[R-SIG-Finance] Quantstrat using sigFormula
Brian G. Peterson
brian at braverock.com
Mon Jan 9 16:23:47 CET 2012
sigFormula uses an R syntax feature that allows you to use column names
directly as variables in a formula. It does no partial matching, since
the columns *become* the formula variables.
Garrett's proposed formulation looks correct.
I will warn you that while sigFormula is very flexible, R isn't very
fast using this methodology. It seems to be a side effect of the way
data.frames are stored as lists, and of the way that the
eval(parse(text=formula),x) syntax is managed internally by R.
For daily or lower-frequency data, that's probably fine, but for higher
frequencies I usually find it makes sense to write a custom indicator of
signal function for more complex comparisons.
Please let us know if Garrett's formulation works for you. If not, I'll
try to look into it this week.
Regards,
- Brian
On Mon, 2012-01-09 at 09:09 -0600, G See wrote:
> Tim,
>
> Try this syntax:
>
> ###
> stratRSI4 <-
> add.signal(stratRSI4,
> name="sigFormula",
> arguments = list(columns=c("Close","SMA200","RSI"),
> formula = "(SPY.Close > SMA200) & (RSI < 25)",
> label="trigger",
> cross=TRUE),
> label="Cl.gt.SMA")
>
> ###
> At least, that will not throw an errror. But, I've never used
> sigFormula, so hopefully someone that has will chime in if it's wrong.
>
> HTH,
> Garrett
>
> On Mon, Jan 9, 2012 at 8:46 AM, Tim Meggs <twmeggs at gmail.com> wrote:
> > Hi Garrat. Thanks for the tip. Unfortunately it still throws the same error.
> >
> > Hi Julien,
> > Thank you for the pointer to the posting guide. I will endeavour to follow it as best I can.
> >
> > I'm running Windows XP, R version 2.14.0 which I access trough the current version of R Studio. All my packages are up to date.
> >
> > In terms of examples, the exact code segment I am running starts at "# This code is an attempt to..." and ends at the call to the tradeStats() function. If you copy out that block from the below you should be able to replicate the same error.
> >
> > I can get the code to run fine before I introduce the addition of the signal that uses sigFormula. As there are no direct examples of how to use sigFormula, I am someway guessing the syntax.
> >
> > Given I'm sure this is where the problem lies, perhaps someone could provide a full example of how to build a custom indicator using the sigFormula functionally available in Quantstrat?
> >
> > Thanks
> >
> >
> >
> > Sent from my iPhone
> >
> > On 4 Jan 2012, at 22:05, G See <gsee000 at gmail.com> wrote:
> >
> >> Do you still have a problem if you use Date as the index class?
> >>
> >> i.e. instead of:
> >> getSymbols(symbols, from=initDate, to=endDate,
> >> index.class=c("POSIXt","POSIXct"))
> >>
> >> simply do this:
> >> getSymbols(symbols, from=initDate, to=endDate)
> >>
> >> HTH,
> >> Garrett
> >>
> >> On Wed, Jan 4, 2012 at 2:49 PM, Tim Meggs <twmeggs at gmail.com> wrote:
> >>> Hi - I'm fairly new to R. Have been reading up a lot and am impressed with
> >>> the language's versatility and hope to spend much time getting to grips
> >>> with it. (I'd like to thank those that have built out the really useful
> >>> Quantmod, Quantstrat, TTR, PerformanceAnalytics, Blotter packages for all
> >>> their hard work meaning I, and those with similar interests, dont have to
> >>> reinvent the wheel!)
> >>>
> >>> Having a problem with my understanding of how to use sigFornula, as my code
> >>> has started to throw an error after I'd tried to implement it - any help or
> >>> guidance would be greatly appreciated - thanks!:
> >>>
> >>> Getting the following error:
> >>>
> >>>> out <- try(applyStrategy(strategy=stratRSI4, portfolios="RSI4"))
> >>>
> >>> Error in .xts(e, .index(e1), .indexCLASS = indexClass(e1),
> >>> .indexFORMAT = indexFormat(e1), :
> >>>
> >>> index length must match number of observations
> >>>
> >>>> updatePortf("RSI4")
> >>>
> >>> [1] "RSI4"
> >>>
> >>>
> >>> when running the following adaption of one of the Quantstrat demos:
> >>>
> >>> # This code is an attempt to backtest Connor's RSI(4) filter for long trades
> >>>
> >>> #http://forums.stockfetcher.com/sfforums/?q=view&tid=93830&start=0
> >>>
> >>> #install.packages(c("quantstrat","blotter","FinancialInstrument"), repos="
> >>> http://r-forge.r-project.org")
> >>>
> >>> require(quantstrat)
> >>>
> >>> require(PerformanceAnalytics)
> >>>
> >>>
> >>>
> >>> # Set initial values
> >>>
> >>> initDate <- "2006-07-31"
> >>>
> >>> endDate <- "2011-10-31"
> >>>
> >>> initEq <- 100000
> >>>
> >>>
> >>>
> >>>
> >>>
> >>> # Pull Yahoo Finance data
> >>>
> >>> symbols <- c("SPY")
> >>>
> >>> getSymbols(symbols, from=initDate, to=endDate,
> >>> index.class=c("POSIXt","POSIXct"))
> >>>
> >>>
> >>>
> >>> # Set up instruments with FinancialInstruments package
> >>>
> >>> currency("USD")
> >>>
> >>> for(symbol in symbols) {
> >>>
> >>> stock(symbol, currency="USD", multiplier=1)
> >>>
> >>> }
> >>>
> >>>
> >>>
> >>> # Delete portfolio, account, and order book if they already exist
> >>>
> >>> suppressWarnings(rm("account.RSI4","portfolio.RSI4",pos=.blotter))
> >>>
> >>> suppressWarnings(rm("order_book.RSI4",pos=.strategy))
> >>>
> >>>
> >>>
> >>>
> >>>
> >>> # Initialize portfolio and account
> >>>
> >>> initPortf("RSI4", symbols=symbols, initDate=initDate)
> >>>
> >>> initAcct("RSI4", portfolios="RSI4", initDate=initDate, initEq=initEq)
> >>>
> >>> initOrders(portfolio="RSI4", initDate=initDate)
> >>>
> >>>
> >>>
> >>> # Initialize a strategy object
> >>>
> >>> stratRSI4 <- strategy("RSI4")
> >>>
> >>>
> >>>
> >>>
> >>>
> >>> ####INDICATORS####
> >>>
> >>> # Add the 200-day SMA indicator
> >>>
> >>> stratRSI4 <- add.indicator(strategy=stratRSI4, name="SMA", arguments =
> >>> list(x=quote(Cl(mktdata)), n=200), label="SMA200")
> >>>
> >>> # Add the RSI4 indicator
> >>>
> >>> stratRSI4 <- add.indicator(strategy=stratRSI4, name="RSI", arguments =
> >>> list(price = quote(getPrice(mktdata)), n=4), label="RSI")
> >>>
> >>>
> >>>
> >>>
> >>>
> >>> ####SIGNALS####
> >>>
> >>> # There are two signals:
> >>>
> >>> # The first is when close price is above the 200 day moving average and
> >>> RSI4 is below 25
> >>>
> >>> stratRSI4 <- add.signal(stratRSI4, name="sigFormula", arguments = list(data
> >>> = columns=c("Close","SMA200","RSI"), formula = "(Close > SMA200) & (RSI <
> >>> 25)", label="trigger"), cross=TRUE), label="Cl.gt.SMA")
> >>>
> >>> # The second is when the RSI4 closes above 55
> >>>
> >>> stratRSI4 <- add.signal(stratRSI4,
> >>> name="sigThreshold",arguments=list(threshold=55, column="RSI",
> >>> relationship="lt", cross=TRUE), label="Cl.lt.RSI")
> >>>
> >>>
> >>>
> >>>
> >>>
> >>> ####RULES####
> >>>
> >>> # There are two rules:
> >>>
> >>> # The first is to buy when the price is above the SMA and RSI4 below 25
> >>> (the first signal)
> >>>
> >>> stratRSI4 <- add.rule(stratRSI4, name="ruleSignal",
> >>> arguments=list(sigcol="Cl.gt.SMA", sigval=TRUE, orderqty=1000,
> >>> ordertype="market", orderside="long", pricemethod="market", TxnFees=-5,
> >>> osFUN=osMaxPos), type="enter", path.dep=TRUE)
> >>>
> >>> # The second is to sell when the RSI climbs above 55
> >>>
> >>> stratRSI4 <- add.rule(stratRSI4, name="ruleSignal",
> >>> arguments=list(sigcol="Cl.lt.RSI", sigval=TRUE, orderqty="all",
> >>> ordertype="market", orderside="long", pricemethod="market", TxnFees=-5),
> >>> type="exit", path.dep=TRUE)
> >>>
> >>>
> >>>
> >>>
> >>>
> >>> # Set position limits so we don't add to the position every month Close >
> >>> SMA10
> >>>
> >>> addPosLimit("RSI4", "SPY", timestamp=initDate, maxpos=1000, minpos=0)
> >>>
> >>>
> >>>
> >>> # Process the indicators and generate trades
> >>>
> >>> out <- try(applyStrategy(strategy=stratRSI4, portfolios="RSI4"))
> >>>
> >>> updatePortf("RSI4")
> >>>
> >>>
> >>>
> >>> # Evaluate results
> >>>
> >>> portRet <- PortfReturns("RSI4")
> >>>
> >>> portRet$Total <- rowSums(portRet, na.rm=TRUE)
> >>>
> >>> charts.PerformanceSummary(portRet$Total)
> >>>
> >>> tradeStats("RSI4")[,c("Symbol","Num.Trades","Net.Trading.PL<http://net.trading.pl/>
> >>> ","maxDrawdown")]
> >>>
> >>> [[alternative HTML version deleted]]
> >>>
> >>> _______________________________________________
> >>> R-SIG-Finance at r-project.org mailing list
> >>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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> >>> -- Also note that this is not the r-help list where general R questions should go.
> >
>
> _______________________________________________
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--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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