[R-SIG-Finance] quantstrat

[Stephen Choularton]

Hi

I'm trying to money the bbands demo to by it on the S&P/ ASX 200.

  I think the Symbol is ^AXJO and I can get the info I want using it.

  I have amended the code as follows:

# bbands



  require(quantstrat)

  try(rm("order_book.bbands",pos=.strategy),silent=TRUE)

  try(rm("account.bbands","portfolio.bbands",pos=.blotter),silent=TRUE)

  try(rm("account.st","portfolio.st","stock.str","stratBBands","initDate","initEq",'start_t','end_t'),silent=TRUE)

  # some things to set up here
  stock.str='^AXJO' # what are we trying it on

  # we'll pass these
  SD = 2 # how many standard deviations, traditionally 2

  N = 20 # how many periods for the moving average, traditionally 20

  currency('AUD')

  stock(stock.str,currency='AUD',multiplier=1)

  initDate='2006-12-31'

  initEq=1000000

  portfolio.st='bbands'

  account.st='bbands'

  initPortf(portfolio.st,symbols=stock.str, initDate=initDate)

  initAcct(account.st,portfolios='bbands', initDate=initDate)

  initOrders(portfolio=portfolio.st,initDate=initDate)

  stratBBands <- strategy("bbands")

  #one indicator
  stratBBands <- add.indicator(strategy = stratBBands, name = "BBands", 
arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'))

  #add signals:
  stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments = 
list(columns=c("Close","up"),relationship="gt"),label="Cl.gt.UpperBand")

  stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments = 
list(columns=c("Close","dn"),relationship="lt"),label="Cl.lt.LowerBand")

  stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments = 
list(columns=c("High","Low","mavg"),relationship="op"),label="Cross.Mid")

  # lets add some rules
  stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = 
list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, 
ordertype='market', orderside=NULL, threshold=NULL),type='enter')

  stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = 
list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, 
ordertype='market', orderside=NULL, threshold=NULL),type='enter')

  stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = 
list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', 
ordertype='market', orderside=NULL, threshold=NULL),type='exit')

  #alternately, to exit at the opposite band, the rules would be...
  #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = 
list(data=quote(mktdata),sigcol="Lo.gt.UpperBand",sigval=TRUE, orderqty= 
'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')
  #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = 
list(data=quote(mktdata),sigcol="Hi.lt.LowerBand",sigval=TRUE, orderqty= 
'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')

  #TODO add thresholds and stop-entry and stop-exit handling to test

  getSymbols(stock.str,from=initDate)

  start_t<-Sys.time()

  out<-try(applyStrategy(strategy=stratBBands , 
portfolios='bbands',mktdata='AXJO', 
parameters=list(sd=SD,n=N),verbose=TRUE) )


  # look at the order book
  #getOrderBook('bbands')
  end_t<-Sys.time()

  print("strat execution time:")

  print(end_t-start_t)
Time difference of 32.271 secs

  start_t<-Sys.time()

  updatePortf(Portfolio='bbands',Dates=paste('::',as.Date(Sys.time()),sep=''))

  end_t<-Sys.time()

  print("updatePortf execution time:")

  print(end_t-start_t)

  chart.Posn(Portfolio='bbands',Symbol=stock.str)

  plot(add_BBands(on=1,sd=SD,n=N))

  ###############################################################################
  # R (http://r-project.org/) Quantitative Strategy Model Framework
  #
  # Copyright (c) 2009-2010
  # Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and 
Joshua Ulrich
  #
  # This library is distributed under the terms of the GNU Public 
License (GPL)
  # for full details see the file COPYING
  #
  # $Id: bbands.R 374 2010-08-17 18:43:35Z braverock $
  #
  ###############################################################################


I get my prices with thus


 >  getSymbols(stock.str,from=initDate)
[1] "AXJO"


but note the hat has been dropped!

and just afterwards I get thIs:

rategy=stratBBands , portfolios='bbands', 
parameters=list(sd=SD,n=N),verbose=TRUE) )
Error in get(symbol) : object '^AXJO' not found

I've looked at the notes for applyStrategy and I've tried specifically 
referring to AXJO like this:
 >
 >  out<-try(applyStrategy(strategy=stratBBands , 
portfolios='bbands',mktdata='AXJO', 
parameters=list(sd=SD,n=N),verbose=TRUE) )
Error in get(symbol) : object '^AXJO' not found

but I still get the message.

Can anyone advise me how to resolve this?

-- 
Stephen Choularton Ph.D., FIoD