[R-SIG-Finance] Using a custom Spread to execute onto the 2 underlying instruments - Quantstrat Help
Derek Wong
treydog999 at gmail.com
Mon Dec 22 04:50:43 CET 2014
Hi Joshua,
I thought that applyStrategy would not execute orders against the
synthetic because i was explicitly stating which symbols I wanted
orders put against. However orders were executing against it anyway. I
wouldn't mind if applyStrategy went through the symbols data but never
placed an order on it. Thank you for the suggestions I will give them
a try. I appreciate your answers.
Derek
On Mon, Dec 22, 2014 at 5:55 AM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> On Thu, Dec 11, 2014 at 1:31 AM, Derek Wong <treydog999 at gmail.com> wrote:
>> 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.
>>
> ?applyStrategy says that it will apply the strategy to every symbol in
> the portfolio, so I'm not sure why you expected it to only run on one
> symbol in the portfolio.
>
>> 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.
>>
> One thing you could try:
> Remove the synthetic spread from your portfolio object, and just use
> the synthetic spread data to manually create signals for each of the
> underlyings. Then call applyRules for each underlying and pass your
> signals via the signals argument to applyRules.
>
> Or, perhaps better still, you could keep only the synthetic spread in
> your portfolio, since your rules create orders on the underlyings.
> Then you might be able to leave the rest of your data unchanged.
>
> Note that both suggestions are just off the top of my head, since I
> don't have a Quandl token. Let me know if either of those suggestions
> help.
>
>>
>> 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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>
>
>
> --
> Joshua Ulrich | about.me/joshuaulrich
> FOSS Trading | www.fosstrading.com
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