[R-SIG-Finance] Specify time segment to calculate indicator and trade ?

[domodo]

hi,guys.
quantstrat is very powerful and convient when coding strategy and backtest
it with indicator and pre-define price pattern.but i'm not familiar with
specify the strategy to trade in a segment of trading-time,below are two
cases:
1)establish position from 10:00 to 14:00 only,and close position with
technical exits
2)get the highest and lowest price of the first hour of a day

for example,the strategy below is about price and single sma cross over.
for case 1,i should store price series' date&time in varible 'datetime' as:
[code]
datetime <- as.POSIXlt(index(C))
[/code]

set entry time segment as:
[code]
entrytime1 <- 10
entrytime2 <- 14
[/code]

and add some code below to judge whether the entry signal is in trading time
:
[code] 
signal <- ifelse(lag(C)>lag(MA) & lag(C,2)<lag(MA,2),1,
                 ifelse(lag(C)<lag(MA) & lag(C,2)>lag(MA,2),-1,0))

signal <- ifelse(signal>0 & datetime$hour>entrytime1 &
datetime$hour<entrytime2,1,0)
signal <- ifelse(signal<0 & datetime$hour>entrytime1 &
datetime$hour<entrytime2,-1,0)
[/code]

but the code above is not so elegant at all,and low-efficient.

for the case 2,i should code a function to calculate the first hour's
highest & lowest price of each day,my idea in this function is similiar
to code for case 1,that's, store price series's date&time as a POSIXlt
variable 'datetime',and judge whether hour == 10,min == 15,sec==0,but this
idea is also rough and low-efficient.

any help or tips please ?

below is the example strategy

[code] 
library(blotter)
library(quantstrat)

#initialize environtments
currency("USD")
startdate <- '2012-01-18 09:14:00'
finaldate <- '2012-01-19 15:14:00'

future("if2", currency = "USD", multiplier = 300,
tick_size = 0.2)
Sys.setenv(TZ = "UTC") 
rm(list=ls(envir=.blotter),envir=.blotter)
b.strategy <- "strategy"

try(rm(list=ls(pos=.blotter),pos=.blotter),silent=TRUE)
initPortf(b.strategy, "if2", initDate = startdate)
initAcct(b.strategy, portfolios = b.strategy, initDate = startdate, initEq =
1000000) 

ifBAC2 <- read.table("C:/ifBAC2.csv", head = F, sep =
",")
coredata <- ifBAC2[3:6]
rownames(coredata) <- as.POSIXlt(paste(ifBAC2[,1],ifBAC2[,2]))
ifxts <- as.xts(coredata)
colnames(ifxts) <-
c("open","high","low","close")
if2 <- ifxts['2012-01-18 09:15:00/2012-01-19 15:14:00']
if2$SMA15 <- SMA(Cl(if2),15)

#custom theme
myTheme <- chart_theme()
myTheme$col$dn.col <- "lightgreen"
myTheme$col$up.col <- "red"
myTheme$col$dn.border <- "grey"
myTheme$col$up.border <- "grey"

MA <- if2$SMA15
C <- Cl(if2)
O <- Op(if2)

#trading signal judgement
signal <- ifelse(lag(C)>lag(MA) & lag(C,2)<lag(MA,2),1,
                 ifelse(lag(C)<lag(MA) & lag(C,2)>lag(MA,2),-1,0))
signal[is.na(signal)] <- 0

#Bar-by-bar treatment
for( i in 1:nrow(if2) )
{
  currentDate <- time(if2)[i]
  
  equity<-getEndEq(b.strategy, currentDate)
  Posn <- getPosQty(b.strategy, Symbol='if2', Date=currentDate)
  #cat(as.character(i),"position on current bar is ",Posn, append = FALSE)
  
  if(!is.na(MA[i])) 
  {
    if( Posn == 0 & signal[i] == 1 ) { #no marketposition, and long signal
occurs 
      #long entry        
      openprice <- as.double((Op(if2[currentDate])))
      unitsize <- abs(as.numeric(trunc(equity/(openprice*300*0.15))))
      addTxn(b.strategy, Symbol='if2', TxnDate=currentDate,
             TxnPrice=openprice, TxnQty = unitsize ,
TxnFees=-openprice*300*0.00005*unitsize, verbose = F) 
    } 
    else if( Posn != 0 & signal[i] == -1 ) {
      #exit position
      openprice <- as.double((Op(if2[currentDate])))
      unitsize  <- abs(getPosQty(b.strategy, Symbol='if2',
Date=currentDate))        
      addTxn(b.strategy, Symbol='if2', TxnDate=currentDate,
             TxnPrice=openprice, TxnQty = -unitsize ,
TxnFees=-openprice*300*0.00005*unitsize, verbose = F) 
    }
  }
  
  updatePortf(b.strategy, Dates = currentDate)
  updateAcct(b.strategy, Dates = currentDate)
  updateEndEq(b.strategy, Dates = currentDate)
}

chart.Posn(b.strategy, Symbol = "if2", theme = myTheme, TA =
"add_SMA(n=15,col=4)")

txns <- getTxns(Portfolio = b.strategy, Symbol = "if2")
tstats <- tradeStats(Portfolio = b.strategy, Symbol = "if2")
[/code]

data format is as below

[code]

2012/1/18	9:15:00	2577.6	2580.6	2573.6	2577.2
2012/1/18	9:16:00	2577.2	2583.6	2577	2583.2
2012/1/18	9:17:00	2583.4	2583.8	2580.6	2580.8
2012/1/18	9:18:00	2580.8	2581.4	2576.4	2577
2012/1/18	9:19:00	2577	2582	2576.6	2580.4
2012/1/18	9:20:00	2580.4	2581.4	2578.2	2581
2012/1/18	9:21:00	2580.8	2580.8	2578.8	2580
2012/1/18	9:22:00	2580.2	2581	2579.4	2579.8
2012/1/18	9:23:00	2580	2584.4	2579.8	2583.6
2012/1/18	9:24:00	2583.8	2585.2	2576	2576.2
2012/1/18	9:25:00	2577	2579.8	2576.8	2579
2012/1/18	9:26:00	2578.8	2584.2	2578.8	2581.2
2012/1/18	9:27:00	2581	2582.2	2580.6	2581.6
2012/1/18	9:28:00	2581.6	2581.6	2578.8	2579.4
2012/1/18	9:29:00	2580	2583	2579.8	2581.4

[/code]



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