Dear all,
I have a problem while working with hourly data of fx rates. I've read from
a csv file, the following way:
csv-file like:
Date,Open,High,Low,Close,Volume
2011-08-11 03:00:00,1.41758,1.42205,1.41625,1.42174,8974
...
2011-08-12 04:00:00,1.42175,1.42413,1.42067,1.42172,7229
...
2011-12-30 05:00:00,1.42173,1.42341,1.42062,1.42171,6703
...
raw<-
read.delim2("~/R/Data/EURUSD60.csv",header=TRUE,sep=",")
stripday<-strptime(raw$DATE,format="%Y%m%d")
fxdata<-data.frame(stripday,raw)
write.table(fxdata,"~/R/Data/EURUSD60.csv",quote=FALSE,sep=",",row.names=FALSE)
EURUSD<-as.xts(read.zoo("~/R/Data/EURUSD60.csv",sep=",",format="%Y-%m-%d
%R",tz="GMT",header=T))
I then set up a couple of indicators and the following model:
myATR <- function(x) ATR(HLC(x))[,'atr']
mySMI <- function(x) SMI(HLC(x))[,'SMI']
myADX <- function(x) ADX(HLC(x))[,'ADX']
myAroon <- function(x) aroon(x[,c('High','Low')])$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]
myMACD <- function(x) MACD(Cl(x))[,2]
mySAR <- function(x) SAR(x[,c('High','Close')]) [,1]
myVolat <- function(x) volatility(OHLC(x),calc="garman")[,1]
myEMA10 <- function(x) EMA(Cl(x),n=10)[,1]
myEMA20 <- function(x) EMA(Cl(x),n=20)[,1]
myEMA30 <- function(x) EMA(Cl(x),n=30)[,1]
myEMA50 <- function(x) EMA(Cl(x),n=50)[,1]
myEMA60 <- function(x) EMA(Cl(x),n=60)[,1]
data.model <- specifyModel(Delt(Cl(EURUSD)) ~
myATR(EURUSD) + mySMI(EURUSD) + myADX(EURUSD) + myAroon(EURUSD) +
myBB(EURUSD) + myChaikinVol(EURUSD) + myCLV(EURUSD) +myEMA10(EURUSD)
+myEMA20(EURUSD) +myEMA30(EURUSD) +myEMA50(EURUSD) + myEMA60(EURUSD) +
CMO(Cl(EURUSD)) + EMA(Delt(Cl(EURUSD))) +
myVolat(EURUSD) + myMACD(EURUSD) + RSI(Cl(EURUSD)) +
mySAR(EURUSD) + runMean(Cl(EURUSD)) + runSD(Cl(EURUSD)))
I then tried to do the following:
Tdata.train <- as.data.frame(modelData(data.model,
data.window=c('2011-08-03','2011-12-30')))
This gave me the following error:
Warnmeldungen:
1: In which(index(model.data) >= as.Date(data.window[1], origin
"1970-01-01")) :
Inkompatible Methoden ("Ops.POSIXt", "Ops.Date") f?r
">="
2: In which(index(model.data) <= as.Date(data.window[2], origin
"1970-01-01")) :
Inkompatible Methoden ("Ops.POSIXt", "Ops.Date") f?r
"<="
3: In max(i) : kein nicht-fehlendes Argument f?r max; gebe -Inf zur?ck
Can someone please please tell me what I am doing wrong? I guess it is
something very simple and I'm just stupid here. Thank you guys very much!!!
Marco
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