[R-SIG-Finance] Trailing Stop Loss Execution at Custom Levels

[Atakan Okan]

Hi r-sig-finance,

I want Trailing stops to execute at levels different than the default level, which I assume is the High-TrailingStopDistance. How can I implement trailing stops that get executed at levels different than this? For example: ((High-TrailingStopDistance)+Low)/2 or at the Low of the bar (maybe for stress testing). Below is a reproducible example with prefer=".." arguments commented out. I tried using the prefer argument with different levels such as "High","Low","Open" in add.rule() with ordertype argument passed as "stoptrailing". 

Any help is appreciated, thanks.

Atakan Okan

Code:

library(quantstrat) 
Sys.setenv(TZ="UTC")                                                                                 
.strategy<- new.env();.blotter<- new.env()                                                                                                                             

currency('USD')                                                                                                                                                                      
stock("AAPL", currency="USD", multiplier=1,tick_size= 0.01)

getSymbols('AAPL',src = 'yahoo', from="2014-01-01", to="2015-05-31")
AAPL <- adjustOHLC(AAPL)

strategy.st <- paste("AAPL","SMA_D1",sep = "_")
rm.strat(strategy.st) 
initialEquity = 100000                                                                               
initDate = "2013-12-30" 
initPortf(strategy.st, "AAPL", initDate=initDate, currency = "USD")
initAcct(strategy.st, portfolios=strategy.st, initDate=initDate, initEq=initialEquity, currency = "USD")
initOrders(portfolio=strategy.st,initDate=initDate) 
strategy(strategy.st,store=TRUE)

txn.model <- 0    
positionSizeLong  =  1000     
positionSizeShort =  -1000

longStopLossDistance <- 0.025   
shortStopLossDistance <- 0.025  
longTrailingStopDistance <- 0.01
shortTrailingStopDistance <- 0.01

add.indicator(strategy.st,                                               
              name = "SMA",                                               
              arguments = list(x=Cl(eval(parse(text = "AAPL")))
                               ,n=5                                 
              ),                                                            
              label='fastsma')                                           

add.indicator(strategy.st,                                                 
              name = "SMA",                                                
              arguments = list(x=Cl(eval(parse(text = "AAPL")))
                               ,n=50                                
              ),                                                           
              label='slowsma')                                             

add.signal(strategy.st,
           name="sigCrossover",
           arguments = list(columns=c("fastsma","slowsma"),relationship="gt"),
           label="fastsma.gt.slowsma")                                                        

add.signal(strategy.st,
           name="sigCrossover",
           arguments = list(columns=c("fastsma","slowsma"),relationship="lt"),
           label="fastsma.lt.slowsma")

# Long Entry Rule-------------------------------------------------------------------
add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="fastsma.gt.slowsma",
                          sigval=TRUE,
                          prefer="Open", 
                          orderqty= positionSizeLong, 
                          #osFUN="osAllInLong",  
                          ordertype='market',
                          orderside='long',
                          orderset='ocolong',
                          TxnFees = txn.model),
         type='enter',
         label='longenter',
         enabled=TRUE
)

# Long Exit Rule-------------------------------------------------------------------
add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="fastsma.lt.slowsma",
                          sigval=TRUE,
                          prefer="Open", 
                          orderqty='all',
                          ordertype='market',
                          orderside='long',
                          orderset='ocolong',
                          TxnFees = txn.model),
         type='exit',
         label='longexit',
         enabled=TRUE
)

# Long StopLoss Rule---------------------------------------------------------------------------
add.rule(strategy.st,name='ruleSignal',
         arguments = list( sigcol="fastsma.lt.slowsma", sigval=TRUE,
                           replace=FALSE,
                           orderside='long',
                           ordertype='stoplimit',
                           tmult=TRUE,
                           threshold=quote( longStopLossDistance ),
                           orderqty='all',
                           orderset='ocolong',
                           TxnFees = txn.model),
         type='chain', parent="longenter",
         label='StopLossLong',
         enabled=TRUE)

# Long Trailing Stop Rule--------------------------------------------------------
add.rule(strategy.st, name = 'ruleSignal',
         arguments=list(sigcol="fastsma.lt.slowsma" , sigval=TRUE,
                        replace=FALSE,
                        orderside='long',
                        #prefer="High",
                        ordertype='stoptrailing',
                        tmult=TRUE,
                        threshold=quote(longTrailingStopDistance),
                        orderqty='all',
                        orderset='ocolong',
                        TxnFees = txn.model),
         type='chain', parent="longenter",
         label='StopTrailingLong',
         enabled=TRUE
)


# Short Entry Rule--------------------------------------------------------------------
add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="fastsma.lt.slowsma",
                          sigval=TRUE,
                          prefer="Open", 
                          orderqty=positionSizeShort, 
                          #osFUN="osAllInShort",  
                          ordertype='market',
                          orderside='short',
                          orderset='ocoshort',
                          TxnFees = txn.model),
         type='enter',
         label='shortenter',
         enabled=TRUE
)

# Short Exit Rule---------------------------------------------------------------------
add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="fastsma.gt.slowsma",
                          sigval=TRUE,
                          prefer="Open", 
                          orderqty='all',
                          ordertype='market',
                          orderside='short',
                          orderset='ocoshort',
                          TxnFees = txn.model),
         type='exit',
         label='shortexit',
         enabled=TRUE
)

# Short Stop Loss Rule-----------------------------------------------------------------
add.rule(strategy.st,name='ruleSignal',
         arguments = list( sigcol="fastsma.gt.slowsma", sigval=TRUE,
                           replace=FALSE,
                           orderside='short',
                           ordertype='stoplimit',
                           tmult=TRUE,
                           threshold=quote( shortStopLossDistance ),
                           orderqty='all',
                           orderset='ocoshort',
                           TxnFees = txn.model),
         type='chain', parent="shortenter",
         label='StopLossShort',
         enabled=TRUE)

# Short Trailing Stop Loss Rule-------------------------------------------------------
add.rule(strategy.st, name = 'ruleSignal',
         arguments=list(sigcol="fastsma.gt.slowsma" , sigval=TRUE,
                        replace=FALSE,
                        orderside='short',
                        #prefer="Open",
                        ordertype='stoptrailing',
                        tmult=TRUE,
                        threshold=quote( shortTrailingStopDistance),
                        orderqty='all',
                        orderset='ocoshort',
                        TxnFees = txn.model),
         type='chain', parent="shortenter",
         label='StopTrailingShort',
         enabled=TRUE
)



summary(getStrategy(strategy.st))                                              

applyStrategy( strategy=strategy.st , portfolios=strategy.st
               #,parameters=list(n = 5)
               ,verbose=TRUE)
updatePortf(strategy.st)
updateAcct(strategy.st)
updateEndEq(strategy.st)

results.df.2 <- data.frame(tradeStats(strategy.st))

chart.Posn(strategy.st, Symbol = "AAPL"
           , Dates = '2014-04-01::2014-06-25'
)