[R-SIG-Finance] Quantstrat problem

[Bob Schmidt]

Hi Robert,

I'm learning like you and thought figuring this out would be fun.  I'm not
sure about the last error.  It might have been due to the script not making
any trades.  I put the sigFormula back into an add.signal command from the
add.rule command.  Then I mangled the rest of it with some rule commands I
made up.  I tried to preserve the formula you were using.  It is completely
messed up from what you are trying to do, no doubt.  But it does make some
trades and shows a plot.

Best regards,

Bob

library(blotter)
library(quantstrat)
try(rm("account.qsAMZN","portfolio.qsAMZN",pos=.blotter),silent=TRUE)
try(rm("order_book.qsAMZN",pos=.strategy),silent=TRUE)
currency("USD")
initDate='2009-12-31'
stock("AMZN",currency="USD",multiplier=1)
getSymbols('AMZN', from=initDate, to='2010-08-31', adjust=T)
qs.strategy <- "qsAMZN"
initPortf(qs.strategy,'AMZN', initDate=initDate)
initAcct(qs.strategy,portfolios=qs.strategy, initDate=initDate, initEq=1e6)
initOrders(portfolio=qs.strategy,initDate=initDate)
strat<- strategy(qs.strategy)
strat <- add.indicator(strategy = strat, name = "SMA",
                       arguments = list(x = quote(Cl(mktdata)), n=7),
                       label="SMA7")
strat <- add.indicator(strategy = strat, name = "SMA",
                       arguments = list(x = quote(Cl(mktdata)), n=30),
                       label="SMA30")
# changed this to use it for the exit rule since the sigFormula didn't need
it
strat <- add.signal(strat,name="sigCrossover",
                    arguments = list(columns=c("SMA7","SMA30"),
                    relationship="lt"), label="SMA7.lt.SMA30")
strat <- add.signal(strat,name="sigCrossover",
                    arguments = list(columns=c("Close","SMA7"),
                    relationship="gt"), label="cl.gt.SMA7")
strat <- add.signal(strat,name="sigCrossover",
                    arguments = list(columns=c("Close","SMA7"),
                    relationship="lt"), label="Cl.lt.SMA7")
# strat <- add.rule(strat, name='sigFormula',
#                   arguments = list(formula=" (SMA7 > SMA30) & (AMZN.Close
> SMA30) ", orderqty=1000,
#                                    ordertype='market', orderside='long',
pricemethod='market'),
#                   type='enter', path.dep=TRUE)

strat <- add.signal(strat, name="sigFormula",
                 arguments = list(columns=c("Close","SMA7","SMA30"),
                        formula = "(SMA7 > SMA30) & (AMZN.Close > SMA30)",
                        label="buysignal", cross=TRUE),
                 label="buysignal")
strat <- add.rule(strategy = strat,name='ruleSignal',
         arguments = list(sigcol="buysignal",sigval=TRUE, orderqty=100,
                    ordertype='market', orderside='long', type='enter'))
strat <- add.rule(strategy = strat,name='ruleSignal',
        arguments = list(sigcol="SMA7.lt.SMA30",sigval=TRUE, orderqty='all',
                    ordertype='market', orderside='long'),type='exit')

out <- applyStrategy(strategy=strat , portfolios=qs.strategy)
updatePortf(Portfolio=qs.strategy)
updateAcct(name=qs.strategy)
#dummy <- sapply(X=index(AMZN),FUN=updateEndEq,Account=qs.strategy)
updateEndEq(qs.strategy)
chart.Posn(Portfolio = 'qsAMZN', Symbol = 'AMZN')




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