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[blotter] View of /pkg/quantstrat/demo/bee.R

[blotter] / pkg / quantstrat / demo / bee.R

View of /pkg/quantstrat/demo/bee.R

Revision 1724 - (download) (annotate)
Mon Dec 14 12:54:08 2015 UTC (3 years, 2 months ago) by bodanker
File size: 4934 byte(s)

Do not set initDate argument in demos

Do not set initDate for initPortf, initAcct, or initOrders in any of the
demos. Specifying the initDate argument incorrectly can cause errors
that are difficult for users to diagnose, so we shouldn't provide demos
that suggest users need to set initDate manually.

Rename initDate to startDate in all demos in order to avoid confusion
with initDate argument to initPortf, initAcct, and initOrders.

#!/usr/bin/Rscript --vanilla
#
# Bumblebee trading system
# copyright (c) 2009-2012, Algorithm Alpha, LLC
# Licensed GPL-2
#
##### PLACE DEMO DATES HERE #################

startDate="1999-12-31"

############################# DEFINE VARIABLES ##############################

sym           = 'GLD'
port          = 'bug'
acct          = 'colony'
initEq        = 100000
fast          = 10
slow          = 30
sd            = 0.5

############################# GET DATA ######################################

suppressMessages(require(quantstrat))
getSymbols(sym, from=startDate, index.class=c("POSIXt","POSIXct"))

############################# INITIALIZE ####################################

currency('USD')
stock(sym ,currency='USD', multiplier=1)
initPortf(port, sym)
initAcct(acct, port, initEq=initEq)
initOrders(port)
bee = strategy(port)

############################# MAX POSITION LOGIC ############################

addPosLimit(
            portfolio=port,
            symbol=sym, 
            timestamp=startDate,  
            maxpos=100)


############################# INDICATORS ####################################

bee <- add.indicator( 
                     strategy  = bee, 
                     name      = 'BBands', 
                     arguments = list(HLC=quote(HLC(mktdata)), 
                                      n=slow, 
                                      sd=sd))

bee <- add.indicator(
                     strategy  = bee, 
                     name      = 'SMA', 
                     arguments = list(x=quote(Cl(mktdata)), 
                                      n=fast),
                     label     = 'fast' )

############################# SIGNALS #######################################

bee <- add.signal(
                  strategy  = bee,
                  name      = 'sigCrossover',
                  arguments = list(columns=c('fast','dn'), 
                                   relationship='lt'),
                  label     = 'fast.lt.dn')

bee <- add.signal(
                  strategy  = bee,
                  name      = 'sigCrossover',
                  arguments = list(columns=c('fast','up'),
                                   relationship='gt'),
                  label     = 'fast.gt.up')

############################# RULES #########################################

bee <- add.rule(
                strategy  = bee,
                name      = 'ruleSignal',
                arguments = list(sigcol    = 'fast.gt.up',
                                 sigval    = TRUE,
                                 orderqty  = 100,
                                 ordertype = 'market',
                                 orderside = 'long',
                                 osFUN     = 'osMaxPos'),

                type      = 'enter',
                label     = 'EnterLONG')

bee <- add.rule(
                strategy  = bee,
                name      = 'ruleSignal',
                arguments = list(sigcol    = 'fast.lt.dn',
                                 sigval    = TRUE,
                                 orderqty  = 'all',
                                 ordertype = 'market',
                                 orderside = 'long'),
                type      = 'exit',
                label     = 'ExitLONG')

bee <- add.rule(
                strategy  = bee,
                name      = 'ruleSignal',
                arguments = list(sigcol     = 'fast.lt.dn',
                                  sigval    = TRUE,
                                  orderqty  =  -100,
                                  ordertype = 'market',
                                  orderside = 'short',
                                  osFUN     = 'osMaxPos'),
                type      = 'enter',
                label     = 'EnterSHORT')

bee <- add.rule(
                strategy  = bee,
                name      = 'ruleSignal',
                arguments = list(sigcol     = 'fast.gt.up',
                                 sigval     = TRUE,
                                 orderqty   = 'all',
                                 ordertype  = 'market',
                                 orderside  = 'short'),
                type      = 'exit',
                label     = 'ExitSHORT')

############################# APPLY STRATEGY ################################

applyStrategy(bee, port, prefer='Open', verbose=FALSE)

############################# UPDATE ########################################

updatePortf(port, sym, Date=paste('::',as.Date(Sys.time()),sep=''))
updateAcct(acct)

########################### USEFUL CONTAINERS #############################

stratStats   = tradeStats(port)
stratReturns = PortfReturns(acct)

############################# EXAMPLE STATS #################################

cat('Profit Factor for bumblebee is: ', stratStats$Profit.Factor, '\n')

suppressMessages(require(PerformanceAnalytics))

cat('Sortino Ratio for bumblebee is: ', SortinoRatio(stratReturns), '\n')

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