zope410
commented
2 years ago Hello Sir:
I am Carlos from the udemy course. I finally got the solution. There was a problem with is.unsorted in R versions between April and September 2021. If you update (for example 4.2) you do not get the error message anymore:
https://stackoverflow.com/questions/58155569/portfolioanalytics-error-while-creating-efficient-frontier
library(ROI.plugin.glpk) library(ROI) library(fPortfolio) library(timeSeries) library(quantmod) library(caTools) library(dplyr) library(PerformanceAnalytics)
effFrontier <- portfolioFrontier(portfolioReturns, constraints = "LongOnly")
Error in is.unsorted(x@positions) : 3 arguments passed to .Internal(is.unsorted) which requires 2
I have no idea how to resolve this issue.
Reprex
quantmod pt 8: Efficient Frontier Portfolio Method using fPortfolio -----------
#
Quantmod Part 8 Portfolio Optimization - CODEBLISS
# ###########################################################################
library(fPortfolio)
library(timeSeries)
> Warning: package 'timeSeries' was built under R version 4.1.2
> Loading required package: timeDate
library(quantmod)
> Warning: package 'quantmod' was built under R version 4.1.2
> Loading required package: xts
> Loading required package: zoo
>
> Attaching package: 'zoo'
> The following object is masked from 'package:timeSeries':
>
> time<-
> The following objects are masked from 'package:base':
>
> as.Date, as.Date.numeric
> Loading required package: TTR
> Registered S3 method overwritten by 'quantmod':
> method from
> as.zoo.data.frame zoo
library(caTools)
> Warning: package 'caTools' was built under R version 4.1.2
library(dplyr)
>
> Attaching package: 'dplyr'
> The following objects are masked from 'package:xts':
>
> first, last
> The following objects are masked from 'package:timeSeries':
>
> filter, lag
> The following objects are masked from 'package:stats':
>
> filter, lag
> The following objects are masked from 'package:base':
>
> intersect, setdiff, setequal, union
library(PerformanceAnalytics)
>
> Attaching package: 'PerformanceAnalytics'
> The following objects are masked from 'package:timeDate':
>
> kurtosis, skewness
> The following object is masked from 'package:graphics':
>
> legend
library(ggplot2) library(ROI.plugin.glpk)
> Warning: package 'ROI.plugin.glpk' was built under R version 4.1.2
library(ROI)
> Warning: package 'ROI' was built under R version 4.1.2
> ROI: R Optimization Infrastructure
> Registered solver plugins: nlminb, glpk.
> Default solver: auto.
library(fPortfolio)
> Warning: package 'fPortfolio' was built under R version 4.1.2
> Loading required package: fBasics
> Warning: package 'fBasics' was built under R version 4.1.2
>
> Attaching package: 'fBasics'
> The following object is masked from 'package:ROI':
>
> vech
> The following object is masked from 'package:TTR':
>
> volatility
> Loading required package: fAssets
> Warning: package 'fAssets' was built under R version 4.1.2
Codebliss: https://www.youtube.com/watch?v=5gmhZEl0kI8
Codebliss Website: http://ww1.programmingforfinance.com/
tickers <- c("AXP", "C", "WFC", "AMZN", "JNJ", "HD")
portfolioprices <- NULL for (ticker in tickers) portfolioprices <- cbind(portfolioprices, getSymbols(ticker, from = "2016-01-01", auto.assign = FALSE)[,4])
> 'getSymbols' currently uses auto.assign=TRUE by default, but will
> use auto.assign=FALSE in 0.5-0. You will still be able to use
> 'loadSymbols' to automatically load data. getOption("getSymbols.env")
> and getOption("getSymbols.auto.assign") will still be checked for
> alternate defaults.
>
> This message is shown once per session and may be disabled by setting
> options("getSymbols.warning4.0"=FALSE). See ?getSymbols for details.
Delete all dates with no prices
portfolioprices <- portfolioprices[apply(portfolioprices, 1, function(x) all(!is.na(x))),]
Rename columns
colnames(portfolioprices) <- tickers
Calculate Returns: Daily ROC
portfolioReturns <- na.omit(ROC(portfolioprices, type = "discrete")) portfolioReturns <- as.timeSeries(portfolioReturns)
Calculate monthly or weekly Returns
Stock_Data <- tickers %>%
lapply(function(x) getSymbols.google(x, from = "2016-01-01", auto.assign = FALSE[1,4]) %>%
lapply(function(x) monthlyReturn(x)))
STEP TWO: Calculate and Plot Frontier and Efficient Portfolios ---------
Calculate the efficient frontier
https://stackoverflow.com/questions/58155569/portfolioanalytics-error-while-creating-efficient-frontier
effFrontier <- portfolioFrontier(portfolioReturns, constraints = "LongOnly")
> Error in is.unsorted(x@positions): 3 arguments passed to .Internal(is.unsorted) which requires 2
Created on 2021-12-04 by the reprex package (v2.0.1)