[R-SIG-Finance] Trailing Stop Loss Execution at Custom Levels
Brian G. Peterson
brian at braverock.com
Tue May 24 19:03:02 CEST 2016
Add a custom price column either before calling applyStrategy or
preferably using an indicator and set a prefer= argument for which price
to use as the reference price for your stop order.
On Tue, 2016-05-24 at 19:39 +0300, Atakan Okan wrote:
> 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'
> )
>
>
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