 mgcv_1.8-4 nlme_3.1-119 corpcor_1.6.7
[11] car_2.0-22 reshape2_1.4.1 gplots_2.16.0 DMwR_0.4.1 mi_0.09-19
[16] arm_1.7-07 lme4_1.1-7 Matrix_1.1-5 MASS_7.3-37 randomForest_4.6-10
[21] plyr_1.8.1 pls_2.4-3 caret_6.0-41 ggplot2_1.0.0 lattice_0.20-29
[26] pcaMethods_1.54.0 Rcpp_0.11.4 Biobase_2.24.0 BiocGenerics_0.10.0
loaded via a namespace (and not attached):
[1] abind_1.4-0 bitops_1.0-6 boot_1.3-14 BradleyTerry2_1.0-5 brglm_0.5-9 caTools_1.17.1
[7] class_7.3-11 coda_0.16-1 codetools_0.2-10 colorspace_1.2-4 compiler_3.1.1 digest_0.6.8
[13] e1071_1.6-4 foreach_1.4.2 foreign_0.8-62 gdata_2.13.3 gtable_0.1.2 gtools_3.4.1
[19] iterators_1.0.7 KernSmooth_2.23-13 minqa_1.2.4 munsell_0.4.2 nloptr_1.0.4 nnet_7.3-8
[25] proto_0.3-10 quantmod_0.4-3 R2WinBUGS_2.1-19 ROCR_1.0-5 rpart_4.1-8 scales_0.2.4
[31] stringr_0.6.2 tools_3.1.1 TTR_0.22-0 xts_0.9-7 zoo_1.7-11
To practice I ran the following example using the iris data.
data(iris)
subsets <- 2:4
ctrl <- rfeControl(functions = caretFuncs, method = 'cv', number = 5, verbose=TRUE)
trctrl <- trainControl(method='cv', number=5)
mod <- rfe(Species ~., data = iris, sizes = subsets, rfeControl = ctrl, trControl = trctrl, method = 'pls')
All works well.
mod
Recursive feature selection
Outer resampling method: Cross-Validated (5 fold)
Resampling performance over subset size:
Variables Accuracy Kappa AccuracySD KappaSD Selected
2 0.6533 0.48 0.02981 0.04472
3 0.8067 0.71 0.06412 0.09618 *
4 0.7867 0.68 0.07674 0.11511
The top 3 variables (out of 3):
Sepal.Width, Petal.Length, Sepal.Length
However, if I try to replicate this on data I have generated I get the following error. I can't work out why! If you have any ideas I'd be really interested in hearing them.
x <- as.data.frame(matrix(0,10,10))
for(i in 1:9) {x[,i] <- rnorm(10,0,1)}
x[,10] <- as.factor(rbinom(10, 1, 0.5))
subsets <- 2:9
ctrl <- rfeControl(functions = caretFuncs, method = 'cv', number = 5, verbose=TRUE)
trctrl <- trainControl(method='cv', number=5)
mod <- rfe(V10 ~., data = x, sizes = subsets, rfeControl = ctrl, trControl = trctrl, method = 'pls')
Error in { : task 1 failed - "undefined columns selected"
In addition: Warning messages:
1: In nominalTrainWorkflow(x = x, y = y, wts = weights, info = trainInfo, :
There were missing values in resampled performance measures.
2: In nominalTrainWorkflow(x = x, y = y, wts = weights, info = trainInfo, :
There were missing values in resampled performance measures.
3: In nominalTrainWorkflow(x = x, y = y, wts = weights, info = trainInfo, :
There were missing values in resampled performance measures.
4: In nominalTrainWorkflow(x = x, y = y, wts = weights, info = trainInfo, :
There were missing values in resampled performance measures.
5: In nominalTrainWorkflow(x = x, y = y, wts = weights, info = trainInfo, :
There were missing values in resampled performance measures.
I have worked out (after a lot of to-ing and fro-ing) that levels of the response factor variable have to be characters to combine PLS-DA with RFE in caret.
For example...
x <- data.frame(matrix(rnorm(1000),100,10))
y <- as.factor(c(rep('Positive',40), rep('Negative',60)))
data <- data.frame(x,y)
subsets <- 2:9
ctrl <- rfeControl(functions = caretFuncs, method = 'cv', number = 5, verbose=TRUE)
trctrl <- trainControl(method='cv', number=5)
mod <- rfe(y ~., data, sizes = subsets, rfeControl = ctrl, trControl = trctrl, method = 'pls')
5 days and still no answer
As can be seen by Simon's comment, this is a reproducible and very strange issue. It seems that the issue only arises when a stepwise regression with very high predictive power is wrapped in a function.
I have been struggling with this for a while and any help would be much appreciated. I am trying to write a function that runs several stepwise regressions and outputs all of them to a list. However, R is having trouble reading the dataset that I specify in my function arguments. I found several similar errors on various boards (here, here, and here), however none of them seemed to ever get resolved. It all comes down to some weird issues with calling step() in a user-defined function. I am using the following script to test my code. Run the whole thing several times until an error arises (trust me, it will):
test.df <- data.frame(a = sample(0:1, 100, rep = T),
b = as.factor(sample(0:5, 100, rep = T)),
c = runif(100, 0, 100),
d = rnorm(100, 50, 50))
test.df$b[10:100] <- test.df$a[10:100] #making sure that at least one of the variables has some predictive power
stepModel <- function(modeling.formula, dataset, outfile = NULL) {
if (is.null(outfile) == FALSE){
sink(file = outfile,
append = TRUE, type = "output")
print("")
print("Models run at:")
print(Sys.time())
}
model.initial <- glm(modeling.formula,
family = binomial,
data = dataset)
model.stepwise1 <- step(model.initial, direction = "backward")
model.stepwise2 <- step(model.stepwise1, scope = ~.^2)
output <- list(modInitial = model.initial, modStep1 = model.stepwise1, modStep2 = model.stepwise2)
sink()
return(output)
}
blah <- stepModel(a~., dataset = test.df)
This returns the following error message (if the error does not show up right away, keep re-running the test.df script as well as the call for stepModel(), it will show up eventually):
Error in is.data.frame(data) : object 'dataset' not found
I have determined that everything runs fine up until model.stepwise2 starts to get built. Somehow, the temporary object 'dataset' works just fine for the first stepwise regression, but fails to be recognized by the second. I found this by commenting out part of the function as can be seen below. This code will run fine, proving that the object 'dataset' was originally being recognized:
stepModel1 <- function(modeling.formula, dataset, outfile = NULL) {
if (is.null(outfile) == FALSE){
sink(file = outfile,
append = TRUE, type = "output")
print("")
print("Models run at:")
print(Sys.time())
}
model.initial <- glm(modeling.formula,
family = binomial,
data = dataset)
model.stepwise1 <- step(model.initial, direction = "backward")
# model.stepwise2 <- step(model.stepwise1, scope = ~.^2)
# sink()
# output <- list(modInitial = model.initial, modStep1 = model.stepwise1, modStep2 = model.stepwise2)
return(model.stepwise1)
}
blah1 <- stepModel1(a~., dataset = test.df)
EDIT - before anyone asks, all the summary() functions were there because the full function (i edited it so that you could focus in on the error) has another piece that defines a file to which you can output stepwise trace. I just got rid of them
EDIT 2 - session info
sessionInfo()
R version 2.15.1 (2012-06-22)
Platform: x86_64-pc-mingw32/x64 (64-bit)
locale:
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252
attached base packages:
[1] tcltk stats graphics grDevices utils datasets methods base
other attached packages:
[1] sqldf_0.4-6.4 RSQLite.extfuns_0.0.1 RSQLite_0.11.3 chron_2.3-43
[5] gsubfn_0.6-5 proto_0.3-10 DBI_0.2-6 ggplot2_0.9.3.1
[9] caret_5.15-61 reshape2_1.2.2 lattice_0.20-6 foreach_1.4.0
[13] cluster_1.14.2 plyr_1.8
loaded via a namespace (and not attached):
[1] codetools_0.2-8 colorspace_1.2-1 dichromat_2.0-0 digest_0.6.2 grid_2.15.1
[6] gtable_0.1.2 iterators_1.0.6 labeling_0.1 MASS_7.3-18 munsell_0.4
[11] RColorBrewer_1.0-5 scales_0.2.3 stringr_0.6.2 tools_2.15
EDIT 3 - this performs all the same operations as the function, just without using a function. This will run fine every time, even when the algorithm doesn't converge:
modeling.formula <- a~.
dataset <- test.df
outfile <- NULL
if (is.null(outfile) == FALSE){
sink(file = outfile,
append = TRUE, type = "output")
print("")
print("Models run at:")
print(Sys.time())
}
model.initial <- glm(modeling.formula,
family = binomial,
data = dataset)
model.stepwise1 <- step(model.initial, direction = "backward")
model.stepwise2 <- step(model.stepwise1, scope = ~.^2)
output <- list(modInitial = model.initial, modStep1 = model.stepwise1, modStep2 = model.stepwise2)
Using do.call to refer to the data set in the calling environment works for me. See https://stackoverflow.com/a/7668846/210673 for the original suggestion. Here's a version that works (with sink code removed).
stepModel2 <- function(modeling.formula, dataset) {
model.initial <- do.call("glm", list(modeling.formula,
family = "binomial",
data = as.name(dataset)))
model.stepwise1 <- step(model.initial, direction = "backward")
model.stepwise2 <- step(model.stepwise1, scope = ~.^2)
list(modInitial = model.initial, modStep1 = model.stepwise1, modStep2 = model.stepwise2)
}
blah <- stepModel2(a~., dataset = "test.df")
It fails for me consistently with set.seed(6) with the original code. The reason it fails is that the dataset variable is not present within the step function, and although it's not needed in making model.stepwise1, it is needed for model.stepwise2 when model.stepwise1 keeps a linear term. So that's the case when your version fails. Calling the dataset from the global environment as I do here fixes this issue.
I am trying to plot a graph with price and a few technical indicators such as ADX, RSI, and OBV. I cannot figure out why addOBV is giving an error and why addADX not showing at all in the graph lines in the chart?
Here my code:
tmp <- read.csv(paste("ProcessedQuotes/",Nifty[x,],".csv", sep=""),
as.is=TRUE, header=TRUE, row.names=NULL)
tmp$Date<-as.Date(tmp$Date)
ydat = xts(tmp[,-1],tmp$Date)
lineChart(ydat, TA=NULL, name=paste(Nifty[x,]," Technical Graph"))
plot(addSMA(10))
plot(addEMA(10))
plot(addRSI())
plot(addADX())
plot(addOBV())
Error for addOBV is:
Error in try.xts(c(2038282, 1181844, -1114409, 1387404, 3522045, 4951254, :
Error in as.xts.double(x, ..., .RECLASS = TRUE) :
order.by must be either 'names()' or otherwise specified
Below you can see DIn is not shown fully in the graphs.
> class(ydat)
[1] "xts" "zoo"
> head(ydat)
Open High Low Close Volume Trades Sma20 Sma50 DIp DIn DX ADX aroonUp aroonDn oscillator macd signal RSI14
I don't know why that patch doesn't work for you, but you can just create a new function (or you could mask the one from quantmod). Let's just make a new, patched version called addOBV2 which is the code for addOBV except for the one patched line. (x <- as.matrix(lchob#xdata) is replaced with x <- try.xts(lchob#xdata, error=FALSE)).
addOBV2 <- function (..., on = NA, legend = "auto")
{
stopifnot("package:TTR" %in% search() || require("TTR", quietly = TRUE))
lchob <- quantmod:::get.current.chob()
x <- try.xts(lchob#xdata, error=FALSE)
#x <- as.matrix(lchob#xdata)
x <- OBV(price = Cl(x), volume = Vo(x))
yrange <- NULL
chobTA <- new("chobTA")
if (NCOL(x) == 1) {
chobTA#TA.values <- x[lchob#xsubset]
}
else chobTA#TA.values <- x[lchob#xsubset, ]
chobTA#name <- "chartTA"
if (any(is.na(on))) {
chobTA#new <- TRUE
}
else {
chobTA#new <- FALSE
chobTA#on <- on
}
chobTA#call <- match.call()
legend.name <- gsub("^.*[(]", " On Balance Volume (", deparse(match.call()))#,
#extended = TRUE)
gpars <- c(list(...), list(col=4))[unique(names(c(list(col=4), list(...))))]
chobTA#params <- list(xrange = lchob#xrange, yrange = yrange,
colors = lchob#colors, color.vol = lchob#color.vol, multi.col = lchob#multi.col,
spacing = lchob#spacing, width = lchob#width, bp = lchob#bp,
x.labels = lchob#x.labels, time.scale = lchob#time.scale,
isLogical = is.logical(x), legend = legend, legend.name = legend.name,
pars = list(gpars))
if (is.null(sys.call(-1))) {
TA <- lchob#passed.args$TA
lchob#passed.args$TA <- c(TA, chobTA)
lchob#windows <- lchob#windows + ifelse(chobTA#new, 1,
0)
chartSeries.chob <- quantmod:::chartSeries.chob
do.call("chartSeries.chob", list(lchob))
invisible(chobTA)
}
else {
return(chobTA)
}
}
Now it works.
# reproduce your data
ydat <- getSymbols("ZEEL.NS", src="yahoo", from="2012-09-11",
to="2013-01-18", auto.assign=FALSE)
lineChart(ydat, TA=NULL, name=paste("ZEEL Technical Graph"))
plot(addSMA(10))
plot(addEMA(10))
plot(addRSI())
plot(addADX())
plot(addOBV2())
This code reproduces the error:
library(quantmod)
getSymbols("AAPL")
lineChart(AAPL, 'last 6 months')
addOBV()
Session Info:
sessionInfo()
R version 2.15.0 (2012-03-30)
Platform: x86_64-apple-darwin9.8.0/x86_64 (64-bit)
locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] quantmod_0.3-17 TTR_0.21-1 xts_0.9-1 zoo_1.7-9 Defaults_1.1-1 rgeos_0.2-11
[7] sp_1.0-5 sos_1.3-5 brew_1.0-6
loaded via a namespace (and not attached):
[1] grid_2.15.0 lattice_0.20-6 tools_2.15.0
Googling around, the error seems to be related to the fact that addOBV converts the data into a matrix, which causes problems with TTR::OBV. A patch has been posted on RForge.