[R-SIG-Finance] quantstrat & custom indicators

[s]

On 5/3/11 3:45 PM, Brian G. Peterson wrote:

Brian - thank you for the thorough detail. This all is very valuable and
I'm going to have to let this sync in my mind to help form my thinking
about the logic and the operation of this package. I do have a couple of
follow-up questions.
> If you look a the strategy object, you'll see that you have four sets of
> rules by the time you're done.  This is likely not what you want.
> Strategies should normally be agnostic to the instrument to trade, and
> you're not really doing that.
>
> I don't have time to rewrite this for you right now, but here's what I 
> suggest.
>
> build two portfolios, one for your longs, and one for your shorts
> (alternately, you could have a portfolio for each instrument, but this
> shouldn't be necessary)
>
> build one account to hold it all
>
> Have *two* strategy objects, ignoring symbols for now.  One will be your
> 'long' strategy, and one will be your 'short' strategy.  use some
> arbitrarily large order quantity for your entries and 'all' for your
> exits. (I'll explain this in a minute). have the rules use
> osFUN='osMaxPos'
>
> Use setPosLimit to set your maximum long and short position limits by
> symbol.  
I don't believe there is an argument named 'setPosLimit' for the
osMaxPos function. However, there is a function named AddPosLimit - not
sure if you are referring to that one.

Based on the documentation for osMaxPos, it seems the values set in
orderqty= should override that specified in the rule. If I should be
using AddPosLimit instead please let me know.

Here is an example, where longBasket = strategy for long positions, and
portfolio1.st is the portfolio to hold long positions.

Note: the rules have been created with osFun='osMasPos'.

longBasket <- osMaxPos(portfolio=portfolio1.st, ordertype = 'market',
orderqty='65', orderside='long', symbol='IBM')
longBasket <- osMaxPos(portfolio=portfolio1.st, ordertype = 'market',
orderqty='648', orderside='long', symbol='UTX')
shortBasket <- osMaxPos(portfolio=portfolio2.st, ordertype = 'market',
orderqty='-348', orderside='short', symbol='CAT')
shortBasket <- osMaxPos(portfolio=portfolio2.st, ordertype = 'market',
orderqty='-1000', orderside='short', symbol='MSFT')

I unfortunately am missing the timestamp named argument and R throws up
an error exception as a result:

> longBasket <- osMaxPos(portfolio=portfolio1.st, ordertype = 'market',
orderqty='65', orderside='long', symbol='IBM')
Error in paste("::", timestamp, sep = "") :
  argument "timestamp" is missing, with no default

Since in my case these maximum position limits should be enforced per
symbol at all times I'm not sure what to specify in the 'timestamp'
argument.

> This should then work as you expect when you apply the long strategy to
> the longs and the short strategy to the shorts.
>
> #############
>
> Now...  onto something more like what I suspect you're really trying to
> do ...
>
> Normally, what you'd really want to do is have a only a single strategy
> object, regardless of symbol. So forget all about the symbols when
> specifying the indicators, signals, and rules.
>
> The sophisticated part lies in (maybe) using setPosLimit or some other
> function to store things like limits/direction by symbol, and *then*
> writing a custom order sizing function.  The order sizing function gets
> a rule fire on a symbol, checks your custom metadata, and decides how
> large (if any) an order to place.
>
> You'll notice that several times in the documentation we refer to
> signals as places where you *may* want to trade.  Rules and order sizing
> functions take the *may* and can then decide to turn that into an
> affirmative trade action and also decide how much.
>
> HTH,
>
>    - Brian
>
> On Tue, 2011-05-03 at 12:28 -0700, algotr8der wrote:
>> So I changed the following:
>>
>> 1) orderqty = all 
>>
>> in all of the exit rules to 
>>
>> 2) orderqty = -numshares
>>
>> So essentially reversing the original trade. This allowed the code to
>> generate trades. I also lengthened the date range to include data from
>> 2007-07-02 to 2007-12-30 to get more data points for the test. 
>>
>> http://r.789695.n4.nabble.com/file/n3493332/basketStrategy.R
>> basketStrategy.R 
>>
>> As you can see the trades for IBM are generated based on the rule specified.
>> However, one of the trades for CAT is using the rule added to the strategy
>> for IBM (it's trading 65 shares). I'm not sure if this is the entry trade
>> because the entry trade should be a short sale of 348 shares. Instead a
>> purchase of 65 shares is made as the first ever trade for CAT. You can see
>> the same theme progress for UTX and MSFT.
>>
>> I think there is some rule overlapping going on here and its likely because
>> I am not using the features of this package correctly. If there was a way to
>> remove a rule once processing of a symbol has completed I think that might
>> work. But you guys might have more 'clean' and 'efficient' ways to think
>> about this problem.
>>
>> [1] "2007-08-10 IBM 65 @ 112.64"
>> [1] "2007-08-14 IBM -65 @ 112.05"
>> [1] "2007-08-23 IBM 65 @ 111.45"
>> [1] "2007-09-12 IBM -65 @ 116"
>> [1] "2007-09-18 IBM 65 @ 116.63"
>> [1] "2007-10-03 IBM -65 @ 116.4"
>> [1] "2007-10-08 IBM 65 @ 117.77"
>> [1] "2007-10-17 IBM -65 @ 115.78"
>> [1] "2007-10-29 IBM 65 @ 114.8"
>> [1] "2007-11-01 IBM -65 @ 113.65"
>> [1] "2007-11-02 IBM 65 @ 114.59"
>> [1] "2007-11-05 IBM -65 @ 113.4"
>> [1] "2007-11-23 IBM 65 @ 104.05"
>> [1] "2007-11-26 IBM -65 @ 101.97"
>> [1] "2007-11-27 IBM 65 @ 103.83"
>> [1] "2007-12-11 IBM -65 @ 106.99"
>> [1] "2007-12-12 IBM 65 @ 108.47"
>> [1] "2007-12-14 IBM -65 @ 105.77"
>> [1] "2007-12-20 IBM 65 @ 108.84"
>> [1] "2007-08-02 CAT 65 @ 80.67"
>> [1] "2007-08-02 CAT -348 @ 80.67"
>> [1] "2007-08-03 CAT -65 @ 78.96"
>> [1] "2007-08-03 CAT 348 @ 78.96"
>> [1] "2007-08-06 CAT 65 @ 81"
>> [1] "2007-08-06 CAT -348 @ 81"
>> [1] "2007-08-09 CAT -65 @ 78.48"
>> [1] "2007-08-09 CAT 348 @ 78.48"
>> [1] "2007-08-23 CAT 65 @ 75.17"
>> [1] "2007-08-23 CAT -348 @ 75.17"
>> [1] "2007-08-28 CAT -65 @ 74.16"
>> [1] "2007-08-28 CAT 348 @ 74.16"
>> [1] "2007-08-29 CAT 65 @ 75.04"
>> [1] "2007-08-29 CAT -348 @ 75.04"
>> [1] "2007-08-30 CAT -65 @ 74.66"
>> [1] "2007-08-30 CAT 348 @ 74.66"
>> [1] "2007-08-31 CAT 65 @ 75.77"
>> [1] "2007-08-31 CAT -348 @ 75.77"
>> [1] "2007-09-07 CAT -65 @ 73.44"
>> [1] "2007-09-07 CAT 348 @ 73.44"
>> [1] "2007-09-18 CAT 65 @ 77.46"
>> [1] "2007-09-18 CAT -348 @ 77.46"
>> [1] "2007-10-11 CAT -65 @ 79.44"
>> [1] "2007-10-11 CAT 348 @ 79.44"
>> [1] "2007-10-12 CAT 65 @ 80.3"
>> [1] "2007-10-12 CAT -348 @ 80.3"
>> [1] "2007-10-15 CAT -65 @ 78.84"
>> [1] "2007-10-15 CAT 348 @ 78.84"
>> [1] "2007-11-02 CAT 65 @ 74.76"
>> [1] "2007-11-02 CAT -348 @ 74.76"
>> [1] "2007-11-05 CAT -65 @ 73.5"
>> [1] "2007-11-05 CAT 348 @ 73.5"
>> [1] "2007-11-06 CAT 65 @ 74.92"
>> [1] "2007-11-06 CAT -348 @ 74.92"
>> [1] "2007-11-07 CAT -65 @ 73.6"
>> [1] "2007-11-07 CAT 348 @ 73.6"
>> [1] "2007-11-28 CAT 65 @ 71.19"
>> [1] "2007-11-28 CAT -348 @ 71.19"
>> [1] "2007-12-14 CAT -65 @ 73.39"
>> [1] "2007-12-14 CAT 348 @ 73.39"
>> [1] "2007-12-24 CAT 65 @ 72.7"
>> [1] "2007-12-24 CAT -348 @ 72.7"
>> [1] "2007-08-02 UTX -348 @ 74.76"
>> [1] "2007-08-02 UTX 648 @ 74.76"
>> [1] "2007-08-03 UTX 348 @ 73.93"
>> [1] "2007-08-03 UTX -648 @ 73.93"
>> [1] "2007-08-06 UTX -348 @ 74.85"
>> [1] "2007-08-06 UTX 648 @ 74.85"
>> [1] "2007-08-07 UTX 348 @ 74.15"
>> [1] "2007-08-07 UTX -648 @ 74.15"
>> [1] "2007-08-13 UTX -348 @ 74.01"
>> [1] "2007-08-13 UTX 648 @ 74.01"
>> [1] "2007-08-14 UTX 348 @ 72.78"
>> [1] "2007-08-14 UTX -648 @ 72.78"
>> [1] "2007-08-17 UTX -348 @ 73.82"
>> [1] "2007-08-17 UTX 648 @ 73.82"
>> [1] "2007-08-21 UTX 348 @ 72.94"
>> [1] "2007-08-21 UTX -648 @ 72.94"
>> [1] "2007-08-22 UTX -348 @ 73.87"
>> [1] "2007-08-22 UTX 648 @ 73.87"
>> [1] "2007-08-28 UTX 348 @ 72"
>> [1] "2007-08-28 UTX -648 @ 72"
>> [1] "2007-08-29 UTX -348 @ 74.35"
>> [1] "2007-08-29 UTX 648 @ 74.35"
>> [1] "2007-09-05 UTX 348 @ 73.45"
>> [1] "2007-09-05 UTX -648 @ 73.45"
>> [1] "2007-09-06 UTX -348 @ 75.01"
>> [1] "2007-09-06 UTX 648 @ 75.01"
>> [1] "2007-09-07 UTX 348 @ 73.79"
>> [1] "2007-09-07 UTX -648 @ 73.79"
>> [1] "2007-09-10 UTX -348 @ 74.49"
>> [1] "2007-09-10 UTX 648 @ 74.49"
>> [1] "2007-10-03 UTX 348 @ 79.67"
>> [1] "2007-10-03 UTX -648 @ 79.67"
>> [1] "2007-10-05 UTX -348 @ 80.84"
>> [1] "2007-10-05 UTX 648 @ 80.84"
>> [1] "2007-10-08 UTX 348 @ 80.36"
>> [1] "2007-10-08 UTX -648 @ 80.36"
>> [1] "2007-10-09 UTX -348 @ 81.2"
>> [1] "2007-10-09 UTX 648 @ 81.2"
>> [1] "2007-10-10 UTX 348 @ 80.5"
>> [1] "2007-10-10 UTX -648 @ 80.5"
>> [1] "2007-10-31 UTX -348 @ 76.59"
>> [1] "2007-10-31 UTX 648 @ 76.59"
>> [1] "2007-11-01 UTX 348 @ 74.72"
>> [1] "2007-11-01 UTX -648 @ 74.72"
>> [1] "2007-11-05 UTX -348 @ 76.11"
>> [1] "2007-11-05 UTX 648 @ 76.11"
>> [1] "2007-11-07 UTX 348 @ 74.46"
>> [1] "2007-11-07 UTX -648 @ 74.46"
>> [1] "2007-11-13 UTX -348 @ 75.33"
>> [1] "2007-11-13 UTX 648 @ 75.33"
>> [1] "2007-11-14 UTX 348 @ 74.92"
>> [1] "2007-11-14 UTX -648 @ 74.92"
>> [1] "2007-11-20 UTX -348 @ 74.32"
>> [1] "2007-11-20 UTX 648 @ 74.32"
>> [1] "2007-11-21 UTX 348 @ 72.78"
>> [1] "2007-11-21 UTX -648 @ 72.78"
>> [1] "2007-11-27 UTX -348 @ 74"
>> [1] "2007-11-27 UTX 648 @ 74"
>> [1] "2007-12-14 UTX 348 @ 76.69"
>> [1] "2007-12-14 UTX -648 @ 76.69"
>> [1] "2007-12-21 UTX -348 @ 77.83"
>> [1] "2007-12-21 UTX 648 @ 77.83"
>> [1] "2007-08-07 MSFT 648 @ 29.55"
>> [1] "2007-08-07 MSFT -1000 @ 29.55"
>> [1] "2007-08-09 MSFT -648 @ 29.3"
>> [1] "2007-08-09 MSFT 1000 @ 29.3"
>> [1] "2007-08-23 MSFT 648 @ 28.3"
>> [1] "2007-08-23 MSFT -1000 @ 28.3"
>> [1] "2007-08-28 MSFT -648 @ 27.93"
>> [1] "2007-08-28 MSFT 1000 @ 27.93"
>> [1] "2007-08-29 MSFT 648 @ 28.59"
>> [1] "2007-08-29 MSFT -1000 @ 28.59"
>> [1] "2007-09-05 MSFT -648 @ 28.48"
>> [1] "2007-09-05 MSFT 1000 @ 28.48"
>> [1] "2007-09-06 MSFT 648 @ 28.91"
>> [1] "2007-09-06 MSFT -1000 @ 28.91"
>> [1] "2007-09-07 MSFT -648 @ 28.44"
>> [1] "2007-09-07 MSFT 1000 @ 28.44"
>> [1] "2007-09-11 MSFT 648 @ 28.93"
>> [1] "2007-09-11 MSFT -1000 @ 28.93"
>> [1] "2007-09-17 MSFT -648 @ 28.73"
>> [1] "2007-09-17 MSFT 1000 @ 28.73"
>> [1] "2007-09-18 MSFT 648 @ 28.93"
>> [1] "2007-09-18 MSFT -1000 @ 28.93"
>> [1] "2007-09-19 MSFT -648 @ 28.67"
>> [1] "2007-09-19 MSFT 1000 @ 28.67"
>> [1] "2007-09-24 MSFT 648 @ 29.08"
>> [1] "2007-09-24 MSFT -1000 @ 29.08"
>> [1] "2007-10-19 MSFT -648 @ 30.17"
>> [1] "2007-10-19 MSFT 1000 @ 30.17"
>> [1] "2007-10-22 MSFT 648 @ 30.51"
>> [1] "2007-10-22 MSFT -1000 @ 30.51"
>> [1] "2007-11-07 MSFT -648 @ 35.52"
>> [1] "2007-11-07 MSFT 1000 @ 35.52"
>> [1] "2007-11-20 MSFT 648 @ 34.58"
>> [1] "2007-11-20 MSFT -1000 @ 34.58"
>> [1] "2007-11-26 MSFT -648 @ 32.97"
>> [1] "2007-11-26 MSFT 1000 @ 32.97"
>> [1] "2007-12-05 MSFT 648 @ 34.15"
>> [1] "2007-12-05 MSFT -1000 @ 34.15"
>> [1] "2007-12-17 MSFT -648 @ 34.39"
>> [1] "2007-12-17 MSFT 1000 @ 34.39"
>> [1] "2007-12-18 MSFT 648 @ 34.74"
>> [1] "2007-12-18 MSFT -1000 @ 34.74"
>>
>> --
>> View this message in context: http://r.789695.n4.nabble.com/quantstrat-custom-indicators-tp3491259p3493332.html
>> Sent from the Rmetrics mailing list archive at Nabble.com.
>>
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