If you use the sigAND signal in sequential mode, there are no problems using doParallel, but in parallel mode, it results in this error. Apparently this is not compatible, but I'd think many users of this handy signal would want to run tests in parallel. Cod below reproduces the issue

error calling combine function: <simpleError in results[[r$portfolio.st]] <- r: attempt to select less than one element>

`####################################################################

Load packages

library(dplyr) suppressMessages(require(quantstrat)) require(IKTrading)

remove objects

rm(list = ls(all.names = T))

if(!exists(".instrument")) .instrument <<- new.env() if(!exists(".blotter")) .blotter <<- new.env() if(!exists(".strategy")) .strategy <- new.env()

DEFINE VARIABLES or parameters

initDate = "2000-01-01" symbol.st = 'CYB_DAY' portf.st = 'bug' acct.st = 'colony' strat.st = 'bee' initEq = 100000 nFast = 10 nSlow = 30 nSd = 1

GET DATA

set your working directory where the data is stored

setwd("/Users/tyamada/Google Drive/CFRM551/supplemental/") currency('USD') # initiate currency stock(symbol.st ,currency='USD', multiplier=1) # initiate stock

getSymbols(Symbols = symbol.st, src = "csv")

initPortf( portf.st, symbol.st, initDate=initDate) # initiate portfolio

initAcct( acct.st, portf.st, initEq=initEq, initDate=initDate) # initiate account

initOrders( portf.st, initDate=initDate ) # initiate order_book

bee = strategy(strat.st) # create strategy object

addPosLimit( portfolio=portf.st, symbol=symbol.st, timestamp=initDate,
maxpos=300, longlevels = 3) # only trade in one direction once

bee <- add.indicator( strategy = strat.st, name = 'BBands', # TA name arguments = list(HLC=quote(HLC(mktdata)), n=nSlow, sd=nSd), label = 'BBand')

SMA column

bee <- add.indicator( strategy = strat.st, name = 'SMA', # TA name arguments = list(x=quote(Cl(mktdata)), n=nFast), label = 'MA' )

bee <- add.signal( strategy = strat.st, name = 'sigCrossover', arguments = list(columns=c('MA','dn'), relationship='lt'), label = 'MA.lt.dn')

SMA cross over upperBand

bee <- add.signal( strategy = strat.st, name = 'sigCrossover', arguments = list(columns=c('MA','up'), relationship='gt'), label = 'MA.gt.up')

add.signal(strat.st, name="sigAND",arguments=list(columns=c("MA.lt.dn","MA.gt.up"),cross=TRUE),label="unlikleyCross")

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'MA.gt.up', sigval = TRUE, replace = F, orderqty = 100, ordertype = 'market',

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

               orderside = 'long',
               osFUN     = 'osMaxPos'),

type = 'enter', label = 'EnterLONG')

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'unlikleyCross', sigval = TRUE, replace = F, orderqty = 500, ordertype = 'market',

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

               orderside = 'long',
               osFUN     = 'osMaxPos'),

type = 'enter', label = 'EnterLONGBIG')

exitLong when SMA cross under LowerBand

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'MA.lt.dn', sigval = TRUE, replace = F, orderqty = 'all', ordertype = 'market', orderside = 'long'), type = 'exit', label = 'ExitLONG')

enterShort when SMA cross under LowerBand

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'MA.lt.dn', sigval = TRUE, replace = F, orderqty = -100, ordertype = 'market', orderside = 'short', osFUN = 'osMaxPos'), type = 'enter', label = 'EnterSHORT')

exitShort when SMA cross over upperBand

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'MA.gt.up', sigval = TRUE, replace = F, orderqty = 'all', ordertype = 'market', orderside = 'short'), type = 'exit', label = 'ExitSHORT')

applyStrategy( strat.st, portf.st, prefer='Open', # why prefer='Open' verbose=T)

updatePortf( portf.st) #,

updateAcct( acct.st) # ,

updateEndEq( Account = acct.st)#,

User Set up pf parameter ranges to test

.nFastList = 5:13 .nSlowList = 10:40 .nSdList = 1:3

number of random samples of the parameter distribution to use for random run

.nsamples = 10

add.distribution(strat.st, paramset.label = 'SMA_BBparams', component.type = 'indicator', component.label = 'BBand', #this is the label given to the indicator in the strat variable = list(n = .nSlowList), label = 'BBandMA' )

add.distribution(strat.st, paramset.label = 'SMA_BBparams', component.type = 'indicator', component.label = 'MA', #this is the label given to the indicator in the strat variable = list(n = .nFastList), label = 'MAn' )

add.distribution.constraint(strat.st, paramset.label = 'SMA_BBparams', distribution.label.1 = 'BBandMA', distribution.label.2 = 'MAn', operator = '>', label = 'BBandMA>MAn' )

parallel computing to speed up

if( Sys.info()['sysname'] == "Windows" ) { library(doParallel) registerDoParallel(cores=detectCores()) registerDoSEQ() } else { library(doMC) registerDoMC(cores=detectCores()) }

results <- apply.paramset(strat.st, paramset.label='SMA_BBparams', portfolio.st=portf.st, account.st=acct.st, samples= 0, # take all options

.nsamples, only take 10 samples

                      verbose=TRUE)

results$tradeStats %>% View() `

Try using sigFormula and see if the error persists.

On Wed, Jun 1, 2016 at 9:07 PM, sonicfray notifications@github.com wrote:

If you use the sigAND signal in sequential mode, there are no problems using doParallel, but in parallel mode, it results in this error. Apparently this is not compatible, but I'd think many users of this handy signal would want to run tests in parallel. Cod below reproduces the issue

error calling combine function:

`#################################################################### Load packages

##################################################################### library(dplyr) suppressMessages(require(quantstrat)) require(IKTrading)

#################################################################### remove objects

########################################################################

rm(list = ls(all.names = T))

if(!exists(".instrument")) .instrument <<- new.env() if(!exists(".blotter")) .blotter <<- new.env() if(!exists(".strategy")) .strategy <- new.env()

######################################################################## DEFINE VARIABLES or parameters

########################################################################

initDate = "2000-01-01" symbol.st = 'CYB_DAY' portf.st = 'bug' acct.st = 'colony' strat.st = 'bee' initEq = 100000 nFast = 10 nSlow = 30 nSd = 1

######################################################################## GET DATA

############################################################### set your working directory where the data is stored

setwd("/Users/tyamada/Google Drive/CFRM551/supplemental/") currency('USD') # initiate currency stock(symbol.st ,currency='USD', multiplier=1) # initiate stock

getSymbols(Symbols = symbol.st, src = "csv")

initPortf( portf.st, symbol.st, initDate=initDate) # initiate portfolio

initAcct( acct.st, portf.st, initEq=initEq, initDate=initDate) # initiate account

initOrders( portf.st, initDate=initDate ) # initiate order_book

bee = strategy(strat.st) # create strategy object

addPosLimit( portfolio=portf.st, symbol=symbol.st, timestamp=initDate,

maxpos=300, longlevels = 3) # only trade in one direction once

bee <- add.indicator( strategy = strat.st, name = 'BBands', # TA name arguments = list(HLC=quote(HLC(mktdata)), n=nSlow, sd=nSd), label = 'BBand') SMA column

bee <- add.indicator( strategy = strat.st, name = 'SMA', # TA name arguments = list(x=quote(Cl(mktdata)), n=nFast), label = 'MA' )

bee <- add.signal( strategy = strat.st, name = 'sigCrossover', arguments = list(columns=c('MA','dn'), relationship='lt'), label = 'MA.lt.dn') SMA cross over upperBand

bee <- add.signal( strategy = strat.st, name = 'sigCrossover', arguments = list(columns=c('MA','up'), relationship='gt'), label = 'MA.gt.up')

add.signal(strat.st, name="sigAND",arguments=list(columns=c("MA.lt.dn","MA.gt.up"),cross=TRUE),label="unlikleyCross")

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'MA.gt.up', sigval = TRUE, replace = F, orderqty = 100, ordertype = 'market',

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

orderside = 'long', osFUN = 'osMaxPos'),

type = 'enter', label = 'EnterLONG')

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'unlikleyCross', sigval = TRUE, replace = F, orderqty = 500, ordertype = 'market',

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

orderside = 'long', osFUN = 'osMaxPos'),

type = 'enter', label = 'EnterLONGBIG') exitLong when SMA cross under LowerBand

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'MA.lt.dn', sigval = TRUE, replace = F, orderqty = 'all', ordertype = 'market', orderside = 'long'), type = 'exit', label = 'ExitLONG') enterShort when SMA cross under LowerBand

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'MA.lt.dn', sigval = TRUE, replace = F, orderqty = -100, ordertype = 'market', orderside = 'short', osFUN = 'osMaxPos'), type = 'enter', label = 'EnterSHORT') exitShort when SMA cross over upperBand

bee <- add.rule( strategy = strat.st, name = 'ruleSignal', arguments = list(sigcol = 'MA.gt.up', sigval = TRUE, replace = F, orderqty = 'all', ordertype = 'market', orderside = 'short'), type = 'exit', label = 'ExitSHORT')

applyStrategy( strat.st, portf.st, prefer='Open', # why prefer='Open' verbose=T)

updatePortf( portf.st) #,

updateAcct( acct.st) # ,

updateEndEq( Account = acct.st)#, User Set up pf parameter ranges to test

.nFastList = 5:13 .nSlowList = 10:40 .nSdList = 1:3 number of random samples of the parameter distribution to use for random run

.nsamples = 10

add.distribution(strat.st, paramset.label = 'SMA_BBparams', component.type = 'indicator', component.label = 'BBand', #this is the label given to the indicator in the strat variable = list(n = .nSlowList), label = 'BBandMA' )

add.distribution(strat.st, paramset.label = 'SMA_BBparams', component.type = 'indicator', component.label = 'BBand', #this is the label given to the indicator in the strat variable = list(sd = .nSdList), label = 'BBandSD' )

add.distribution(strat.st, paramset.label = 'SMA_BBparams', component.type = 'indicator', component.label = 'MA', #this is the label given to the indicator in the strat variable = list(n = .nFastList), label = 'MAn' )

add.distribution.constraint(strat.st, paramset.label = 'SMA_BBparams', distribution.label.1 = 'BBandMA', distribution.label.2 = 'MAn', operator = '>', label = 'BBandMA>MAn' ) parallel computing to speed up

if( Sys.info()['sysname'] == "Windows" ) { library(doParallel) registerDoParallel(cores=detectCores()) registerDoSEQ() } else { library(doMC) registerDoMC(cores=detectCores()) }

results <- apply.paramset(strat.st, paramset.label='SMA_BBparams', portfolio.st=portf.st, account.st=acct.st, samples= 0, # take all options

.nsamples, only take 10 samples

verbose=TRUE)

results$tradeStats %>% View() `

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That worked- thanks. I really enjoy your blog, by the way and other students in my electronic trading class have found it useful too!

Date: Wed, 1 Jun 2016 18:24:29 -0700 From: notifications@github.com To: IKTrading@noreply.github.com CC: takutoyamada@hotmail.com; author@noreply.github.com Subject: Re: [IlyaKipnis/IKTrading] using sigAND with doParallel results in error when combining (#5)

Try using sigFormula and see if the error persists.

On Wed, Jun 1, 2016 at 9:07 PM, sonicfray notifications@github.com wrote:

If you use the sigAND signal in sequential mode, there are no problems

using doParallel, but in parallel mode, it results in this error.

Apparently this is not compatible, but I'd think many users of this handy

signal would want to run tests in parallel. Cod below reproduces the issue

error calling combine function:

`####################################################################

Load packages

#####################################################################

library(dplyr)

suppressMessages(require(quantstrat))

require(IKTrading)

####################################################################

remove objects

########################################################################

rm(list = ls(all.names = T))

if(!exists(".instrument")) .instrument <<- new.env()

if(!exists(".blotter")) .blotter <<- new.env()

if(!exists(".strategy")) .strategy <- new.env()

########################################################################

DEFINE VARIABLES or parameters

########################################################################

initDate = "2000-01-01"

symbol.st = 'CYB_DAY'

portf.st = 'bug'

acct.st = 'colony'

strat.st = 'bee'

initEq = 100000

nFast = 10

nSlow = 30

nSd = 1

########################################################################

GET DATA

###############################################################

set your working directory where the data is stored

setwd("/Users/tyamada/Google Drive/CFRM551/supplemental/")

currency('USD') # initiate currency

stock(symbol.st ,currency='USD', multiplier=1) # initiate stock

getSymbols(Symbols = symbol.st, src = "csv")

initPortf(

portf.st,

symbol.st,

initDate=initDate) # initiate portfolio

initAcct(

acct.st,

portf.st,

initEq=initEq,

initDate=initDate) # initiate account

initOrders(

portf.st,

initDate=initDate ) # initiate order_book

bee = strategy(strat.st) # create strategy object

addPosLimit(

portfolio=portf.st,

symbol=symbol.st,

timestamp=initDate,

maxpos=300, longlevels = 3) # only trade in one direction once

bee <- add.indicator(

strategy = strat.st,

name = 'BBands', # TA name

arguments = list(HLC=quote(HLC(mktdata)),

n=nSlow,

sd=nSd),

label = 'BBand')

SMA column

bee <- add.indicator(

strategy = strat.st,

name = 'SMA', # TA name

arguments = list(x=quote(Cl(mktdata)),

n=nFast),

label = 'MA' )

bee <- add.signal(

strategy = strat.st,

name = 'sigCrossover',

arguments = list(columns=c('MA','dn'),

relationship='lt'),

label = 'MA.lt.dn')

SMA cross over upperBand

bee <- add.signal(

strategy = strat.st,

name = 'sigCrossover',

arguments = list(columns=c('MA','up'),

relationship='gt'),

label = 'MA.gt.up')

add.signal(strat.st,

name="sigAND",arguments=list(columns=c("MA.lt.dn","MA.gt.up"),cross=TRUE),label="unlikleyCross")

bee <- add.rule(

strategy = strat.st,

name = 'ruleSignal',

arguments = list(sigcol = 'MA.gt.up',

sigval = TRUE,

replace = F,

orderqty = 100,

ordertype = 'market',

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

orderside = 'long',

osFUN = 'osMaxPos'),

type = 'enter',

label = 'EnterLONG')

bee <- add.rule(

strategy = strat.st,

name = 'ruleSignal',

arguments = list(sigcol = 'unlikleyCross',

sigval = TRUE,

replace = F,

orderqty = 500,

ordertype = 'market',

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

orderside = 'long',

osFUN = 'osMaxPos'),

type = 'enter',

label = 'EnterLONGBIG')

exitLong when SMA cross under LowerBand

bee <- add.rule(

strategy = strat.st,

name = 'ruleSignal',

arguments = list(sigcol = 'MA.lt.dn',

sigval = TRUE,

replace = F,

orderqty = 'all',

ordertype = 'market',

orderside = 'long'),

type = 'exit',

label = 'ExitLONG')

enterShort when SMA cross under LowerBand

bee <- add.rule(

strategy = strat.st,

name = 'ruleSignal',

arguments = list(sigcol = 'MA.lt.dn',

sigval = TRUE,

replace = F,

orderqty = -100,

ordertype = 'market',

orderside = 'short',

osFUN = 'osMaxPos'),

type = 'enter',

label = 'EnterSHORT')

exitShort when SMA cross over upperBand

bee <- add.rule(

strategy = strat.st,

name = 'ruleSignal',

arguments = list(sigcol = 'MA.gt.up',

sigval = TRUE,

replace = F,

orderqty = 'all',

ordertype = 'market',

orderside = 'short'),

type = 'exit',

label = 'ExitSHORT')

applyStrategy(

strat.st,

portf.st,

prefer='Open', # why prefer='Open'

verbose=T)

updatePortf(

portf.st) #,

updateAcct(

acct.st) # ,

updateEndEq(

Account = acct.st)#,

User Set up pf parameter ranges to test

.nFastList = 5:13

.nSlowList = 10:40

.nSdList = 1:3

number of random samples of the parameter distribution to use for random

run

.nsamples = 10

add.distribution(strat.st,

paramset.label = 'SMA_BBparams',

component.type = 'indicator',

component.label = 'BBand', #this is the label given to the indicator in

the strat

variable = list(n = .nSlowList),

label = 'BBandMA'

)

add.distribution(strat.st,

paramset.label = 'SMA_BBparams',

component.type = 'indicator',

component.label = 'BBand', #this is the label given to the indicator in

the strat

variable = list(sd = .nSdList),

label = 'BBandSD'

)

add.distribution(strat.st,

paramset.label = 'SMA_BBparams',

component.type = 'indicator',

component.label = 'MA', #this is the label given to the indicator in the

strat

variable = list(n = .nFastList),

label = 'MAn'

)

add.distribution.constraint(strat.st,

paramset.label = 'SMA_BBparams',

distribution.label.1 = 'BBandMA',

distribution.label.2 = 'MAn',

operator = '>',

label = 'BBandMA>MAn'

)

parallel computing to speed up

if( Sys.info()['sysname'] == "Windows" )

{

library(doParallel)

registerDoParallel(cores=detectCores())

registerDoSEQ()

} else {

library(doMC)

registerDoMC(cores=detectCores())

}

results <- apply.paramset(strat.st,

paramset.label='SMA_BBparams',

portfolio.st=portf.st,

account.st=acct.st,

samples= 0, # take all options

.nsamples, only take 10 samples

verbose=TRUE)

results$tradeStats %>% View()

`

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Came across this article of a couple of years ago today on encountering a similar problem with parallel execution of quantstrat strategies. Solution worked and thanx very much.

IlyaKipnis / IKTrading

using sigAND with doParallel results in error when combining #5

Load packages

remove objects

DEFINE VARIABLES or parameters

GET DATA

set your working directory where the data is stored

SMA column

SMA cross over upperBand

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

exitLong when SMA cross under LowerBand

enterShort when SMA cross under LowerBand

exitShort when SMA cross over upperBand

User Set up pf parameter ranges to test

number of random samples of the parameter distribution to use for random run

parallel computing to speed up

.nsamples, only take 10 samples

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

.nsamples, only take 10 samples

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

one of "market","limit","stoplimit", "stoptrailing", or "iceberg"

.nsamples, only take 10 samples