######################################################################################
# This script tries to implement a stop loss on a closing price basis.
# Rules:
# BTO: when MACD crosses threshold of zero from below
# STC: when MACD crosses threshold of zero from above
# Stop Loss: If on any day the closing price is less than the BTO*(1-X), exit at market 
# on open the next day where X is the loss tolerable
######################################################################################

# libraries###########################################################################

require(quantstrat)



# remove old parameters ##############################################################

try(rm("order_book.macd",pos=.strategy),silent=TRUE)

try(rm("account.macd","portfolio.macd",pos=.blotter),silent=TRUE)

try(rm("account.st","portfolio.st","stock.str","stratMACD","initDate","initEq",'start_t','end_t'),silent=TRUE)

# settingup quantstrat ##############################################################

stock.str='AAPL' 

currency('USD')

stock(stock.str,currency='USD',multiplier=1)

initDate<-'2009-12-31'

initEq=1000000

portfolio.st<-'macd'

account.st<-'macd'

strat.name <- 'stratMACD'

initPortf(portfolio.st,symbols=stock.str, initDate=initDate)

initAcct(account.st,portfolios=portfolio.st, initDate=initDate)

initOrders(portfolio=portfolio.st,initDate=initDate)

strategy(strat.name,store = TRUE)

# System parameters ##################################################################

fastMA <- 12 

slowMA <- 26 

signalMA <- 9

maType <-"EMA"

slpercent <-0.05

# Get Data ###########################################################################

getSymbols(stock.str,from=initDate)

# Custom Indicator Function #########################################################

# This is a function to create an indicator that is path dependent.
# This function looks at the MACD signal that triggers an entry trade and then creates the appropriate stop loss
# level for that entry. This will be used to create a signal 

SLPX<-function(OHLC,slpercent){
  slpx<-rep(NA, times = nrow(OHLC))    # create the output vector and fill with NA
  OHLC$longlag<-lag(OHLC$signal.gt.zero.x,n=1) #lag the BTO signal by 1 bar as position taken the next day
  for (counter in (1:nrow(OHLC))){
    slpx[counter]
    if (!is.na(OHLC[counter]$longlag)) {  # do nothing if the signal is an NA value
      if(OHLC[counter]$longlag==1) {
        slpx[counter] = Op(OHLC[counter])*(1-slpercent) # if signal is 1, then figure out operating stop loss
      } else {
        slpx[counter] = slpx[counter-1] # is signal is zero then carry forward previously calculated value
      }
    }
    
    
  }
  
  return(slpx)
}


# Add Indicator MACD   ###############################################################

add.indicator(strategy = strat.name,
              name = "MACD",
              arguments = list(x = quote(Cl(mktdata)), nFast=fastMA, nSlow = maSlow, nSig = signalMA, maType=maType)  
              )


# Add BTO Signal ######################################################################

add.signal(strategy = strat.name,
           name = "sigThreshold",
           arguments = list(column = "signal.MACD.ind",
                            relationship = "gt",
                            threshold = 0,
                            cross = TRUE
                            ),
            label = "signal.gt.zero.x"  
            )

# Add STC Signal ######################################################################

add.signal(strategy = strat.name,
           name = "sigThreshold",
           arguments = list(column = "signal.MACD.ind",
                            relationship = "lt",
                            threshold = 0,
                            cross = TRUE
                            ),
           label = "signal.lt.zero.x"
          )

# Add signal that indicates whether there is a position due to BTO signal

add.signal(strategy = strat.name,
           name = "sigThreshold",
           arguments = list(column = "signal.MACD.ind",
                            relationship = "gt",
                            threshold = 0,
                            cross = FALSE
           ),
           label = "signal.gt.zero.pos"  
)

# Lag the above signal by 1 bar as long position gets taken the next bar ############

add.indicator (strategy = strat.name,
                 name = "lag",
                 arguments = (list(x=quote(mktdata$signal.gt.zero.pos), n=1)),
                 label = "longpos"
                 )


# Add SLPX Indicator ################################################################

add.indicator( strategy = strat.name,
               name = "SLPX",
               arguments = (list(OHLC=quote(mktdata), slpercent = 0.05)),
               label = "SLPX")
               



# Add signal to check whether Close on any day is less that the stop loss level from
# the indicator SLPX  ###############################################################

add.signal(strategy = strat.name,
           name = "sigComparison",
           arguments = list(columns=c(quote(Cl(mktdata)),"SLPX")),
           label = "SLCondition")        

# Check whether longpos and SL condition are met simultaneously #####################

add.signal( strategy = strat.name,
            name = "sigFormula",
            arguments = list(formula = "longpos & SLCondition", cross = TRUE),
            label = "SLTrigger"
          )

# Add BTO Rule #######################################################################

add.rule(strategy = strat.name,
         name =  "ruleSignal",
         arguments = list(
                          sigcol = "signal.gt.zero.x",
                          sigval = TRUE,
                          orderqty = 100,
                          prefer = "Open",
                          replace = TRUE,
                          ordertype = 'market',
                          orderside = 'long',
                          threshold = NULL
                          ),
         type= "enter",
         label = "enterlong"
        )

# Add STC Rule #######################################################################

add.rule(strategy = strat.name,
         name =  "ruleSignal",
         arguments = list(
           sigcol = "signal.lt.zero.x",
           sigval = TRUE,
           orderqty = 'all',
           prefer = "Open",
           replace = FALSE,
           ordertype = 'market',
           orderside = 'long',
           threshold = NULL,
           orderset = 'ocolong'
         ),
         type= "exit",
         label = "exitlong"
)

# Add Stop Loss Rule [part of orderset 'ocolong'] ##############################

add.rule(strategy = strat.name,
         name =  "ruleSignal",
         arguments = list(
           sigcol = "SLTrigger",
           sigval = TRUE,
           orderqty = 'all',
           prefer = "Open",
           replace = FALSE,
           ordertype = 'market',
           orderside = 'long',
           threshold = NULL,
           orderset = 'ocolong'
         ),
         type= "exit",
         label = "SL")


#Apply Strategy #######################################################################

applyStrategy(strategy=strat.name , portfolios=portfolio.st)

# Updates #############################################################################

updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep=''))

#  Outputs ############################################################################

chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)

plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA,maType="EMA"))

print ('order book')


getOrderBook(portfolio.st)

print('transactions')


getTxns(Portfolio=portfolio.st, Symbol=stock.str)