[R-SIG-Finance] quanstrat: stop trailing with variable stops size

Thu Sep 27 01:16:01 CEST 2012

Hi Brian,

We have now implemented support for using an indicator column in the 
mktdata object as threshold values. So in your source code, I suggest 
that you use:
> add.indicator(strat.st, name = "stopATR", arguments = 
> list(HLC=quote(HLC(mktdata)), n=14, maType="SMA", noATR=2) )
to add your ATR values, and then refer to these in the rule:
> add.rule(strat.st,name='ruleSignal', arguments = 
> list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', 
> ordertype='stoptrailing', orderside='long', 
> threshold='stopATR.ind.atr', tmult=FALSE, orderset='exit2'), 
> type='risk',label='trailingexit')

Please note that you cannot pass a column of threshold values as a 
vector. You can also not pass the name of a function: use the indicator 
method instead (see above).

Hope this helps,

Jan Humme.

On 25-09-12 16:10, Brian Moretta wrote:
> Thanks for the suggestion. Now I'm getting interesting differences.
>
> If I redefine my stopATR function (below) and use quote(mktdata$stopATR) as you suggest then I get an error message:
> Error in if (order.side == "long" && as.numeric(Lo(mktdataTimestamp)) <  :
>    missing value where TRUE/FALSE needed
> This followed by two identical warnings : In max(i) : no non-missing arguments to max; returning -Inf
> This is the same error as if I used quote(mktdata$stopATR.ind.atr) with my original function.
> stopATR <- function(HLC, n=14, maType, noATR=2){
> 	stop.atr <- -noATR * ATR(HLC=HLC, n=n, maType=maType)$atr
> 	colnames(stop.atr) <- c("stopATR")
> 	stop.atr
> }
>
> If I'm lazy & use my original stopATR function then using quote(mktdata$atr) in the add.rule runs without any error messages. However the trailing stop doesn't seem to affect anything. Even using an ATR multiple of .1 (not realistic but gives a threshold of 2-3 points on the GSPC data) gives exactly the same transactions as with the add.rule for the stop commented out. Have checked the data and some should be affected but such a tight stop.
> add.indicator(strat.st, name = "stopATR", arguments = list(HLC=quote(HLC(mktdata)), n=14, maType="SMA", noATR=.1) )
> add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoptrailing', orderside='long', threshold=quote(mktdata$atr), tmult=FALSE, orderset='exit2'), type='risk',label='trailingexit')
>
> I've also tried the following definition for stopATR with quote(mktdata$atr) as in the second case and I get the same error as in the first example.
> stopATR <- function(HLC, n=14, maType, noATR=2){
> 	stop.atr <- -noATR * ATR(HLC=HLC, n=n, maType=maType)$atr
> }
>
> Not sure if I'm missing something obvious or if there is something else going on.
>
> Thanks
>
> Brian
>
> On 22 Sep 2012, at 03:00, Brian G. Peterson wrote:
>
>> why not label your stopATR indicator ouput and set the threshold to that?
>>
>> quote(mktdata$stopATR)
>>
>> ?
>>
>>
>> On 09/21/2012 02:07 PM, Brian Moretta wrote:
>>> Hi
>>>
>>> I've been trying to modify the MACD example with trailing stop so that it uses a 2ATR stop rather than a fixed value or proportion. Key seems to be the threshold value. Help says
>>>
>>> If threshold is not numeric or NULL it should be the character string describing a function that can calculate a threshold. Ideally this will be a column lookup on a non-path-dependent indicator calculated in advance.
>>>
>>> I keep getting errors with the threshold set to something that uses a vector whether text or not. The add.rule line is (full code at end)
>>> add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoptrailing', orderside='long', threshold=stopvalue, tmult=FALSE, orderset='exit2'), type='risk',label='trailing exit')
>>>
>>> With stopvalue set to -20 it works fine. Tried stop.atr$atr, as a vector, inside quotes (help says character string) and inside quote() but to no avail. Tried similar for indicator mktdata$stopATR.ind.atr. Going through previous questions in this area I'm not sure if I'm just doing it wrong or pushing the limits of quanstrat's development, but any suggestions are welcome.
>>>
>>> Thanks
>>>
>>> Brian
>>>
>>> require(quantstrat)
>>> suppressWarnings(rm("order_book.macd",pos=.strategy))
>>> suppressWarnings(rm("account.macd","portfolio.macd",pos=.blotter))
>>> suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACD","initDate","initEq",'start_t','end_t'))
>>>
>>> #stock.str='AAPL' # what are we trying it on
>>> stock.str='GSPC'
>>> getSymbols("^GSPC", src='yahoo', index.class=c("POSIXt","POSIXct"), from='2007-01-01')
>>>
>>> stopATR <- function(HLC, n=14, maType, noATR=2){
>>> 	stop.atr <- -noATR * ATR(HLC=HLC, n=n, maType=maType)
>>> }
>>> stop.atr <- -2 * ATR(HLC(get(stock.str)), n=14, maType='SMA')
>>> stopvalue <- -20
>>>
>>> #MA parameters for MACD
>>> fastMA = 12
>>> slowMA = 26
>>> signalMA = 9
>>> maType="EMA"
>>>
>>> currency('USD')
>>> stock(stock.str,currency='USD',multiplier=1)
>>>
>>> initDate='2006-12-31'
>>> initEq=1000000
>>> portfolio.st='macd'
>>> account.st='macd'
>>>
>>> initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
>>> initAcct(account.st,portfolios=portfolio.st, initDate=initDate)
>>> initOrders(portfolio=portfolio.st,initDate=initDate)
>>>
>>> strat.st<-portfolio.st
>>> # define the strategy
>>> strategy(strat.st, store=TRUE)
>>>
>>> #one indicator
>>> add.indicator(strat.st, name = "MACD", arguments = list(x=quote(Cl(mktdata))) )
>>> add.indicator(strat.st, name = "stopATR", arguments = list(HLC=quote(HLC(mktdata)), n=14, maType="SMA", noATR=2) )
>>>
>>> #two signals
>>> add.signal(strat.st,name="sigThreshold",arguments = list(column="signal",relationship="gt",threshold=0,cross=TRUE),label="signal.gt.zero")
>>> add.signal(strat.st,name="sigThreshold",arguments = list(column="signal",relationship="lt",threshold=0,cross=TRUE),label="signal.lt.zero")
>>>
>>> ####
>>> # add rules
>>>
>>> # entry
>>> add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty=100, ordertype='market', orderside='long', threshold=NULL),type='enter',label='enter',storefun=FALSE)
>>>
>>> #alternatives for risk stops:
>>> # alternately, use a trailing order, with 2ATR stop
>>> add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoptrailing', orderside='long', threshold=stop.atr$atr, tmult=FALSE, orderset='exit2'), type='risk',label='trailingexit')
>>>
>>> # exit
>>> add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.lt.zero",sigval=TRUE, orderqty='all', ordertype='market', orderside='long', threshold=NULL,orderset='exit2'),type='exit',label='exit')
>>>
>>> #end rules
>>> ####
>>>
>>> start_t<-Sys.time()
>>> out<-try(applyStrategy(strat.st , portfolios=portfolio.st,parameters=list(nFast=fastMA, nSlow=slowMA, nSig=signalMA,maType=maType)))
>>> end_t<-Sys.time()
>>> print(end_t-start_t)
>>>
>>> start_t<-Sys.time()
>>> updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep=''))
>>> end_t<-Sys.time()
>>> print("trade blotter portfolio update:")
>>> print(end_t-start_t)
>>>
>>> chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)
>>> plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA,maType="EMA"))
>>>
>>> 	[[alternative HTML version deleted]]
>>>
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>>>
>>
>> -- 
>> Brian G. Peterson
>> http://braverock.com/brian/
>> Ph: 773-459-4973
>> IM: bgpbraverock
>>
>> _______________________________________________
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>
> 	[[alternative HTML version deleted]]
>
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-- 
Jan Humme - OpenTrades

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