# A simple example to demonstrate different exit rules for a multiple unit
# strategy.  There is a quick profiting taking exit rule implemented via a
# chaining limit order (sell limit) for the first unit.  And then there is a
# longer running unit whose exit rule is governed by a SMA50 cross over.
# Special thanks are in order to Ilya Kipnis and Joshua Ulrich for helping me
# get this example working.


library(quantstrat)

# Here's the quoted help from Joshua:
#
#    You need to explicitly set the timezone of your R session using: 
#    Sys.setenv(TZ="UTC"). 
#
#    If you do not do this, then the blotter portfolio xts object will be
#    initialized with your current system's timezone, but the timezone on the GE
#    data is "UTC" because it has a "Date" class index.  That causes the chain
#    rule's parent order price lookup to fail (because the timestamps do not
#    match). 
#
# Wow! That is sublte.  Even though all the examples clearly show setting the
# timezone, I somehow managed to miss it.


Sys.setenv(TZ="GMT")

# Download data and create filters.
tickerSymbol   = "GE"
strategyStr    = 'TwoUnits'
GE             = getSymbols(tickerSymbol, from = "2012-01-01", to = "2012-11-15", auto.assign = FALSE)
GE$SMA50       = SMA(Cl(GE), n = 50)
GE$CrossBack   = Cl(GE) - GE$SMA50
GE             = GE["2012-07-15/"]
magicGoLongDay = "2012-07-23"

# Prepare a currency, portfolio, etc.
currency("USD")
stock(tickerSymbol, currency="USD", multiplier=1)
rm.strat(strategyStr)
initDate = index(GE[1]) - 1
initPortf(name=strategyStr, symbols=tickerSymbol, initDate=initDate, currency="USD")
initAcct(name=strategyStr, portfolios=strategyStr, initDate=initDate, initEq=1e4, currency="USD")
initOrders(portfolio=strategyStr, initDate=initDate)
strategy(strategyStr, store=TRUE)

# The indicator function.  Force a TRUE value on 6/5/2012 - that's the day we
# want to go long.
myIndicator <- function(n=2) 
{
  indicator = xts(x=rep(0, nrow(GE)), order.by=index(GE) )
  names(indicator) = "indValue"
  indicator[magicGoLongDay, "indValue"] = 1 
  return( indicator[, "indValue"] )
}

add.indicator(strategy=strategyStr, name="myIndicator", arguments=list(n=2), label="indLabel")

add.signal(
  strategy=strategyStr, 
  name="sigThreshold", 
  arguments=list(
    column       = "CrossBack",
    relationship = "lt",
    threshold    = 0,
    cross        = TRUE
  ),
  label="sig.price.lt.sma50"
)

add.signal(
  strategy=strategyStr, 
  name="sigThreshold", 
  arguments=list(
    column       = "indValue.indLabel",
    relationship = "eq",
    threshold    = 1,
    cross        = TRUE
  ),
  label="goLong"
)

# Exit all remaining units when price crosses below on SMA50
add.rule(strategy=strategyStr, name='ruleSignal',
  arguments = list(
    sigcol      = "sig.price.lt.sma50",
    sigval      = TRUE, 
    replace     = FALSE,
    orderside   = 'long',
    ordertype   = 'market',
    orderqty    = 'all',
    prefer      = 'Close'
  ),
  type    = 'exit',
  label   = 'ExitPriceLTSMA50'
)

# Exit 1 unit as an initial profit target.
add.rule(strategy=strategyStr, name='ruleSignal',
  arguments = list(
    sigcol    = 'goLong',
    sigval    = TRUE,
    replace   = FALSE,
    orderside = 'long',
    ordertype = 'limit',
    tmult     = FALSE,
    threshold = 1.50,
    orderqty  = -1,       # Make sure we reduce the # of units, not add on to them.  Thank you Ilya.
    prefer    = 'Open'
  ),
  type    = 'chain',
  parent  = 'EnterLong',
  label   = 'TakeProfit'
)

# Go long 2 units when we have a long signal.
add.rule(strategy=strategyStr, name = 'ruleSignal',
  arguments = list(
    sigcol    = 'goLong',
    sigval    = TRUE,
    orderside = 'long' ,
    ordertype = 'market',
    orderqty  = 2,
    prefer    = 'Open'
  ),
  type  = 'enter',
  label = 'EnterLong'
)

out = applyStrategy(strategy=strategyStr, portfolios=strategyStr, verbose=TRUE, debug=TRUE) 

# Calculate P&L and resulting equity with blotter
dateRange=paste(
           as.character(index(first(GE))-1),
           '::',
           as.character(index(last(GE))+1),
           sep='')

updatePortf(strategyStr, Dates = dateRange)
updateAcct(strategyStr,  Dates = dateRange)
updateEndEq(strategyStr, Dates = dateRange)

# Prepare for plotting.  This only works for a 1 security portfolio.
obook        = getOrderBook(portfolio=strategyStr)
obookXTS     = obook[[1]][[1]]
transactions = getTxns(Portfolio=strategyStr, Symbol=tickerSymbol)

# An xts object full of zeros for plotting.
zeros = xts(rep(0,nrow(GE)), order.by=index(GE))
buys  = index(obookXTS[1])
sell1 = index(obookXTS[2])
sell2 = index(obookXTS[3])

# Draw the chart, filters, entries and exits.
ta = paste("addTA(GE$SMA50, on=1, col=6);", 
           "addTA(GE$CrossBack, col=6);",
           "addTA(zeros, on=2, col=7);",
           "addTA(Op(GE[buys,]) , type='p', col='white', pch=22, bg='darkgreen', cex=1.0, on=1 );",
           "addTA(Op(GE[sell1,]) , type='p', col='white', pch=22, bg='red', cex=1.0, on=1 );",
           "addTA(Cl(GE[sell2,]) , type='p', col='white', pch=22, bg='red', cex=1.0, on=1 );",
           sep=""
          )
chartSeries(GE, TA=ta)