[R-SIG-Finance] Fwd: quantstrat chain rule type

[Joshua Ulrich]

Stergios,

In addition to Ilya's correction of orderqty = -1, you need to
explicitly set the timezone of your R session using:
Sys.setenv(TZ="UTC").

If you do not do this, then the blotter portfolio xts object will be
initialized with your current system's timezone, but the timezone on
the GE data is "UTC" because it has a "Date" class index.  That causes
the chain rule's parent order price lookup to fail (because the
timestamps do not match).

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


On Fri, Aug 22, 2014 at 4:19 PM, stergios marinopoulos
<stergenator at gmail.com> wrote:
> (I mistakenly did not include r-sig-finance at r-project.org on the response.)
>
>
> Hi Ilya,
>
> I switched the orderqty as you suggested, but nothing changed.  That's
> usually something I try when I question the total position quantity and in
> my experience even if I had the wrong sign, it would still change the
> quantity.  But in this case, nothing changed.
>
> I do have the macd.R demo from the source working, which has a
> commented-out stoptrailing chaining rule.  I'll check out your example
> closely, and since it uses a limit order hopefully it should apply more
> directly to my case.
>
> Thanks for the ideas,
>
> BTW, I was reading http://quantstrattrader.wordpress.com/ earlier in day
> looking for clues to my problem.  That's a nice site.  Good work.
>
>
>
>
> --
> sm
> Stergios Marinopoulos
>
>
> On Fri, Aug 22, 2014 at 1:38 PM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
>
>> 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]]
>> >
>> > _______________________________________________
>> > 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.
>>
>
>         [[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.