[R-SIG-Finance] How to make quantstrat demo work with intraday data

[Joshua Ulrich]

On Thu, Jan 26, 2012 at 8:58 AM, Yuanhang Wang <yuanhangw.sg at gmail.com> wrote:
> Hi listers,
>
>    I'm having some trouble to get quantstrat work on intraday data I'm
> pulling out of Bloomberg. The orginal demo (rsi.R) came with quantstrat.pkg
> works fine on daily data, but  when I try to replace the daily time series
> with intraday data (30min OHLC):
>
> currency("USD")
> currency("EUR")
> symbols = c("GCA" )#, "XAGUSD", "XPTUSD", "XPDUSD")
> for(symbol in symbols){ # establish trade-able instruments
>    stock(symbol, currency="USD",multiplier=1)
>  getSymbols(symbol,src="Bloomberg", *bb.interval = "30"*,
> bb.suffix="Curncy",*from=as.POSIXlt(Sys.time()-60*4000,"GMT"),*
> * *
> *to=as.POSIXlt(Sys.time(),"GMT")*)
> }
>
>> head(GCA)
>                    GCA.Open GCA.High GCA.Low GCA.Close GCA.Volume
> 2012-01-23 20:07:00   1678.8   1681.1  1678.3    1679.9         65
> 2012-01-23 20:37:00   1680.0   1681.5  1680.0    1680.3         84
> 2012-01-23 21:07:00   1680.6   1680.6  1679.7    1679.7         15
> 2012-01-23 21:37:00   1680.3   1680.6  1680.3    1680.4          4
> 2012-01-23 22:07:00   1679.7   1681.1  1679.3    1681.1          3
> 2012-01-23 23:00:00   1680.6   1680.6  1680.4    1680.6          3
>
> applyStrategy() seems generating bogus pnl even though applySignals and
> applyRules seems working properly. Anyone can tell me how I can work around
> with this and get it works around intraday data?
>
> Regards,
> Yuanhang
>
Many people use quantstrat with intraday (even tick) data without
errors.  You only provide a vague description of the problem ("bogus
pnl") and do not provide the versions of R and the packages you're
using.

In short, you need to provide much more detail for anyone to be able
to help.  Start by ensuring you're using the most up-to-date versions
of quantstrat, blotter, FinancialInstrument, xts, etc. and show us
what makes the P&L "bogus".  The output from sessionInfo() would also
be helpful.

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



> [code]
>
> require(quantstrat)
> require(RBloomberg)
> suppressWarnings(rm("order_book.RSI",pos=.strategy))
> suppressWarnings(rm("account.RSI","portfolio.RSI",pos=.blotter))
> suppressWarnings(rm("account.st","portfolio.st
> ","stock.str","stratRSI","initDate","initEq",'start_t','end_t'))
>
> # Initialize a strategy object
> stratRSI <- strategy("RSI")
>
> # Add an indicator
> stratRSI <- add.indicator(strategy = stratRSI, name = "RSI", arguments =
> list(price = quote(getPrice(mktdata)),n=2),  label="RSI")
>
>
>
> # There are two signals:
>
> stratRSI <- add.signal(strategy = stratRSI, name="sigThreshold",arguments =
> list(threshold=55, column="RSI",relationship="gt",
> cross=TRUE),label="RSI.gt.55")
>
> stratRSI <- add.signal(strategy = stratRSI, name="sigThreshold",arguments =
> list(threshold=55,
> column="RSI",relationship="lt",cross=TRUE),label="RSI.lt.55")
>
> stratRSI <- add.signal(strategy = stratRSI, name="sigThreshold",arguments =
> list(threshold=45, column="RSI",relationship="gt",
> cross=TRUE),label="RSI.gt.45")
> # The second is when RSI is less than 10
> stratRSI <- add.signal(strategy = stratRSI, name="sigThreshold",arguments =
> list(threshold=45,
> column="RSI",relationship="lt",cross=TRUE),label="RSI.lt.45")
>
>
> # There are two rules:
> #'## we would Use osMaxPos to put trade on in layers, or to a maximum
> position.
> # The first is to sell when the RSI crosses above the threshold
> stratRSI <- add.rule(strategy = stratRSI, name='ruleSignal', arguments =
> list(sigcol="RSI.gt.55", sigval=TRUE, orderqty=-1000, ordertype='market',
> orderside='short', pricemethod='market', replace=FALSE), type='enter',
> path.dep=TRUE)
> stratRSI <- add.rule(strategy = stratRSI, name='ruleSignal', arguments =
> list(sigcol="RSI.lt.55", sigval=TRUE, orderqty='all', ordertype='market',
> orderside='short', pricemethod='market', replace=FALSE), type='exit',
> path.dep=TRUE)
>
>
> stratRSI <- add.rule(strategy = stratRSI, name='ruleSignal', arguments =
> list(sigcol="RSI.lt.45", sigval=TRUE, orderqty=1000, ordertype='market',
> orderside='long', pricemethod='market', replace=FALSE), type='enter',
> path.dep=TRUE)
> stratRSI <- add.rule(strategy = stratRSI, name='ruleSignal', arguments =
> list(sigcol="RSI.gt.45", sigval=TRUE, orderqty='all', ordertype='market',
> orderside='short', pricemethod='market', replace=FALSE), type='exit',
> path.dep=TRUE)
> #add changeable parameters
>
>
> currency("USD")
> currency("EUR")
> symbols = c("GCA" )#, "XAGUSD", "XPTUSD", "XPDUSD")
> for(symbol in symbols){ # establish trade-able instruments
>    stock(symbol, currency="USD",multiplier=1)
> getSymbols(symbol,src="Bloomberg", bb.interval = "30",
> bb.suffix="Curncy",from=as.POSIXlt(Sys.time()-60*4000,"GMT"),
>  to=as.POSIXlt(Sys.time(),"GMT"))
> }
>
> # you can test with something like this:
> # applySignals(strategy=stratRSI,
> mktdata=applyIndicators(strategy=stratRSI, mktdata=symbols[1]))
>
>
> initDate=Sys.Date()-1
> initEq=100000
> port.st<-'RSI' #use a string here for easier changing of parameters and
> re-trying
>
> initPortf(port.st, symbols=symbols, initDate=initDate)
> initAcct(port.st, portfolios=port.st, initDate=initDate)
> initOrders(portfolio=port.st, initDate=initDate)
>
> print("setup completed")
>
> # Process the indicators and generate trades
> start_t<-Sys.time()
> out<-try(applyStrategy(strategy=stratRSI , portfolios=port.st,
> parameters=list(n=2), verbose =FALSE ) )
> end_t<-Sys.time()
> print("Strategy Loop:")
> print(end_t-start_t)
>
> # look at the order book
> #print(getOrderBook(port.st))
>
> start_t<-Sys.time()
> updatePortf(Portfolio=port.st,Dates=paste('::',as.Date(Sys.time()),sep=''))
> end_t<-Sys.time()
> print("trade blotter portfolio update:")
> print(end_t-start_t)
>
> # hack for new quantmod graphics, remove later
> themelist<-chart_theme()
> themelist$col$up.col<-'lightgreen'
> themelist$col$dn.col<-'pink'
> for(symbol in symbols){
>    dev.new()
>    chart.Posn(Portfolio=port.st,Symbol=symbol,theme=themelist)
>    plot(add_RSI(n=2,RSIup=55,RSIdn=45))
> }
>
> ###############################################################################
> # 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: rsi.R 621 2011-06-09 23:18:04Z gsee $
> #
> ###############################################################################
>
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>
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