[R-SIG-Finance] Using a custom Spread to execute onto the 2 underlying instruments - Quantstrat Help
Derek Wong
treydog999 at gmail.com
Thu Dec 11 08:31:48 CET 2014
Hello
I am having problems with using a spread to generate signals and rules
but then execute individually on the underlying. In my example case, I
am taking the SP500 E-mini future (ES) and the Dow E-mini future (YM)
calculating a custom spread function then using that for signal
generation using rolling std dev and mean for thresholds. There is not
very much documentation or demos on spreads and other synthetics that
are available in the Financial Instrument Package. Example code below.
I run into problems in the backtest runs and it runs the trade rules
for every symbol in the portfolio, symb1 (ES), symb2(YM), and the
custom spread symb1.symb2. I was expecting it to just run on
symb1.symb2 and by using the RuleSignal symbol field and specify
"symb1" and "symb2" for execution it would then execute on the
underlying themselves. Instead quantstrat applystrategy goes through
symb1, symb2, and symb1.symb2 and places trades on everything.
Is it possible to use a custom spread to execute on the underlying, if
so how? Am I mis-specifying or misusing the RuleSignal symbol
identifier field? because I am specifically stating I want to execute
symb1 long and symb2 short for a given signal or vice versa. I am not
specifying the symb1.symb2 at all for any of the RuleSignal executions
but they do trade.
Thanks
Derek
# attempt to create a pairs trading strategy using a spread from
Financial Instrument package.
# Based on a Notional Spread and Standard Devations from the rolling mean
require(quantstrat)
require(Quandl)
require(quantmod)
#### Data Prep ####
#get data from Quandl
symb1 <- Quandl("CHRIS/CME_ES1", type = "xts",
trim_start="2010-01-01", trim_end="2014-11-17")
symb2 <- Quandl("CHRIS/CME_YM1", type = "xts",
trim_start="2010-01-01", trim_end="2014-11-17")
#Trim and Format - Using settlement as Close value
symb1 <- symb1[,c(1,2,3,6)]
symb2 <- symb2[,c(1,2,3,6)]
colnames(symb1) <- c("Open", "High", "Low", "Close")
colnames(symb2) <- c("Open", "High", "Low", "Close")
#Clean data so only dates where both trades exist
merge <- cbind(symb1, symb2)
dates <- index(merge[complete.cases(merge),])
symb1<- symb1[dates]
symb2<- symb2[dates]
# -----------------------STRATEGY-------------------
#clean variables for reruns
suppressWarnings(rm("order_book.bbands",pos=.strategy))
suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st","stock.str","stratBBands","initDate","initEq",'start_t','end_t'))
#Initial values / parameters
initDate= index(symb1)[1]-1
initEq=100000
SD = 2 # how many standard deviations
N = 20 # length of moving average
#Initialize FinancialInstrument Objects
currency('USD')
future( primary_id = "symb1",
currency = "USD",
tick_size = .25,
multiplier = 50)
future( primary_id = "symb2",
currency = "USD",
tick_size = 1,
multiplier = 5)
#Create Spread Series
calcRatio <- function(x) {
#returns the ratio of notional close prices for 2 symbols
x1 <- get(x[1])
x2 <- get(x[2])
mult1 <- getInstrument(x[1])$multiplier
mult2 <- getInstrument(x[2])$multiplier
rat.Op <- ((mult1 * Op(x1))) / (mult2 * Op(x2))
rat.Hi <- ((mult1 * Hi(x1))) / (mult2 * Hi(x2))
rat.Lo <- ((mult1 * Lo(x1))) / (mult2 * Lo(x2))
rat.Cl <- ((mult1 * Cl(x1))) / (mult2 * Cl(x2))
ratio <- cbind(rat.Op, rat.Hi, rat.Lo, rat.Cl)
colnames(ratio) <- c("Open", "High", "Low", "Close")
return(ratio)
}
Ratio <- calcRatio(c("symb1", "symb2"))
#Initialize Spread (using notional ratio as hedge ratio)
spread(primary_id = "symb1.symb2",
currency = "USD",
members = c("symb1", "symb2"),
memberratio = list(1, as.numeric(-Cl(Ratio))) )
#Notional Ratio is also spread for trading
symb1.symb2 <- Ratio
#name strings
portfolio.st = 'bbands'
account.st = 'bbands'
#initialization of strategy objects ----
initPortf(portfolio.st, #portfolio Initiatlization
symbols = c("symb1.symb2", "symb1", "symb2"),
initDate = initDate,
currency = "USD",
initPosQty = 0)
initAcct(account.st, #account initialization
portfolios = portfolio.st,
initDate = initDate,
initEq = initEq)
initOrders(portfolio = portfolio.st, #orders initialize
initDate = initDate)
addPosLimit( portfolio = portfolio.st, # add position limit rules
symbol = 'symb1.symb2',
timestamp = initDate,
maxpos = 1,
longlevels = 1,
minpos = -1)
addPosLimit( portfolio = portfolio.st, # add position limit rules
symbol = 'symb1',
timestamp = initDate,
maxpos = 2,
longlevels = 1,
minpos = -2)
addPosLimit( portfolio = portfolio.st, # add position limit rules
symbol = 'symb2',
timestamp = initDate,
maxpos = 2,
longlevels = 1,
minpos = -2)
stratBBands <- strategy("bbands") # strategy object init
# Indicator
stratBBands <- add.indicator(
strategy = stratBBands,
name = "BBands",
arguments = list(
HLC = quote(HLC(mktdata)),
n = N,
sd = SD,
maType = "SMA"),
label = "BBands")
# #Indi Debug
# summary(stratBBands)
# start_t <- Sys.time()
# applyIndicators( strategy = stratBBands, mktdata = Ratio)
# end_t<-Sys.time()
# print("strat execution time:")
# print(end_t-start_t)
# Add signals:
stratBBands <- add.signal(
strategy = stratBBands,
name = "sigCrossover",
arguments = list(
columns = c("Close","up.BBands"),
relationship = "gt"),
label = "Cl.gt.UpperBand")
stratBBands <- add.signal(
strategy = stratBBands,
name = "sigCrossover",
arguments = list(
columns = c("Close","dn.BBands"),
relationship = "lt"),
label = "Cl.lt.LowerBand")
stratBBands <- add.signal(
strategy = stratBBands,
name = "sigCrossover",
arguments = list(
columns = c("High","Low", "mavg.BBands"),
relationship = "op"),
label = "Cross.Mid")
# #Signal Debug
# summary(stratBBands)
# start_t <- Sys.time()
# applySignals(strategy = stratBBands, mktdata =
applyIndicators(strategy = stratBBands, mktdata = Ratio))
# end_t<-Sys.time()
# print("strat execution time:")
# print(end_t-start_t)
# Rules -----
#Entry
stratBBands <- add.rule (
strategy = stratBBands,
name = "ruleSignal",
arguments = list(
sigcol = "Cl.gt.UpperBand",
sigval = TRUE,
orderqty = -1,
ordertype = "market",
orderside = "short",
symbol = "symb1",
replace = TRUE,
osFUN = osMaxPos),
type = "enter",
label = "ShortSpread_symb1")
stratBBands <- add.rule (
strategy = stratBBands,
name = "ruleSignal",
arguments = list(
sigcol = "Cl.gt.UpperBand",
sigval = TRUE,
orderqty = 1,
ordertype = "market",
orderside = "long",
symbol = "symb2",
replace = TRUE,
osFUN = osMaxPos),
type = "enter",
label = "ShortSpread_symb2")
stratBBands <- add.rule (
strategy = stratBBands,
name = "ruleSignal",
arguments = list(
sigcol = "Cl.lt.LowerBand",
sigval = TRUE,
orderqty = 1,
ordertype = "market",
orderside = "long"
symbol = "symb1",
replace = TRUE,
osFUN = osMaxPos),
type = "enter",
label = "LongSpread_symb1")
stratBBands <- add.rule (
strategy = stratBBands,
name = "ruleSignal",
arguments = list(
sigcol = "Cl.lt.LowerBand",
sigval = TRUE,
orderqty = -1,
ordertype = "market",
orderside = "short",
symbol = "symb2",
replace = TRUE,
osFUN = osMaxPos),
type = "enter",
label = "LongSpread_symb2")
# Exit
stratBBands <- add.rule(
strategy = stratBBands,
name = "ruleSignal",
arguments = list(
sigcol = "Cross.Mid",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
TxnFees = 0,
replace = TRUE),
type = "exit",
label = "Exit")
summary(stratBBands)
# Strategy Execution ----
start_t<-Sys.time()
out<-try(applyStrategy(strategy=stratBBands ,
portfolios="bbands"))
end_t<-Sys.time()
print("strat execution time:")
print(end_t-start_t)
# update portfolio
start_t<-Sys.time()
updatePortf(Portfolio='bbands',Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("updatePortf execution time:")
print(end_t-start_t)
#Chart
chart.Posn(Portfolio='bbands',Symbol="symb1")
plot(add_BBands(on=1,sd=SD,n=N))
chart.Posn(Portfolio='bbands',Symbol="symb2")
plot(add_BBands(on=1,sd=SD,n=N))
chart.Posn(Portfolio='bbands',Symbol="symb1.symb2")
plot(add_BBands(on=1,sd=SD,n=N))
#Stats
book <- getOrderBook("bbands")
stats <- tradeStats("bbands")
rets <- PortfReturns("bbands")
port <- getPortfolio("bbands")
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