#rm(list=ls())

require(quantstrat)
suppressWarnings(rm("order_book.macd",pos=.strategy))
suppressWarnings(rm("account.macd","portfolio.macd",pos=.blotter))
suppressWarnings(rm("accnt","p","ticker","stratMACD","initDate","initEq",'start_t','end_t'))

ticker='QQQ'
getSymbols("QQQ", src='yahoo', index.class=c("POSIXt","POSIXct"), from='2012-01-01')

#Loads QQQ DATA
initDate = '1990-01-02'

currency(c('USD'))
stock(ticker,'USD')

p='macd'
accnt='macd'
qty = 10000

initPortf(p,symbols=ticker, initDate=initDate)
initAcct(accnt,portfolios=p, initDate=initDate)
initOrders(portfolio=p,initDate=initDate)

strat<-p

# define the strategy
strategy(strat, store=TRUE)

# *********************************************************
# ATR Functions

#profit
test1 <- function(HLC, n=2, maType, mmstp=2){test1 <- 2 * ATR(HLC=HLC, n=n, maType=maType)}

#stop loss
# must use the [,1] in order to apply the multiplication only to the "tr" column. without this,
#  the entire frame gets multiplied by -1.  Also, this prevents creating another trueHigh and
#  trueLow column
test2 <- function(HLC, n=2, maType, mmstp=2){test2 <- -1* ATR(HLC=HLC, n=n, maType=maType)[,1]}	

# *********************************************************
# INDICATORS

# ATR used for stop (see notes above)
add.indicator(strat, name = "test1", arguments = list(HLC=quote(HLC(mktdata)[,1:3]), n=2, maType="SMA", mmstp=2))

# must use the [,c(1,3,5)] to get the real HLC data. When the first ATR indicator is run, it populates trueHigh and trueLow
#  data fields. the code doesn't know which column to look at for "low" and "high", since there are multiple instances of it
#  now due to the first run of the function on HLC data.  Thus, this bracketing tells it what columns to look for.  if you
#  had another function to the same call, you may need to run a "head(HLC(mktdata))" to understand what the columns look like
#  before the 3rd indicator call.  this solution is from: https://stat.ethz.ch/pipermail/r-sig-finance/2012q4/011103.html
add.indicator(strat, name = "test2", arguments = list(HLC=quote(HLC(mktdata)[,c(1,3,5)]), n=2, maType="SMA", mmstp=2))

#Highest close of the last n days
add.indicator(strat,name="runMax", arguments=list(x=quote(Cl(mktdata)),n=50,cumulative=FALSE), label="RmxrCompare")


# *********************************************************
# SIGNALS

# BUY if highest close of last n days is greater than today's close
add.signal(strat,name='sigComparison', arguments=list(columns=c("Close","RmxrCompare"), relationship="gte"),label='long')   # Signal to BUY


# *********************************************************
# RULES

#Enters LONG position
add.rule(strat, name = 'ruleSignal', arguments=list(sigcol='long', sigval=TRUE, orderside='long', ordertype='market',
		orderqty=qty, orderset='ocolong'), 
		type='enter', label='EnterLONG', storefun=FALSE)

# Stop Loss for LONG position. Stops if beyond some multiple of ATR (see notes above)
add.rule(strat,name='ruleSignal', arguments = list(sigcol='long',sigval=TRUE, orderqty='all', ordertype='stoplimit', 
		orderside='long', threshold='test1.ind.tr', tmult=FALSE, orderset='ocolong'), 
		type='risk',label='stoplimitexit-LONG',storefun=FALSE)

#end rules
####
#### ***************************************************************************************************************************************************************

applyStrategy(strat, portfolios=p,prefer='Open', verbose=FALSE)
updatePortf(p, Symbols=ticker, ,Dates=paste('::',as.Date(Sys.time()),sep=''))
print("Complete")

print("********")
print("********")
print("********")
print(head(mktdata))