[R-SIG-Finance] Trailing stop not working in R (Luxor example)

[Peter Neumaier]

I am trying to implement a trailing stop in the Luxor example.

I have tried many approaches to debug/find the error, i.e.

   - run with and without stoploss enabled
   - different levels of stoptrailingpercent
   - the list goes on

But my orderbook (ob.df at the of code) simply is not showing any trailing
stops executed.

Anyone got any suggestions why my trailing stop is not working? Here is my
code:


## ----results='hide'------------------------------------------------------
library(quantstrat)

options(width = 240)#options(warn=1)

Sys.setenv(TZ="UTC")
###
initDate = '2003-10-21'
.from='2012-01-01'
.to='2016-03-01'

currency(c('EUR', 'USD'))
exchange_rate('EURUSD', tick_size=0.0001)

# moving average lengths
.fast = 6
.slow = 21
# optimization range
.FastSMA = (1:30)
.SlowSMA = (20:80)
# trade parameters
.threshold = 0.0005
.orderqty = 100000
.txnfees = -6  # round-trip fee
# stop loss amount
.stoploss <- 0.30/100
# trading window
.timespan = 'T00:00/T23:59'
# number of optimization samples
.nsamples=80

## ------------------------------------------------------------------------portfolio.st
= 'forex'account.st = 'IB1'strategy.st = 'luxor'

.trailingStopPercent <- 0.001

rm.strat(portfolio.st)
rm.strat(account.st)
rm.strat(strategy.st)
## ----results='hide'------------------------------------------------------
initPortf(portfolio.st, symbols='EURUSD', initDate=initDate, currency='USD')
addPosLimit(portfolio=portfolio.st,symbol='EURUSD',
timestamp=initDate,maxpos=.orderqty)

    initAcct(account.st,portfolios=portfolio.st,initDate=initDate,currency='USD')
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)

getSymbols("EUR/USD", src="oanda", from=.from, to=.to,
index.class="POSIXct",adjust=T)

EURUSD = to.minutes30(EURUSD)
EURUSD = align.time(EURUSD, 1800)



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

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


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

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


add.rule(strategy.st, name = 'ruleSignal',
     arguments=list(sigcol='long' , sigval=TRUE,
                    replace=FALSE,
                    orderside='long' ,
                    ordertype='stoplimit',
                    prefer='High',
                    threshold=.threshold,
                    TxnFees=0,
                    orderqty=+.orderqty,
                    osFUN=osMaxPos,
                    orderset='ocolong'
     ),
     type='enter',
     timespan = .timespan,
     label='EnterLONG')


add.rule(strategy.st, name = 'ruleSignal',
     arguments=list(sigcol='short', sigval=TRUE,
                    replace=FALSE,
                    orderside='short',
                    ordertype='stoplimit',
                    prefer='Low',
                    threshold=.threshold,
                    TxnFees=0,
                    orderqty=-.orderqty,
                    osFUN=osMaxPos,
                    orderset='ocoshort'
     ),
     type='enter',
     timespan = .timespan,
     label='EnterSHORT')


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


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


add.rule(strategy.st, name = 'ruleSignal',
     arguments=list(sigcol='long' , sigval=TRUE,
                    replace=FALSE,
                    orderside='long',
                    ordertype='stoplimit',
                    tmult=TRUE,
                    threshold=quote(.stoploss),
                    TxnFees=.txnfees,
                    orderqty='all',
                    orderset='ocolong'
     ),
     type='chain', parent='EnterLONG',
     label='StopLossLONG',
     enabled=FALSE)

add.rule(strategy.st, name = 'ruleSignal',
     arguments=list(sigcol='long' , sigval=TRUE,
                    replace=FALSE,
                    orderside='long',
                    ordertype='stoptrailing',
                    tmult=TRUE,
                    threshold=quote(.trailingStopPercent),
                    orderqty='all',
                    orderset='ocolong'
     ),
     type='chain', parent='EnterLong',
     label='StopTrailingLong',
     enabled=FALSE)

add.rule(strategy.st, name = 'ruleSignal',
     arguments=list(sigcol='short' , sigval=TRUE,
                    replace=FALSE,
                    orderside='short',
                    ordertype='stoplimit',
                    tmult=TRUE,
                    threshold=quote(.stoploss),
                    TxnFees=.txnfees,
                    orderqty='all',
                    orderset='ocoshort'
     ),
     type='chain', parent='EnterSHORT',
     label='StopLossSHORT',
     enabled=FALSE)
# add.rule(strategy.st, name = 'ruleSignal',#
arguments=list(sigcol='short' , sigval=TRUE,#
replace=FALSE,#                         orderside='short',#
             ordertype='stoptrailing',#
tmult=TRUE,#
threshold=quote(trailingStopPercent),#
orderqty='all',#                         orderset='ocoshort'#
),#          type='chain', parent='EnterShort',#
label='StopTrailingShort',#          enabled=FALSE# )

enable.rule('luxor', 'chain', 'StopLoss')
enable.rule('luxor', 'chain', 'StopTrailingLong')


out <- applyStrategy(strategy.st, portfolio.st)
updatePortf(portfolio.st, Symbols='EURUSD',
        Dates=paste('::',as.Date(Sys.time()),sep=''))

ob <- getOrderBook(portfolio.st)$forex$EURUSD
ob.df <- data.frame(Date=time(ob),coredata(ob))
View(ob.df)

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