lag.xts问题：lag.xtsx，n，na.pad = na.pad中的错误：absk必须小于nrowx

问题描述

说明运行RMD脚本时遇到错误：Error in lag.xts(x,n,na.pad = na.pad) : abs(k) must be less than nrow(x)

在下面的＃获取权重功能中

预期的行为 脚本正在计算权重。下面是当前的代码块和回溯。

示例代码：

#subsetprices <- na.locf(prices['2010::20200410'])
subsetprices <- na.locf(prices['2010::'])
etf_returns <- na.omit(Return.calculate(subsetprices,method='discrete')) 

**# Get weights**
unl_etf_weights <- get_unLevered_target_weights(etf_returns,rebal = 22,vol_lookback = 90,cor_lookback = 120,cor_shrinkage = 1,adjust_momo = TRUE,momo_multiplier = 0.1)

# Restrict IEMB exposures to 15%,due to concerns over potential credit risk negative skews which won't appear in the data
EMB_weight_cap <- 0.15

# Subset unl_etf_weights data to pick those which we need to modify
unl_etf_weights_EMB_more_then_cap <- unl_etf_weights[unl_etf_weights$IEMB.LSE > EMB_weight_cap]

# Modify EMB weights
EMB_modded_weights <- replace(unl_etf_weights$IEMB.LSE,unl_etf_weights$IEMB.LSE > EMB_weight_cap,EMB_weight_cap)

# Rescale weights back to 1 on subset
weights_ex_EMB <- subset(unl_etf_weights_EMB_more_then_cap,select = -IEMB.LSE)
weights_ex_EMB <- (1-EMB_weight_cap) * weights_ex_EMB / rowSums(weights_ex_EMB)
unl_etf_weights_EMB_more_then_cap <- cbind(weights_ex_EMB,EMB_modded_weights)

# Ensure we have a right order before we bind back our modified subset
unl_etf_weights_EMB_more_then_cap <- unl_etf_weights_EMB_more_then_cap[,symbols_RP]
unl_etf_weights <- unl_etf_weights[,symbols_RP]

# combine two subset into one
unl_etf_weights <- rbind(unl_etf_weights_EMB_more_then_cap,unl_etf_weights[unl_etf_weights$IEMB.LSE <= EMB_weight_cap])
unl_etf_weights <- unl_etf_weights[c(!duplicated(time(unl_etf_weights))[-1],TRUE)]

# Ensure returns matrix in xts object is in the same order as in the backtest
etf_backtest_returns <- etf_returns[,symbols_RP]
etf_backtest_weights <- unl_etf_weights[,symbols_RP]

# Subset so we're only reporting on the live Trading record
etf_backtest_returns <- etf_backtest_returns['2019-9::']
etf_backtest_weights <- etf_backtest_weights['2019-9::']

# Generate performance charts
riskperformance(etf_backtest_returns,weights=etf_backtest_weights)


Error in lag.xts(x,na.pad = na.pad) : abs(k) must be less than nrow(x)
6.
lag.xts(x,na.pad = na.pad)
5.
TTR::ROC(synthetic_prices,n = formation_period,type = "discrete")
4.
xts::lag.xts(TTR::ROC(synthetic_prices,type = "discrete"),1)
3.
na.omit(xts::lag.xts(TTR::ROC(synthetic_prices,1))
2.
get_momo_adjustments(ret,formation_period = 12 * 22,vol_weights = volw)
1.
get_unLevered_target_weights(etf_returns,momo_multiplier = 0.1)

解决方法

该错误在我看来非常清楚。您的滞后时间不能超过xts中的滞后时间。查看示例：

library(xts)
testxts <- xts(1:100,order.by = seq.Date(from = Sys.Date()-100,length.out = 100,by = 'days'))
works <- xts::lag.xts(testxts,k = 1,na.pad = T)
head(works)
           [,1]
2020-07-25   NA
2020-07-26    1
2020-07-27    2
2020-07-28    3
2020-07-29    4
2020-07-30    5
               
doesnt_work <- xts::lag.xts(testxts,k =200,na.pad = T)
Error in xts::lag.xts(testxts,k = 200,na.pad = T) : 
  abs(k) must be less than nrow(x)

r r xts