require(quantstrat)
require(quantmod)
require(blotter)

Sys.setenv(TZ="UTC")

# Setup
strategyName   = "MACD"
portfolioName  = "MACD"
accountName    = "MACD"
symbol         = "SPY"
symbolFile     = "SPY.bin"
initDate       = "1993-01-01"
endDate        = "2012-12-31"
initEq         = 100000
orderQty       = initEq

# verbose = FALSE
verbose = TRUE

suppressWarnings( rm("order_book.MACD", pos=.strategy) )
suppressWarnings( rm("account.MACD", "portfolio.MACD", pos=.blotter) )

# Define the strategy
strategy( strategyName, store=TRUE )

# One indicator
add.indicator(
      strategyName,
      name="MACD",
      label="MACD",
      arguments=list(x=quote(Cl(mktdata)), nFast=1, nSlow=10, maType="SMA") )

# Two signals
add.signal( strategyName, name="sigThreshold", arguments=list(column="macd", relationship="gte", threshold=0, cross=TRUE), label="macd.gte.zero" )
add.signal( strategyName, name="sigThreshold", arguments=list(column="macd", relationship="lt", threshold=0, cross=TRUE), label="macd.lt.zero" )

# Entry
add.rule(
      strategyName,
      name='ruleSignal',
      arguments=list(sigcol="macd.gte.zero",
                     sigval=TRUE,
                     orderqty=1000,
                     ordertype='market',
                     pricemethod='market',
                     orderside='long'),
      type='enter',
      label='enter.long')

# Exit
add.rule(
      strategyName,
      name='ruleSignal',
      arguments=list(sigcol="macd.lt.zero",
                     sigval=TRUE,
                     orderqty='all',
                     ordertype='market',
                     pricemethod='market',
                     orderside='long'),
      type='exit',
      label='exit.long')

currency( "USD" )
stock( symbol, currency="USD", multiplier=1 )
load( file=symbolFile )
ss = get( symbol )
ss = to.monthly( ss, indexAt="lastOf", drop.time=TRUE )
indexFormat( ss ) = "%Y-%m-%d"
colnames( ss ) = gsub( "ss", symbol, colnames(ss) )
assign( symbol, ss )
SPY = SPY[paste("/", endDate, sep="")]

# Portfolio, account and order book
initPortf( portfolioName, symbols=symbol, initDate=initDate )
initAcct( accountName, portfolios=portfolioName, initDate=initDate, initEq=initEq )
initOrders( portfolio=portfolioName, initDate=initDate )

out = try( applyStrategy(strategy=strategyName, portfolios=portfolioName) )

updatePortf( portfolioName, Symbols=symbol, Dates=paste("/", as.Date(Sys.time()), sep="") )
updateAcct( portfolioName )

print( paste( "Net Trading PnL: ", as.numeric( tradeStats( portfolioName, symbol )$Net.Trading.PL ), sep="" ) )