[R-SIG-Finance] Problems using blotter and R-2.15

Joshua Ulrich josh.m.ulrich at gmail.com
Sun Jun 3 17:38:23 CEST 2012 

Hi Felice,

It looks like there was a tiny bug (a typo) in .updatePosPL, which is
now corrected on R-forge.  Please check out the source, then
build/INSTALL; or wait a day or two for the R-forge process to build
the package for you.

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


On Sun, Jun 3, 2012 at 9:36 AM, Felice Bruno <felice.bruno at live.it> wrote:
> Hi Joshua
>
> when I run the code I have the following message error:
>
>
> "Errore in if (.parseISO8601(Dates)$first.time < first(index(Prices)) || :
>
> valore mancante dove è richiesto TRUE/FALSE"Sorry, it is in Italian, and I
> don't know the exact English translation, but it should be something like:
>
>
> "Error in if (.parseISO8601(Dates)$first.time < first(index(Prices)) || :
>
>   missing value where TRUE/FALSE is required"
>
>
> My sessionInfo message is the following:
>
>
>
> R version 2.15.0 (2012-03-30)
>
> Platform: x86_64-pc-mingw32/x64 (64-bit)
> locale:
> [1] LC_COLLATE=Italian_Italy.1252 LC_CTYPE=Italian_Italy.1252
> [3] LC_MONETARY=Italian_Italy.1252 LC_NUMERIC=C
> [5] LC_TIME=Italian_Italy.1252
>
> attached base packages:
> [1] stats graphics grDevices utils datasets methods base
>
> other attached packages:
>
> [1] PerformanceAnalytics_1.0.4.4 blotter_0.8.9
> [3] FinancialInstrument_0.14.4 quantmod_0.3-17
> [5] TTR_0.21-1 xts_0.8-7
> [7] zoo_1.7-7 Defaults_1.1-1
> [9] rj_1.1.0-4
>
> loaded via a namespace (and not attached):
>
> [1] grid_2.15.0 lattice_0.20-6 rj.gd_1.1.0-1 tools_2.15.0
>
>
> I hope it can help.
>
> Thank you for your attention.
>
>
> Felice Bruno
>
>
>
>> From: josh.m.ulrich at gmail.com
>> Date: Sat, 2 Jun 2012 15:58:27 -0500
>> Subject: Re: [R-SIG-Finance] Problems using blotter and R-2.15
>> To: felice.bruno at live.it
>> CC: r-sig-finance at r-project.org
>
>>
>> Hi Felice,
>>
>> I was able to run the code you provided below without error. What
>> versions of blotter / xts are you using? Upgrading may help; if it
>> does not, please provide the output from sessionInfo(). My output is
>> below.
>>
>> Best,
>> --
>> Joshua Ulrich | FOSS Trading: www.fosstrading.com
>>
>>
>> R> sessionInfo()
>> R version 2.15.0 (2012-03-30)
>> Platform: x86_64-pc-linux-gnu (64-bit)
>>
>> locale:
>> [1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C
>> [3] LC_TIME=en_US.UTF-8 LC_COLLATE=en_US.UTF-8
>> [5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=en_US.UTF-8
>> [7] LC_PAPER=C LC_NAME=C
>> [9] LC_ADDRESS=C LC_TELEPHONE=C
>> [11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C
>>
>> attached base packages:
>> [1] stats graphics grDevices utils datasets methods base
>>
>> other attached packages:
>> [1] PerformanceAnalytics_1.0.4 blotter_0.8.4
>> [3] FinancialInstrument_0.14.2 quantmod_0.3-17
>> [5] TTR_0.21-1 xts_0.8-7
>> [7] zoo_1.7-7 Defaults_1.1-1
>>
>> loaded via a namespace (and not attached):
>> [1] grid_2.15.0 lattice_0.20-6
>>
>>
>>
>> On Sat, Jun 2, 2012 at 11:02 AM, Felice Bruno <felice.bruno at live.it>
>> wrote:
>> >
>> > Hi
>> >
>> > I'm using blotter to make strategy backtesting.
>> >
>> > some days ago, I migrate to R-2.15, and tried to run the Faber example
>> > found on FOSS Trading blog.
>> >
>> > When I run the code, I receive the following message:
>> >
>> >
>> > Error in if (.parseISO8601(Dates)$first.time < first(index(Prices)) ||
>> >
>> >
>> > I found the origin of problem is the istruction:
>> >
>> >
>> > updatePortf(Portfolio='default', Dates=CurrentDate)
>> >
>> >
>> > To be sure, I tried to run using the R-2.14 version, and all was ok.
>> >
>> > Following is reported the code I use:
>> >
>> >
>> > # This code implements the strategy found in:
>> > # Faber, Mebane T., "A Quantitative Approach to Tactical Asset
>> > Allocation."
>> > # Journal of Risk Management (Spring 2007).
>> >
>> > # The article implements a simpler version of the 200-day SMA, opting
>> > for a
>> > # 10-month SMA because monthly data are more easily available in earlier
>> > # periods and lower granularity should translate to lower transaction
>> > costs.
>> >
>> > # The rules of the system are relatively simple:
>> > # - Buy when monthly price > 10-month SMA
>> > # - Sell and move to cash when monthly price < 10-month SMA
>> >
>> > # 1. All entry and exit prices are on the day of the signal at the
>> > close.
>> > # 2. All data series are total return series including dividends,
>> > updated monthly.
>> > # NOTE: For the purposes of this demo, we only use price returns.
>> > # 3. Cash returns are estimated with 90-day commercial paper. Margin
>> > rates for
>> > # leveraged models are estimated with the broker call rate.
>> > # NOTE: For the purposes of this demo, we ignore interest and leverage.
>> > # 4. Taxes, commissions, and slippage are excluded.
>> >
>> > # Data:
>> > # This demo uses monthly data downloaded from Yahoo Finance for two
>> > ETFs: SPY and
>> > # IEF. These were chosen to illustrate the classic stock/bond asset
>> > portfolio.
>> > # Though longer serires would be preferred, data for IEF begin in
>> > mid-2002.
>> >
>> > # Load required libraries
>> > library(quantmod)
>> > library(TTR)
>> > library(blotter) # r-forge revision 193
>> > library(PerformanceAnalytics)
>> >
>> > # Set initial values
>> > initDate='2006-07-31'
>> > endDate='2008-01-31'
>> > initEq=100000
>> >
>> > # Set currency and instruments
>> > currency("USD")
>> > stock("IEF",currency="USD",multiplier=1)
>> > stock("SPY",currency="USD",multiplier=1)
>> >
>> > # Load data with quantmod
>> > print("Loading data")
>> > symbols = c("IEF", "SPY")
>> > getSymbols(symbols, from=initDate, to=endDate,
>> > index.class=c("POSIXt","POSIXct"))
>> >
>> > # Adjust prices for splits/dividends (thanks pg)
>> > #IEF = adjustOHLC(IEF)
>> > #SPY = adjustOHLC(SPY)
>> >
>> > # Convert data to monthly frequency (to.weekly() needs drop.time=FALSE)
>> > IEF = to.monthly(IEF, indexAt='endof')
>> > SPY = to.monthly(SPY, indexAt='endof')
>> >
>> > # Set up indicators with TTR
>> > print("Setting up indicators")
>> > IEF$SMA = SMA(Cl(IEF), 10)
>> > SPY$SMA = SMA(Cl(SPY), 10)
>> >
>> > # Set up a portfolio object and an account object in blotter
>> > initPortf(name='default', symbols=symbols, initDate=initDate)
>> > initAcct(name='default', portfolios='default', initDate=initDate,
>> > initEq=initEq)
>> > verbose = TRUE
>> >
>> > # Create trades
>> > for( i in 10:NROW(SPY) ) {
>> >  CurrentDate=time(SPY)[i]
>> >  equity = getEndEq(Account='default', CurrentDate)
>> >
>> >  for( symbol in symbols ) {
>> >    sym = get(symbol)
>> >    ClosePrice = as.numeric(Cl(sym[i,]))
>> >    Posn = getPosQty(Portfolio='default', Symbol=symbol,
>> > Date=CurrentDate)
>> >    UnitSize = as.numeric(trunc((equity/NROW(symbols))/ClosePrice))
>> >
>> >    # Position Entry (assume fill at close)
>> >    if( Posn == 0 ) {
>> >    # No position, so test to initiate Long position
>> >      if( Cl(sym[i,]) > sym[i,'SMA'] ) {
>> >        # Store trade with blotter
>> >        addTxn('default', Symbol=symbol, TxnDate=CurrentDate,
>> >          TxnPrice=ClosePrice, TxnQty=UnitSize, TxnFees=0,
>> > verbose=verbose)
>> >      }
>> >    } else {
>> >      # Have a position, so check exit
>> >      if( Cl(sym[i,]) < sym[i,'SMA'] ) {
>> >        # Store trade with blotter
>> >        addTxn(Portfolio='default', Symbol=symbol, TxnDate=CurrentDate,
>> >          TxnPrice=ClosePrice, TxnQty=-Posn, TxnFees=0, verbose=verbose)
>> >      }
>> >    }
>> >  } # End symbols loop
>> >
>> >  # Calculate P&L and resulting equity with blotter
>> >  updatePortf(Portfolio='default', Dates=CurrentDate)
>> >  updateAcct(name='default', Dates=CurrentDate)
>> >  updateEndEq(Account='default', Dates=CurrentDate)
>> >
>> > } # End dates loop
>> >
>> > # Buy and Hold cumulative equity
>> > buyhold = exp(cumsum( ( 0.5*ROC(Cl(IEF)) + 0.5*ROC(Cl(SPY)) )[-1] ))
>> >
>> > # Final values
>> > cat('Tactical Asset Allocation Return: ',(getEndEq(Account='default',
>> > Date=CurrentDate)-initEq)/initEq,'\n')
>> > cat('Buy and Hold Return: ',tail(buyhold,1)-1,'\n')
>> >
>> > # Plot Strategy Summary
>> > png(filename="20091118_blotter_strategy.png", 720, 720)
>> >
>> > #charts.PerformanceSummary(ROC(getAccount('default')$TOTAL$End.Eq)[-1],main="Tactical
>> > Asset Allocation")
>> >
>> > charts.PerformanceSummary(ROC(getAccount('default')$summary$End.Eq)[-1],main="Tactical
>> > Asset Allocation")
>> > dev.off()
>> >
>> > # Plot Buy and Hold Summary
>> > png(filename="20091118_blotter_buyhold.png", 720, 720)
>> > charts.PerformanceSummary(ROC(buyhold)[-1],main="Buy & Hold")
>> > dev.off()
>> >
>> >
>> > Thank you for your attention.
>> >
>> >        [[alternative HTML version deleted]]
>> >
>> > _______________________________________________
>> > R-SIG-Finance at r-project.org mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> > -- Subscriber-posting only. If you want to post, subscribe first.
>> > -- Also note that this is not the r-help list where general R questions
>> > should go.

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