[R-SIG-Finance] A simple variant of Luxor strategy with Dukascopy data

[Tsvetan Stoyanov]

Hi,

I am trying to replicate Table 3.1 in Jaekle&Tomasini using quantstrat and Dukascopy data.
While I have similar percentage of winning trades, net profit and drawdown are quite different.
For example, they have P&L of ~$66,000 while i get ~$19,500 for a period from 2003-05-04 to 2008-07-06
which is half a year shorter than their period.

It should not make such a difference I think, unless they used substantially different data. 

The trade stats quantstrat code are included bellow, where I have set .threshold = 0.0001,  
to reduce slippage and set .txnfees = 0.

I am new to quantstrat and will appreciate some help in reconciling this difference.

Thanks,
Tsvetan

> t(tradeStats(portfolio.st, 'GBPUSD'))
                  GBPUSD        
Portfolio          "luxor.simple"
Symbol             "GBPUSD"      
Num.Txns           "4080"        
Num.Trades         "2038"        
Net.Trading.PL     "19486"       
Avg.Trade.PL       "9.561335"    
Med.Trade.PL       "-144.5"      
Largest.Winner     "4018"        
Largest.Loser      "-2002"       
Gross.Profits      "548109"      
Gross.Losses       "-528623"     
Std.Dev.Trade.PL   "753.0498"    
Percent.Positive   "37.43867"    
Percent.Negative   "62.56133"    
Profit.Factor      "1.036862"    
Avg.Win.Trade      "718.3604"    
Med.Win.Trade      "492.5"       
Avg.Losing.Trade   "-414.6063"   
Med.Losing.Trade   "-334"        
Avg.Daily.PL       "15.97213"    
Med.Daily.PL       "-113.5"      
Std.Dev.Daily.PL   "941.3955"    
Ann.Sharpe         "0.2693339"   
Max.Drawdown       "-20481"      
Profit.To.Max.Draw "0.9514184"   
Avg.WinLoss.Ratio  "1.732633"    
Med.WinLoss.Ratio  "1.474551"    
Max.Equity         "29675.5"     
Min.Equity         "-11539"      
End.Equity         "19486” 


————— luxor.simple.R --------------------

Sys.setenv(TZ="UTC")
library(quantstrat)

## ------------------------------------------------------------------------
initDate = '2003-05-04'
.from=initDate
##.to='2003-05-18' # 2 weeks
##.to='2003-07-27' # 12 weeks
##.to='2004-05-02' # 52 weeks
.to='2008-07-06' # 5 years

source('load.gbpusd.R') # load GBPUSD data

## setup 
currency(c('GBP', 'USD'))
exchange_rate('GBPUSD', tick_size=0.0001)

## moving average lengths
.fast = 10
.slow = 30

# trade parameters
.threshold = 0.0001
.orderqty = 100000
.txnfees = 0  # round-trip fee

## 
strategy.st = 'luxor.simple'
portfolio.st = strategy.st
account.st = strategy.st

## ------------------------------------------------------------------------
rm.strat(portfolio.st)
rm.strat(account.st)

## ----results='hide'------------------------------------------------------
initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st,initDate=initDate,currency='USD')
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)


## ----results='hide'------------------------------------------------------
add.indicator(strategy.st, name = "SMA",
	arguments = list(
		x = quote(Cl(mktdata)[,1]),
		n = .fast
	),
	label="nFast"
)

## ----results='hide'------------------------------------------------------
add.indicator(strategy.st, name="SMA",
	arguments = list(
		x = quote(Cl(mktdata)[,1]),
		n = .slow
	),
	label="nSlow"
)


## ----results='hide'------------------------------------------------------
add.signal(strategy.st, name='sigCrossover',
	arguments = list(
		columns=c("nFast","nSlow"),
		relationship="gte"
	),
	label='long'
)

## ----results='hide'------------------------------------------------------
add.signal(strategy.st, name='sigCrossover',
	arguments = list(
		columns=c("nFast","nSlow"),
		relationship="lt"
	),
	label='short'
)


## ----results='hide'------------------------------------------------------
add.rule(strategy.st, name='ruleSignal',
   arguments=list(sigcol='long' , sigval=TRUE,
       orderside='long' ,
       ordertype='stoplimit',
       prefer='High',
       threshold=.threshold,
       orderqty=+.orderqty,
       replace=FALSE
       ),
   type='enter',
   label='EnterLONG'
)


## ----results='hide'------------------------------------------------------
add.rule(strategy.st, name='ruleSignal',
   arguments=list(sigcol='short', sigval=TRUE,
       orderside='short',
       ordertype='stoplimit',
       prefer='Low',
       threshold=-.threshold,
       orderqty=-.orderqty,
       replace=FALSE
       ),
   type='enter',
   label='EnterSHORT'
)


## ----results='hide'------------------------------------------------------
add.rule(strategy.st, name='ruleSignal',
	arguments=list(sigcol='short', sigval=TRUE,
		orderside='long' ,
		ordertype='market',
		orderqty='all',
		TxnFees=.txnfees,
		replace=TRUE
	),
	type='exit',
	label='Exit2SHORT'
)


## ----results='hide'------------------------------------------------------
add.rule(strategy.st, name='ruleSignal',
	arguments=list(sigcol='long' , sigval=TRUE,
		orderside='short',
		ordertype='market',
		orderqty='all',
		TxnFees=.txnfees,
		replace=TRUE
	),
	type='exit',
	label='Exit2LONG'
)


## ----results='hide'------------------------------------------------------
out <- applyStrategy(strategy.st, portfolio.st)

updatePortf(portfolio.st, Symbols='GBPUSD')
updateAcct(account.st) #,Dates=period.st)
updateEndEq(account.st) #,Dates=period.st)

View(t(tradeStats(portfolio.st, 'GBPUSD')))