[R-SIG-Finance] Moving Limit orders
Victor Montanez
syracusepro at verizon.net
Thu Apr 6 23:48:29 CEST 2017
Anyone has a complete system so I can test and play with? Thanks.
-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf
Of John Klingensmith
Sent: Thursday, April 06, 2017 4:47 PM
To: r-sig-finance <r-sig-finance at r-project.org>
Subject: [R-SIG-Finance] Moving Limit orders
Hi,
I am using the following packages quantstrat, IKTrading, DSTrading, along
with some other misc packages (see code). I am having trouble understanding
entering moving limits (kind of like trailing stops) to close the position.
When I enter a long (short) trade, I want a limit to close the position to
equal the moving average of the high (low). I want the limit price to equal
the current value of the moving average I am targeting - for long
trade: SMA.highMA, and for short trades: SMA.lowMA
I do plan to enter exit orders and stops, but I have not gotten that far
yet.
Here is my code:
require(quantstrat)
require(IKTrading)
require(DSTrading)
library(xlsx)
library(dygraphs)
library(htmltools)
library(knitr)
options(warn=1)
rm(list=ls(.blotter), envir = .blotter)
initDate = "2000-01-01"
from = "2012-01-01"
to = "2017-02-22"
currency('USD')
Sys.setenv(TZ="UTC")
#get symbols and set symbol currency and multiplyer
symbols <- "SPY"
suppressMessages(getSymbols(symbols, from = from, to = to))
stock(symbols, currency = "USD", multiplyer=1)
#trade sizing and initial equity settings tradeSize <- 100000 initEq <-
tradeSize*length(symbols)
strategy.st <- portfolio.st <- account.st <- "RSI_MR"
rm.strat(portfolio.st)
rm.strat(strategy.st)
initPortf(portfolio.st, symbols=symbols,initDate=initDate,currency="USD")
initAcct(account.st, portfolio = portfolio.st,initDate=initDate,
currency = "USD",initEq = initEq)
initOrders(portfolio.st,initDate=initDate)
strategy(strategy.st,store=TRUE)
MaxPos <- 1
lvls <- 1
addPosLimit(portfolio=portfolio.st, timestamp=initDate, symbol=symbols,
maxpos=MaxPos, longlevels=lvls, minpos=-MaxPos,
shortlevels=lvls)
#parameters
nRSI = 3
lowerThreshold = 15
upperThreshold = 85
lowerMinThreshold = 5
upperMaxThreshold = 95
nSMAofRSI = 5
nMaHi = 5
nMaLo = 5
nATR = 14
xATR = 3
##rsi.sma <- SMA(RSI(Cl(SPY),3),5, label = "rsima")
#indicators
add.indicator(strategy.st,name = "RSI",
arguments = list(price = quote(Cl(mktdata)),n = nRSI),
label = "rsi")
add.indicator(strategy.st,name = "SMA",
arguments = list(x = quote(RSI(Cl(SPY),nRSI)), n = nSMAofRSI),
label = "rsiMA")
add.indicator(strategy.st,name = "SMA",
arguments = list(x = quote(Hi(mktdata)),n = nMaHi),
label = "highMA")
add.indicator(strategy.st,name = "SMA",
arguments = list(x = quote(Lo(mktdata)),n = nMaLo),
label = "lowMA")
add.indicator(strategy.st, name = "ATR",
arguments=list(HLC = quote(HLC(mktdata)), n=nATR),
label = "atr" )
'/
test <- applyIndicators(strategy.st, mktdata = OHLC(SPY))
head(test,10)
'
#Signals
#Enter Long Signal 1
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "rsiMA", threshold = lowerThreshold,
relationship = "lt", cross=FALSE),
label = "rsiMAlowerThreshold")
#Enter Long Signal 2
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "rsiMA", threshold = lowerMinThreshold,
relationship = "gt", cross=FALSE),
label = "rsiMAlowerMINThreshold")
#Enter Long Signal 1&2
add.signal(strategy.st, name="sigAND",
arguments=list(columns=c("rsiMAlowerThreshold",
"rsiMAlowerMINThreshold"), cross=TRUE),
label="longEntry")
#Enter Short Signal 1
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "rsiMA", threshold = upperThreshold,
relationship = "gt", cross=FALSE),
label = "rsiMAupperThreshold")
#Enter Short Signal 2
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "rsiMA", threshold = upperMaxThreshold,
relationship = "lt", cross=FALSE),
label = "rsiMAmaxThreshold")
#Enter Short Signal 1&2
add.signal(strategy.st, name="sigAND",
arguments=list(columns=c("rsiMAupperThreshold",
"rsiMAmaxThreshold"),
cross=TRUE),
label="shortEntry")
#Exit Long Signal
add.signal(strategy.st, name = "sigComparison",
arguments = list(columns = c("High", "highMA"), relationship =
"gt"),
label = "normalExitLongFilter")
#Exit Short Signal
add.signal(strategy.st, name = "sigComparison",
arguments = list(columns = c("Low", "lowMA"), relationship =
"lt"),
label = "normalExitShortFilter")
#Rules
#LONG RULES
add.rule(strategy.st, name="ruleSignal",
arguments = list(sigcol = "longEntry",
sigval = TRUE,
orderqty = 1,
ordertype = "market",
orderside = "long",
replace = FALSE,
prefer = "Open",
osFUN = "osMaxPos",
orderset="ocolong"),
type = "enter", path.dep = TRUE,
label = "enterLong1")
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="longEntry",
sigval=TRUE,
ordertype="limit",
orderside="long",
replace=FALSE,
orderqty='all',
prefer = 'SMA.highMA',
#threshold = quote('SMA.highMA'),
#order.price=quote(mktdata$SMA.lowMA[timestamp]),
orderset="ocolong"),
type="chain",
parent="enterLong1",
label="takeProfitLong",
path.dep=TRUE)
#SHORT RULES
add.rule(strategy.st, name="ruleSignal",
arguments = list(sigcol = "shortEntry",
sigval = TRUE,
orderqty = -1,
ordertype = "market",
orderside = "short",
replace = FALSE,
prefer = "Open",
osFUN = "osMaxPos",
orderset="ocoshort"),
type = "enter", path.dep = TRUE,
label = "enterShort1")
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="shortEntry",
sigval=TRUE,
ordertype="limit",
orderside="short",
replace=FALSE,
orderqty='all',
prefer = 'SMA.lowMA',
#threshold = quote('SMA.lowMA'),
#order.price=quote(mktdata$SMA.lowMA[timestamp]),
orderset="ocoshort"),
type="chain",
parent="enterShort1",
label="takeProfitShort",
path.dep=TRUE)
#apply strategy
t1 <- Sys.time()
out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
t2 <- Sys.time()
print(t2-t1)
#set up analytics
updatePortf(portfolio.st)
dateRange <- time(getPortfolio(portfolio.st)$summary)[-1]
updateAcct(portfolio.st,dateRange)
updateEndEq(account.st)
Any help is appreciated!
Best,
John
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