# call all the packages we might need
require(quantstrat)
require(PerformanceAnalytics)
rm(list = ls())
# Remove any previous remnants and set up environments
try(rm("account.turtles","portfolio.turtles",pos=.blotter),silent=TRUE)
try(rm("order_book.turtles",pos=.strategy),silent=TRUE)
try(rm("portfolio","account","N","symbol","symbols","ClosePrice","CurrentDate","equity","Units","maxUnits","size","Stop","equity","TxnPrice","initDate","initEq","Posn","verbose"),silent=TRUE)
if (!exists('.blotter')) .blotter <- new.env()
if(!exists('.strategy')) .strategy <- new.env()
if(!exists('.instrument')) .instrument <- new.env()

# Set initial values
initDate="2000-01-01"
initEq=10^7

# Read in the data and make it appropriate for analysis
symbols = c("Nifty","Gold")
csvname <- ('C:/Users/nissim/Desktop/Gold.csv')
Gold <- read.csv(csvname,header=TRUE,sep = ",")
Gold <- xts(Gold[,(ncol(Gold)-3):ncol(Gold)],order.by=as.Date(Gold$Date, format = "%d/%m/%Y"))

csvname <- ('C:/Users/nissim/Desktop/Nifty.csv')
Nifty <- read.csv(csvname,header=TRUE,sep = ",")
Nifty <- xts(Nifty[,(ncol(Nifty)-3):ncol(Nifty)],order.by=as.Date(Nifty$Date, format = "%d/%m/%Y"))

# csvname <- ('C:/Users/nissim/Desktop/Crude.csv')
# Crude <- read.csv(csvname,header=TRUE,sep = ",")
# Crude <- xts(Crude[,(ncol(Crude)-3):ncol(Crude)],order.by=as.Date(Crude$Date, format = "%d/%m/%Y"))
# # 
# csvname <- ('C:/Users/nissim/Desktop/Silver.csv')
# Silver <- read.csv(csvname,header=TRUE,sep = ",")
# Silver <- xts(Silver[,(ncol(Silver)-3):ncol(Silver)],order.by=as.Date(Silver$Date, format = "%d/%m/%Y"))
# 
# csvname <- ('C:/Users/nissim/Desktop/USDINR.csv')
# USDINR <- read.csv(csvname,header=TRUE,sep = ",")
# USDINR <- xts(USDINR[,(ncol(USDINR)-3):ncol(USDINR)],order.by=as.Date(USDINR$Date, format = "%d/%m/%Y"))

currency("INR")

for(symbol in symbols){
  stock(symbol, currency="INR",multiplier=1)
}

portfolio = "turtles" 
initPortf(name=portfolio,symbols, initDate=initDate)
account = "turtles"
initAcct(name=account,portfolios="turtles", initDate=initDate, initEq=initEq)
initOrders(portfolio='turtles',symbols=symbols,initDate=initDate)
for(symbol in symbols){
  
  x=get(symbol)
  # Entries 
  x$EntryLong1 <- lag(runMax(x[,grep('High',colnames(x))], 5))
  x$EntryShort1 <- lag(runMin(x[,grep('Low',colnames(x))], 5))
  
  # Exits
  x$ExitLong <- lag(runMin(x[,grep('Low',colnames(x))], 2))
  x$ExitShort <- lag(runMax(x[,grep('High',colnames(x))], 2))
    
  # Position Size Parameter c('High','Low','Close')
  x$N <- lag(ATR(x[,c(2,3,4)], n=5, maType=EMA, wilder=TRUE)[,'atr'])
#   x$OrderSize <- 0.1*initEq/x$N
  
  x$EntryLong2 <- x$EntryLong1 + 0.5*x$N
  x$EntryLong3 <- x$EntryLong2 + 0.5*x$N
  x$EntryLong4 <- x$EntryLong3 + 0.5*x$N
  
  x$EntryShort2 <- x$EntryShort1 - 0.5*x$N
  x$EntryShort3 <- x$EntryShort2 - 0.5*x$N
  x$EntryShort4 <- x$EntryShort3 - 0.5*x$N
  
  x$StopLossLong <- x$EntryLong1 - 2*x$N
  x$StopLossShort <- x$EntryShort1 + 2*x$N
  
  assign(symbol,x)
}

stratturtles <- strategy("turtles")  
# # Stop ATR indicator as per R-SIG-Finance 27/09/2012
# add.indicator(stratturtles, name = "stopATRLong", arguments = list(HLC=quote(HLC(mktdata)), n=5, maType="EMA", noATR=2))
# add.indicator(stratturtles, name = "stopATRShort", arguments = list(HLC=quote(HLC(mktdata)), n=5, maType="EMA", noATR=2))
# Long signals
stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("High","EntryLong1"),relationship="gt", cross=TRUE),
                           label="EntryLong1Sig")

stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("High","EntryLong2"),relationship="gt", cross=TRUE),
                           label="EntryLong2Sig")

stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("High","EntryLong3"),relationship="gt", cross=TRUE),
                           label="EntryLong3Sig")

stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("High","EntryLong4"),relationship="gt", cross=TRUE),
                           label="EntryLong4Sig")

# Short signals
stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("Low","EntryShort1"),relationship="lt", cross=TRUE),
                           label="EntryShort1Sig")
stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("Low","EntryShort2"),relationship="lt", cross=TRUE),
                           label="EntryShort2Sig")
stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("Low","EntryShort3"),relationship="lt", cross=TRUE),
                           label="EntryShort3Sig")
stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("Low","EntryShort4"),relationship="lt", cross=TRUE),
                           label="EntryShort4Sig")
# Long Exit
stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("Low","ExitLong"),relationship="lt", cross=TRUE),
                           label="ExitLongSig")

# Short Exit
stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("High","ExitShort"),relationship="gt", cross=TRUE),
                           label="ExitShortSig")

# Long Stop Loss
stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("Low","StopLossLong"),relationship="lt", cross=TRUE),
                           label="StopLossLongSig")

# Short Stop Loss
stratturtles <- add.signal(strategy = stratturtles, name="sigCrossover",
                           arguments = list(columns=c("High","StopLossShort"),relationship="gt", cross=TRUE),
                           label="StopLossShortSig")

## Add rules
# Add the rules for Long Entries
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="EntryLong1Sig", sigval=TRUE, orderqty=1000,ordertype='market', orderside= 'long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='enter', path.dep=TRUE)
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="EntryLong2Sig", sigval=TRUE, orderqty=1000,ordertype='market', orderside= 'long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='enter', path.dep=TRUE)
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="EntryLong3Sig", sigval=TRUE, orderqty=1000,ordertype='market', orderside= 'long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='enter', path.dep=TRUE)
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="EntryLong4Sig", sigval=TRUE, orderqty=1000,ordertype='market', orderside= 'long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='enter', path.dep=TRUE)

## Add the rules for Short Entries
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="EntryShort1Sig", sigval=TRUE, orderqty=-1000,ordertype='market', orderside= 'long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='enter', path.dep=TRUE)
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="EntryShort2Sig", sigval=TRUE, orderqty=-1000,ordertype='market', orderside= 'long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='enter', path.dep=TRUE)
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="EntryShort3Sig", sigval=TRUE, orderqty=-1000,ordertype='market', orderside= 'long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='enter', path.dep=TRUE)
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="EntryShort4Sig", sigval=TRUE, orderqty=-1000,ordertype='market', orderside= 'long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='enter', path.dep=TRUE)

## Add Exit rules
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="ExitLongSig", sigval=TRUE, orderqty='all',ordertype='market', orderside='long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='exit', path.dep=TRUE, replace = TRUE)

stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="ExitShortSig", sigval=TRUE, orderqty='all',ordertype='market', orderside='short', pricemethod='market', osFun = osMaxPos, replace=FALSE, orderset = 'altexits'),
                         type='exit', path.dep=TRUE, replace = TRUE)

## Add StopLoss rules
stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="StopLossLongSig", sigval=TRUE, orderqty='all',ordertype='market', orderside='long', pricemethod='market', osFun = osMaxPos,replace=FALSE, orderset = 'altexits'),
                         type='risk', path.dep=TRUE, replace = TRUE)

stratturtles <- add.rule(strategy = stratturtles, name='ruleSignal', 
                         arguments = list(sigcol="StopLossShortSig", sigval=TRUE, orderqty='all',ordertype='market', orderside='short', pricemethod='market', osFun = osMaxPos, replace=FALSE, orderset = 'altexits'),
                         type='risk', path.dep=TRUE, replace = TRUE)

## 
addPosLimit('turtles',symbol=symbols,timestamp='2000-01-01',maxpos=4000, minpos = -4000)

out<-applyStrategy(strategy=stratturtles , portfolios='turtles',symbols=symbols)
updatePortf(Portfolio='turtles',Symbols=symbols)
portRet <- PortfReturns("turtles")
portRet$Total <- rowSums(portRet, na.rm=TRUE)
charts.PerformanceSummary(portRet$Total)
tradeStats('turtles')