Hi listers,

    I'm having some trouble to get quantstrat work on intraday data I'm
pulling out of Bloomberg. The orginal demo (rsi.R) came with quantstrat.pkg
works fine on daily data, but  when I try to replace the daily time series
with intraday data (30min OHLC):



currency("USD")
currency("EUR")
symbols = c("GCA" )#, "XAGUSD", "XPTUSD", "XPDUSD")
for(symbol in symbols){ # establish trade-able instruments
    stock(symbol, currency="USD",multiplier=1)
 getSymbols(symbol,src="Bloomberg", *bb.interval = "30"*,
bb.suffix="Curncy",*from=as.POSIXlt(Sys.time()-60*4000,"GMT"),*
* *
*to=as.POSIXlt(Sys.time(),"GMT")*)
}


> head(GCA)
                    GCA.Open GCA.High GCA.Low GCA.Close GCA.Volume
2012-01-23 20:07:00   1678.8   1681.1  1678.3    1679.9         65
2012-01-23 20:37:00   1680.0   1681.5  1680.0    1680.3         84
2012-01-23 21:07:00   1680.6   1680.6  1679.7    1679.7         15
2012-01-23 21:37:00   1680.3   1680.6  1680.3    1680.4          4
2012-01-23 22:07:00   1679.7   1681.1  1679.3    1681.1          3
2012-01-23 23:00:00   1680.6   1680.6  1680.4    1680.6          3


applyStrategy() seems generating bogus pnl even though applySignals and
applyRules seems working properly. Anyone can tell me how I can work around
with this and get it works around intraday data?



Regards,
Yuanhang

[code]

require(quantstrat)
require(RBloomberg)
suppressWarnings(rm("order_book.RSI",pos=.strategy))
suppressWarnings(rm("account.RSI","portfolio.RSI",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st
","stock.str","stratRSI","initDate","initEq",'start_t','end_t'))

# Initialize a strategy object
stratRSI <- strategy("RSI")

# Add an indicator
stratRSI <- add.indicator(strategy = stratRSI, name = "RSI", arguments =
list(price = quote(getPrice(mktdata)),n=2),  label="RSI")



# There are two signals:

stratRSI <- add.signal(strategy = stratRSI, name="sigThreshold",arguments =
list(threshold=55, column="RSI",relationship="gt",
cross=TRUE),label="RSI.gt.55")

stratRSI <- add.signal(strategy = stratRSI, name="sigThreshold",arguments =
list(threshold=55,
column="RSI",relationship="lt",cross=TRUE),label="RSI.lt.55")

stratRSI <- add.signal(strategy = stratRSI, name="sigThreshold",arguments =
list(threshold=45, column="RSI",relationship="gt",
cross=TRUE),label="RSI.gt.45")
# The second is when RSI is less than 10
stratRSI <- add.signal(strategy = stratRSI, name="sigThreshold",arguments =
list(threshold=45,
column="RSI",relationship="lt",cross=TRUE),label="RSI.lt.45")


# There are two rules:
#'## we would Use osMaxPos to put trade on in layers, or to a maximum
position.
# The first is to sell when the RSI crosses above the threshold
stratRSI <- add.rule(strategy = stratRSI, name='ruleSignal', arguments =
list(sigcol="RSI.gt.55", sigval=TRUE, orderqty=-1000, ordertype='market',
orderside='short', pricemethod='market', replace=FALSE), type='enter',
path.dep=TRUE)
stratRSI <- add.rule(strategy = stratRSI, name='ruleSignal', arguments =
list(sigcol="RSI.lt.55", sigval=TRUE, orderqty='all', ordertype='market',
orderside='short', pricemethod='market', replace=FALSE), type='exit',
path.dep=TRUE)


stratRSI <- add.rule(strategy = stratRSI, name='ruleSignal', arguments =
list(sigcol="RSI.lt.45", sigval=TRUE, orderqty=1000, ordertype='market',
orderside='long', pricemethod='market', replace=FALSE), type='enter',
path.dep=TRUE)
stratRSI <- add.rule(strategy = stratRSI, name='ruleSignal', arguments =
list(sigcol="RSI.gt.45", sigval=TRUE, orderqty='all', ordertype='market',
orderside='short', pricemethod='market', replace=FALSE), type='exit',
path.dep=TRUE)
#add changeable parameters


currency("USD")
currency("EUR")
symbols = c("GCA" )#, "XAGUSD", "XPTUSD", "XPDUSD")
for(symbol in symbols){ # establish trade-able instruments
    stock(symbol, currency="USD",multiplier=1)
getSymbols(symbol,src="Bloomberg", bb.interval = "30",
bb.suffix="Curncy",from=as.POSIXlt(Sys.time()-60*4000,"GMT"),
 to=as.POSIXlt(Sys.time(),"GMT"))
}

# you can test with something like this:
# applySignals(strategy=stratRSI,
mktdata=applyIndicators(strategy=stratRSI, mktdata=symbols[1]))


initDate=Sys.Date()-1
initEq=100000
port.st<-'RSI' #use a string here for easier changing of parameters and
re-trying

initPortf(port.st, symbols=symbols, initDate=initDate)
initAcct(port.st, portfolios=port.st, initDate=initDate)
initOrders(portfolio=port.st, initDate=initDate)

print("setup completed")

# Process the indicators and generate trades
start_t<-Sys.time()
out<-try(applyStrategy(strategy=stratRSI , portfolios=port.st,
parameters=list(n=2), verbose =FALSE ) )
end_t<-Sys.time()
print("Strategy Loop:")
print(end_t-start_t)

# look at the order book
#print(getOrderBook(port.st))

start_t<-Sys.time()
updatePortf(Portfolio=port.st,Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("trade blotter portfolio update:")
print(end_t-start_t)

# hack for new quantmod graphics, remove later
themelist<-chart_theme()
themelist$col$up.col<-'lightgreen'
themelist$col$dn.col<-'pink'
for(symbol in symbols){
    dev.new()
    chart.Posn(Portfolio=port.st,Symbol=symbol,theme=themelist)
    plot(add_RSI(n=2,RSIup=55,RSIdn=45))
}

###############################################################################
# R (http://r-project.org/) Quantitative Strategy Model Framework
#
# Copyright (c) 2009-2010
# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and
Joshua Ulrich
#
# This library is distributed under the terms of the GNU Public License
(GPL)
# for full details see the file COPYING
#
# $Id: rsi.R 621 2011-06-09 23:18:04Z gsee $
#
###############################################################################

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