[R-SIG-Finance] Trailing stop not working in R (Luxor example)
Derek Wong
treydog999 at gmail.com
Mon Mar 7 01:44:31 CET 2016
Hi Peter,
I had submitted a problem with the trailing stop in quantstrat 2 weeks
ago. I have looked at the code in the orders.R and ruleproc.R and
still have not discovered the problem. It does not update on every
higher high, or lower low. But in a more jumpy fashion, especially if
you use prefer= anything other than close. Although diving in to that
code, the logic seemed correct. I just have not found that the
trailingstop is reliable at this time in quantstrat.
-Derek
On Mon, Mar 7, 2016 at 12:47 AM, Peter Neumaier
<peter.neumaier at gmail.com> wrote:
> 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)
>
> [[alternative HTML version deleted]]
>
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