[R-SIG-Finance] quantstrat chain rule type

[Ilya Kipnis]

Stergios,

Can you rerun your code with orderqty set to -1 for your chain rule
and see if that solves it?

-Ilya

On Fri, Aug 22, 2014 at 4:08 PM, stergios marinopoulos
<stergenator at gmail.com> wrote:
> Hi, I am having trouble getting a simple profit taking order to work via a
> chaining rule.  In the contrived example below, I force a long entry of 2
> shares.  Then I expect 1 share to be sold after a 1 point move (i.e. the
> "profit taker"), and then I expect the final share to be sold when price
> falls below the SMA50.
>
> While I do not see the profit taker order get executed, the price falling
> below the SMA50 works as expected for all remaining shares.
>
> I would appreciate it if someone could point out what I am doing wrong with
> the chaining rule.
>
> Thank you,
> --
> sm
> Stergios Marinopoulos
>
>
> library(quantstrat)
>
> # Boiler Plate
> tickerSymbol   = "GE"
> strategyStr  = 'TwoUnits'
> GE  = getSymbols(tickerSymbol, from = "2012-01-01", to = "2012-11-15",
> auto.assign = FALSE)
> GE$SMA50  = SMA(Cl(GE), n = 50)
> GE$CrossBack  = Cl(GE) - GE$SMA50
> GE = GE["2012-07-15/"]
> magicGoLongDay = "2012-07-23"
>
> currency("USD")
> stock(tickerSymbol, currency="USD", multiplier=1)
> rm.strat(strategyStr)
> initDate = index(GE[1]) - 1
> initPortf(name=strategyStr, symbols=tickerSymbol, initDate=initDate,
> currency="USD")
> initAcct(name=strategyStr, portfolios=strategyStr, initDate=initDate,
> initEq=1e4, currency="USD")
> initOrders(portfolio=strategyStr, initDate=initDate)
> strategy(strategyStr, store=TRUE)
>
> zeros = xts(rep(0,nrow(GE)), order.by=index(GE))
> chartSeries(GE, TA="addTA(GE$SMA50, on=1, col=6);addTA(GE$CrossBack,
> col=6);addTA(zeros, on=2, col=7);")
>
> # The indicator function.  Force a TRUE value on 6/5/2012
> myIndicator <- function(n=2)
> {
>   indicator = xts(x=rep(0, nrow(GE)), order.by=index(GE) )
>   names(indicator) = "indValue"
>   indicator[magicGoLongDay, "indValue"] = 1
>   return( indicator[, "indValue"] )
> }
>
> add.indicator(strategy=strategyStr, name="myIndicator",
> arguments=list(n=2), label="indLabel")
>
> add.signal(
>   strategy=strategyStr,
>   name="sigThreshold",
>   arguments=list(
>     column       = "CrossBack",
>     relationship = "lt",
>     threshold    = 0,
>     cross        = TRUE
>   ),
>   label="sig.price.lt.sma50"
> )
>
> add.signal(
>   strategy=strategyStr,
>   name="sigThreshold",
>   arguments=list(
>     column       = "indValue.indLabel",
>     relationship = "eq",
>     threshold    = 1,
>     cross        = TRUE
>   ),
>   label="goLong"
> )
>
>
> # Exit remaining when price crosses below on SMA50
> add.rule(strategy=strategyStr, name='ruleSignal',
>   arguments = list(
>     sigcol      = "sig.price.lt.sma50",
>     sigval      = TRUE,
>     replace     = FALSE,
>     orderside   = 'long',
>     ordertype   = 'market',
>     orderqty    = 'all',
>     prefer      = 'Open'
>   ),
>   type    = 'exit',
>   label   = 'ExitPriceLTSMA50'
> )
>
> # Exit 1 unit as an initial profit target
> add.rule(strategy=strategyStr, name='ruleSignal',
>   arguments = list(
>     sigcol    = 'goLong',
>     sigval    = TRUE,
>     replace   = FALSE,
>     orderside = 'long',
>     ordertype = 'limit',
> #   ruletype  = 'exit',   # Is this order ambiguous?
>     tmult     = FALSE,
>     threshold = 1.00,
>     orderqty  = 1,
>     prefer    = 'Open'
>   ),
>   type    = 'chain',
>   parent  = 'EnterLong',
>   label   = 'TakeProfit'
> )
>
> # Go long 2 shares when we have long signal
> add.rule(strategy=strategyStr, name = 'ruleSignal',
>   arguments = list(
>     sigcol    = 'goLong',
>     sigval    = TRUE,
>     orderside = 'long' ,
>     ordertype = 'market',
>     orderqty  = 2,
>     prefer    = 'Open'
>   ),
>   type  = 'enter',
>   label = 'EnterLong'
> )
>
> out = applyStrategy(strategy=strategyStr, portfolios=strategyStr,
> verbose=TRUE, debug=TRUE)
>
> # Calculate P&L and resulting equity with blotter
> dateRange=paste(
>            as.character(index(first(GE))-1),
>            '::',
>            as.character(index(last(GE))+1),
>            sep='')
>
> updatePortf(strategyStr, Dates = dateRange)
> updateAcct(strategyStr,  Dates = dateRange)
> updateEndEq(strategyStr, Dates = dateRange)
>
> obook        = getOrderBook(portfolio=strategyStr)
> transactions = getTxns(Portfolio=strategyStr, Symbol=tickerSymbol)
>
>         [[alternative HTML version deleted]]
>
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