[R-SIG-Finance] Ilya's Kipnis blog (quantstrat)
Bos, Roger
roger.bos at rothschild.com
Tue Aug 26 19:34:02 CEST 2014
Ilya,
Thanks for your blog, it looks interesting. I tried running the code in your latest blog entry and got an error in the applyStrategy line.
> out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
Error in `[.xts`(x, seq_len(xlen - n)) : subscript out of bounds
Here is my sessionInfo:
R version 3.1.1 (2014-07-10)
Platform: x86_64-w64-mingw32/x64 (64-bit)
locale:
[1] LC_COLLATE=English_United States.1252
[2] LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C
[5] LC_TIME=English_United States.1252
attached base packages:
[1] datasets tools utils stats graphics grDevices
[7] methods base
other attached packages:
[1] quantstrat_0.8.2 foreach_1.4.2
[3] blotter_0.8.19 PerformanceAnalytics_1.1.0
[5] FinancialInstrument_1.1.9 quantmod_0.4-0
[7] TTR_0.22-0 Defaults_1.1-1
[9] Rpad_1.3.0 formatR_0.10
[11] dplyr_0.2 reshape2_1.4
[13] ggplot2_1.0.0 xts_0.9-7
[15] zoo_1.7-11 XLConnect_0.2-7
[17] timeDate_3010.98 R2HTML_2.2.1
[19] RODBC_1.3-10 quadprog_1.5-5
[21] prettyR_2.0-8 MASS_7.3-33
[23] fortunes_1.5-2 corpcor_1.6.6
loaded via a namespace (and not attached):
[1] assertthat_0.1 codetools_0.2-8 colorspace_1.2-4
[4] digest_0.6.4 grid_3.1.1 gtable_0.1.2
[7] iterators_1.0.7 lattice_0.20-29 magrittr_1.0.1
[10] munsell_0.4.2 parallel_3.1.1 plyr_1.8.1
[13] proto_0.3-10 Rcpp_0.11.2 rJava_0.9-6
[16] scales_0.2.4 stringr_0.6.2
Here is the complete code I tried to run (I pasted in the code for demoData.R so there is only one file (for simplicity):
require(DSTrading)
require(IKTrading)
require(quantstrat)
require(PerformanceAnalytics)
initDate="1990-01-01"
from="2003-01-01"
to="2010-12-31"
options(width=70)
verbose=TRUE
### start demoData.R
options("getSymbols.warning4.0"=FALSE)
rm(list=ls(.blotter), envir=.blotter)
initDate='1990-12-31'
currency('USD')
Sys.setenv(TZ="UTC")
symbols <- c("XLB", #SPDR Materials sector
"XLE", #SPDR Energy sector
"XLF", #SPDR Financial sector
"XLP", #SPDR Consumer staples sector
"XLI", #SPDR Industrial sector
"XLU", #SPDR Utilities sector
"XLV", #SPDR Healthcare sector
"XLK", #SPDR Tech sector
"XLY", #SPDR Consumer discretionary sector
"RWR", #SPDR Dow Jones REIT ETF
"EWJ", #iShares Japan
"EWG", #iShares Germany
"EWU", #iShares UK
"EWC", #iShares Canada
"EWY", #iShares South Korea
"EWA", #iShares Australia
"EWH", #iShares Hong Kong
"EWS", #iShares Singapore
"IYZ", #iShares U.S. Telecom
"EZU", #iShares MSCI EMU ETF
"IYR", #iShares U.S. Real Estate
"EWT", #iShares Taiwan
"EWZ", #iShares Brazil
"EFA", #iShares EAFE
"IGE", #iShares North American Natural Resources
"EPP", #iShares Pacific Ex Japan
"LQD", #iShares Investment Grade Corporate Bonds
"SHY", #iShares 1-3 year TBonds
"IEF", #iShares 3-7 year TBonds
"TLT" #iShares 20+ year Bonds
)
#SPDR ETFs first, iShares ETFs afterwards
if(!"XLB" %in% ls()) {
suppressMessages(getSymbols(symbols, from="2003-01-01", to="2010-12-31", src="yahoo", adjust=TRUE))
}
stock(symbols, currency="USD", multiplier=1)
### end demoData.R
#trade sizing and initial equity settings
tradeSize <- 100000
initEq <- tradeSize*length(symbols)
strategy.st <- portfolio.st <- account.st <- "Cycle_RSI_I"
rm.strat(portfolio.st)
rm.strat(strategy.st)
initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)
#parameters
nRSI=2
RSIentry=10
RSIexit=70
nSMA=200
period=10
pctATR=.04
#indicators
add.indicator(strategy.st, name="lagATR",
arguments=list(HLC=quote(HLC(mktdata)), n=period),
label="atrX")
add.indicator(strategy.st, name="SMA",
arguments=list(x=quote(Cl(mktdata)), n=nSMA),
label="SMA")
add.indicator(strategy.st, name="CycleRSI",
arguments=list(x=quote(Cl(mktdata)), n=nRSI),
label="RSI")
#signals
add.signal(strategy.st, name="sigComparison",
arguments=list(columns=c("Close", "SMA"), relationship="gt"),
label="ClGtSMA")
add.signal(strategy.st, name="sigThreshold",
arguments=list(column="CycleRSI.RSI", threshold=RSIentry,
relationship="lt", cross=FALSE),
label="RSIltEntryThresh")
add.signal(strategy.st, name="sigAND",
arguments=list(columns=c("ClGtSMA", "RSIltEntryThresh"),
cross=TRUE),
label="longEntry")
add.signal(strategy.st, name="sigCrossover",
arguments=list(columns=c("Close", "SMA"), relationship="lt"),
label="exitSMA")
add.signal(strategy.st, name="sigThreshold",
arguments=list(column="CycleRSI.RSI", threshold=RSIexit,
relationship="gt", cross=TRUE),
label="longExit")
#rules
#rules
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="longEntry", sigval=TRUE,
ordertype="market",
orderside="long", replace=FALSE,
prefer="Open", osFUN=osDollarATR,
tradeSize=tradeSize, pctATR=pctATR,
atrMod="X"),
type="enter", path.dep=TRUE)
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="longExit", sigval=TRUE,
orderqty="all", ordertype="market",
orderside="long", replace=FALSE,
prefer="Open"),
type="exit", path.dep=TRUE)
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="exitSMA", sigval=TRUE,
orderqty="all", ordertype="market",
orderside="long", replace=FALSE,
prefer="Open"),
type="exit", path.dep=TRUE)
#apply strategy
t1 <- Sys.time()
out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
t2 <- Sys.time()
print(t2-t1)
#set up analytics
updatePortf(portfolio.st)
dateRange <- time(getPortfolio(portfolio.st)$summary)[-1]
updateAcct(portfolio.st,dateRange)
updateEndEq(account.st)
agg.chart.ME <- function(Portfolio, Symbols, type=c("MAE", "MFE"), scale=c("cash", "percent", "tick")) {
type=type[1]
scale=scale[1]
trades <- list()
length(trades) <- length(Symbols)
for(Symbol in Symbols) {
trades[[Symbol]] <- pts <- perTradeStats(Portfolio=Portfolio, Symbol=Symbol, includeOpenTrade=FALSE)
}
trades <- do.call(rbind, trades)
trades$Pct.Net.Trading.PL <- 100 * trades$Pct.Net.Trading.PL
trades$Pct.MAE <- 100 * trades$Pct.MAE
trades$Pct.MFE <- 100 * trades$Pct.MFE
profitable <- (trades$Net.Trading.PL > 0)
switch(scale, cash = {
.ylab <- "Profit/Loss (cash)"
if (type == "MAE") {
.cols <- c("MAE", "Net.Trading.PL")
.xlab <- "Drawdown (cash)"
.main <- "Maximum Adverse Excursion (MAE)"
} else {
.cols <- c("MFE", "Net.Trading.PL")
.xlab <- "Run Up (cash)"
.main <- "Maximum Favourable Excursion (MFE)"
}
}, percent = {
.ylab <- "Profit/Loss (%)"
if (type == "MAE") {
.cols <- c("Pct.MAE", "Pct.Net.Trading.PL")
.xlab <- "Drawdown (%)"
.main <- "Maximum Adverse Excursion (MAE)"
} else {
.cols <- c("Pct.MFE", "Pct.Net.Trading.PL")
.xlab <- "Run Up (%)"
.main <- "Maximum Favourable Excursion (MFE)"
}
}, tick = {
.ylab <- "Profit/Loss (ticks)"
if (type == "MAE") {
.cols <- c("tick.MAE", "tick.Net.Trading.PL")
.xlab <- "Drawdown (ticks)"
.main <- "Maximum Adverse Excursion (MAE)"
} else {
.cols <- c("tick.MFE", "tick.Net.Trading.PL")
.xlab <- "Run Up (ticks)"
.main <- "Maximum Favourable Excursion (MFE)"
}
})
.main <- paste("All trades", .main)
plot(abs(trades[, .cols]), type = "n", xlab = .xlab, ylab = .ylab,
main = .main)
grid()
points(abs(trades[profitable, .cols]), pch = 24, col = "green",
bg = "green", cex = 0.6)
points(abs(trades[!profitable, .cols]), pch = 25, col = "red",
bg = "red", cex = 0.6)
abline(a = 0, b = 1, lty = "dashed", col = "darkgrey")
legend(x = "bottomright", inset = 0.1, legend = c("Profitable Trade",
"Losing Trade"), pch = c(24, 25), col = c("green", "red"),
pt.bg = c("green", "red"))
}
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-----Original Message-----
From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Daniel Cegielka
Sent: Tuesday, August 26, 2014 11:56 AM
To: Ilya Kipnis; R-Finance
Subject: Re: [R-SIG-Finance] Ilya's Kipnis blog (quantstrat)
2014-08-26 17:35 GMT+02:00 Ilya Kipnis <ilya.kipnis at gmail.com>:
>
> Daniel,
>
> Was this a response to somebody's question, or are you just sending a
> link for the purpose of knowledge? In any case, thanks.
No, I just shared a link with the group. Thanks for such an amazing blog!
Daniel
>
> -Ilya
>
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