[R-SIG-Finance] Trailing stop not working in R (Luxor example)
Joshua Ulrich
josh.m.ulrich at gmail.com
Sat Mar 12 04:28:25 CET 2016
Hi Derek,
I just replied to your earlier email and wanted to note here that the
issue only seems to be with stoptrailing orders on OHLC data. Using
them on BBO data should work correctly.
Best,
Josh
On Sun, Mar 6, 2016 at 6:44 PM, Derek Wong <treydog999 at gmail.com> wrote:
> 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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>
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--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
R/Finance 2016 | www.rinfinance.com
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