[R-SIG-Finance] quantstrat newbie sigFormula example
Rob Schmidt
roschm at ymail.com
Sun Mar 17 01:20:44 CET 2013
Hi All,
I'm posting a small example of using signal formulas to help out other
beginners that are getting started with quantstrat. It also includes stuff
copied from other examples such as the CUD custom indicator from
timelyportfolio, reading a OHLC CSV file with intraday bars downloaded from
Dukascopy, adding TA indicators to plots, and saving results to files. I
may have gone a bit off the deep end with the signal formulas. I'm certain
that there are smarter ways to do some of this. I am also attaching a small
CSV file to play with.
Thanks in advance for comments, suggestions, and warnings.
Rob Schmidt
# the frankenstein of signal formulas, Rob Schmidt
# prices from online, or from a CSV file downloaded from dukascopy
# thanks to the people who made these great packages and
# thanks to all who made the examples from which I copied
csvPath = '/home/rob/work/csvdata/dukascopy/' # these need to change
resultsPath = '/home/rob/work/R/quantstrat/'
setwd(resultsPath)
require(quantstrat)
try(rm("order_book.frank", pos=.strategy), silent=TRUE)
try(rm("account.frank", "portfolio.frank", pos=.blotter), silent=TRUE)
csvName = '' # assign an empty string to choose daily data from yahoo
# example file downloaded from dukascopy for evaluation
#csvName = 'AMZN.US_Candlestick_15_m_BID_01.01.2013-12.01.2013.csv'
stratg = "frank" # a creature from a collection of parts
symbol = "AMZN"
cudPeriods = 4
fastPeriods = 15
slowPeriods = 2*fastPeriods
initEq = 1.0e6
orderSize = 100
# CUD is the n-period sum of (up days = 1) and (down days = -1)
CUD = function(cl, n)
{ temp = runSum(ifelse(ROC(cl, 1, type="discrete") > 0, 1, -1), n)
colnames(temp) = "CUD"
temp
}
currency("USD")
stock(symbol, currency="USD", multiplier=1)
if(csvName == '') # get price data from yahoo online
{ initDate = '2011-07-01'
endDate = '2012-01-01'
getSymbols(symbol, from=initDate, to=endDate, adjust=TRUE)
} else # get price data from a CSV file
{ dukasFormat = '%d.%m.%Y %H:%M:%S'
csvData = read.csv(paste(csvPath, csvName, sep=''), sep=',',
header=TRUE)
# ignore empty trading periods, makes the plots prettier
csvData = csvData[(csvData$High > csvData$Low),]
#initDate = '' # if empty string calculate from the start of the data
initDate = '2013-01-05 00:00:00' # else set init date
#endDate = '' # if empty string calculate to the end of the data
endDate = '2013-01-09 00:00:00' # else set end date
# apply the user's end date if it is specified
if(initDate != '')
{ initTime = as.POSIXct(strptime(initDate, '%Y-%m-%d %H:%M:%S'))
csvData = csvData[(as.POSIXct(strptime(
csvData$Time, dukasFormat)) > initTime),]
}
if(endDate != '')
{ endTime = as.POSIXct(strptime(endDate, '%Y-%m-%d %H:%M:%S'))
csvData = csvData[(as.POSIXct(strptime(
csvData$Time, dukasFormat)) < endTime),]
}
symb = as.xts(csvData[,2:6],
as.POSIXct(strptime(csvData[,1], dukasFormat)))
colnames(symb) = c(paste(symbol,'.Open',sep=''),
paste(symbol,'.High',sep=''),
paste(symbol,'.Low',sep=''),
paste(symbol,'.Close',sep=''),
paste(symbol,'.Volume',sep=''))
assign(symbol,symb)
initDate = start(get(symbol))
endDate = end(get(symbol))
}
# make some signal formula parts from indicators
cudUp = "(CUD > 0)"
cudDn = "(CUD < 0)"
smaUp = "(smaFast > smaSlow)"
smaDn = "(smaFast < smaSlow)"
closeAbvS = paste("(",symbol,".Close > smaSlow)",sep='')
closeBlwS = paste("(",symbol,".Close < smaSlow)",sep='')
closeAbvF = paste("(",symbol,".Close > smaFast)",sep='')
closeBlwF = paste("(",symbol,".Close < smaFast)",sep='')
# combine parts for entry/exit, long/short signal formulas
# goLong = cudUp
# exitLong = cudDn
# goShort = cudDn
# exitShort = cudUp
goLong = cudDn # counter-trend madness
exitLong = cudUp
goShort = cudUp
exitShort = cudDn
# goLong = paste(cudUp,"&",closeAbvS,sep='')
# exitLong = paste(cudDn,"|",closeBlwS,sep='')
# goShort = paste(cudDn,"&",closeBlwS,sep='')
# exitShort = paste(cudUp,"|",closeAbvS,sep='')
# goLong = paste(smaUp,"&",closeAbvF,"&",cudUp,sep='')
# exitLong = paste(smaDn,"|",closeBlwF,sep='')
# goShort = paste(smaDn,"&",closeBlwF,"&",cudDn,sep='')
# exitShort = paste(smaUp,"|",closeAbvF,sep='')
# goLong = paste(smaUp,"&",closeAbvF,"&",cudUp,sep='')
# exitLong = paste(smaDn,"|",closeBlwS,sep='')
# goShort = paste(smaDn,"&",closeBlwF,"&",cudDn,sep='')
# exitShort = paste(smaUp,"|",closeAbvS,sep='')
initPortf(stratg, symbol, initDate=initDate)
initAcct(stratg, portfolios=stratg, initDate=initDate,
initEq=initEq)
initOrders(portfolio=stratg, initDate=initDate)
strat = strategy(stratg)
strat = add.indicator(strategy=strat, name="SMA", label="smaFast",
arguments=list(x=quote(Cl(mktdata)), n=fastPeriods))
strat = add.indicator(strategy=strat, name="SMA", label="smaSlow",
arguments=list(x=quote(Cl(mktdata)), n=slowPeriods))
strat = add.indicator(strategy=strat, name="CUD", label="CUD",
arguments=list(cl=get(symbol)[,4], n=cudPeriods))
strat = add.signal(strat, name="sigFormula", label="goLongSig",
arguments = list(columns=c("smaFast","smaSlow","CUD"),
formula = goLong, cross=TRUE))
strat = add.signal(strat, name="sigFormula", label="exitLongSig",
arguments = list(columns=c("smaFast","smaSlow","CUD"),
formula = exitLong, cross=TRUE))
strat = add.signal(strat, name="sigFormula", label="goShortSig",
arguments = list(columns=c("smaFast","smaSlow","CUD"),
formula = goShort, cross=TRUE))
strat = add.signal(strat, name="sigFormula", label="exitShortSig",
arguments = list(columns=c("smaFast","smaSlow","CUD"),
formula = exitShort, cross=TRUE))
strat = add.rule(strategy = strat, name='ruleSignal', type='enter',
arguments = list(sigcol="goLongSig", sigval=TRUE,
orderqty=orderSize, ordertype='market', orderside='long',
osFUN=osMaxPos))
strat = add.rule(strategy = strat, name='ruleSignal', type='exit',
arguments = list(sigcol="exitLongSig", sigval=TRUE,
orderqty='all', ordertype='market', orderside='long'))
strat = add.rule(strategy = strat, name='ruleSignal', type='enter',
arguments = list(sigcol="goShortSig", sigval=TRUE,
orderqty=-orderSize, ordertype='market', orderside='short',
osFUN=osMaxPos))
strat = add.rule(strategy = strat, name='ruleSignal', type='exit',
arguments = list(sigcol="exitShortSig", sigval=TRUE,
orderqty='all', ordertype='market', orderside='short'))
addPosLimit(stratg, symbol, timestamp=initDate,
maxpos=orderSize, minpos=-orderSize)
out = applyStrategy(strategy=strat, portfolios=stratg, prefer='Open')
updatePortf(Portfolio=stratg)
updateAcct(name=stratg)
# make plots
dateRange = paste(initDate,'::',endDate,sep='')
chart.Posn(Portfolio = stratg, Symbol = symbol, Dates=dateRange)
add_SMA(n=fastPeriods, on=1, col='blue')
add_SMA(n=slowPeriods, on=1, col='tan')
plot(add_TA(CUD(cl=get(symbol)[,4],n=cudPeriods)))
# write the results to files
ob = getOrderBook(stratg)
write.zoo(ob[1], quote=TRUE,
file = paste(stratg, "_", symbol, "_orderbook.csv",sep=''))
write.zoo(mktdata, quote=TRUE,
file=paste(stratg, "_",symbol, "_mktdata.csv", sep=''))
write.zoo(getTxns(stratg, symbol), quote=TRUE,
file = paste(stratg, "_", symbol, "_txns.csv", sep=''))
AMZN.US_Candlestick_15_m_BID_01.01.2013-12.01.2013.csv
<http://r.789695.n4.nabble.com/file/n4661594/AMZN.US_Candlestick_15_m_BID_01.01.2013-12.01.2013.csv>
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