[R-SIG-Finance] Adding "Stoploss disabled" to the parameter distribution for apply.paramset

[Atakan Okan]

Tried doing a simple MACD Long-only strategy but couldn't manage to get it working. The take profit rule doesn't seem to work as well, since changing its threshold does not affect the net pnl. Below is a minimal (as much as I could) reproducible code:


#AAPL google finance data
#MACD cross


library(quantmod)
library(xts)
library(quantstrat)


getSymbols("AAPL", src = "google")
plot(Cl(AAPL))


.strategy <- new.env()
.blotter  <- new.env()                            


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


strategy.st <- "reproducible_strategy"
rm.strat(strategy.st)                                                      


initDate = as.character(as.Date(index(AAPL[1])-1))                    
initPortf(strategy.st, 
          "AAPL", 
          initDate=initDate, 
          currency = "USD")
initAcct(strategy.st, 
         portfolios=strategy.st, 
         initDate=initDate, 
         initEq=1000, 
         currency = "USD")
initOrders(portfolio=strategy.st,
           initDate=initDate)                         
strategy(strategy.st,store=TRUE)


txn.model <- 0


add.indicator(strategy.st,  
              name = "MACD", 
              arguments = list(x=Cl(AAPL)), 
              label='macd') 


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


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


# Long Entry Rule-----------------------------------------------------------------------------
add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="macd.gt.signal",
                          sigval=TRUE,
                          prefer="Open", 
                          orderqty= 10, 

                          ordertype='market',
                          orderside='long',
                          orderset='ocolong',
                          TxnFees = 0),
         type='enter',
         label='longenter',
         enabled=FALSE

)


# Long Exit Rule-------------------------------------------------------------------
add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="macd.lt.signal",
                          sigval=TRUE,
                          prefer="Open", 
                          orderqty='all',
                          ordertype='market',
                          orderside='long',
                          orderset='ocolong',
                          TxnFees = 0),
         type='exit',
         label='longexit',
         enabled=FALSE

)






# Long Take Profit Rule
TakeProfitDistanceRANGE <- seq(1,5,by=4)
longTakeProfitDistance <- TakeProfitDistanceRANGE[1]


add.rule(strategy.st, name = "ruleSignal",
         arguments = list(sigcol="macd.lt.signal",
                          sigval=TRUE,
                          ordertype="limit",
                          orderside="long",
                          replace=FALSE,
                          tmult=FALSE,
                          threshold=quote(longTakeProfitDistance), 
                          orderqty="all",
                          orderset="ocolong",
                          TxnFees = 0),
         type = "chain", 
         parent="longenter",
         label = "TakeProfitLong",
         enabled = FALSE
)






#Optimization----------------------------------------------------
paramset.label.name <- "MACD_OPT"
macdSignalRANGE <-   seq(50,100,by=10)




#MACD Signal Distribution
add.distribution(strategy.st,
                 paramset.label = paramset.label.name,
                 component.type = 'indicator',
                 component.label = "macd",
                 variable = list( nSig = macdSignalRANGE ),
                 label = "macdSignalRANGE")


#Long Take Profit Optimization
add.distribution(strategy.st,
                 paramset.label = paramset.label.name,
                 component.type = "chain",
                 component.label = "TakeProfitLong",
                 variable = list( threshold = TakeProfitDistanceRANGE ),
                 label = "TakeProfitLONG")


#Long TP On/Off
add.distribution( strategy=strategy.st,
                  paramset.label = paramset.label.name,
                  component.type = 'chain',
                  component.label = 'TakeProfitLong',
                  variable = list(enabled = c(TRUE,FALSE)),
                  label = 'TPOnOff'
)




enable.rule(strategy.st,type="enter",label="longenter", enable = TRUE) 
enable.rule(strategy.st,type="exit",label="longexit", enable = TRUE)
enable.rule(strategy.st,type="chain",label="TakeProfitLong", enable = TRUE)
summary(getStrategy(strategy.st))                                              




if (Sys.info()["sysname"] == "Windows"){
  library(doSNOW)
  cl <- makeCluster(4)

  registerDoSNOW(cl)                                     
}
if(Sys.info()["sysname"] == "Linux") {
  library(doMC)
  registerDoMC(cores=4)
  getDoParWorkers()
}


results <- apply.paramset(strategy.st,
                          paramset.label=paramset.label.name,
                          portfolio=strategy.st, 
                          account=strategy.st,
                          nsamples=0,
                          verbose = TRUE,
                          calc = "slave")


if(Sys.info()["sysname"] == "Windows"){  snow::stopCluster(cl) }


results.df <- data.frame(results$tradeStats)