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View of /pkg/quantstrat/demo/luxor.7.exit.and.risk.R

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Revision 1734 - (download) (annotate)
Fri Mar 11 16:31:38 2016 UTC (2 years, 11 months ago) by bodanker
File size: 1913 byte(s)
Replace calls to View with print in demos

As of R-3.2.3, calling View() on an xts object with duplicate index
values fails. This is because the data.frame will have duplicate row
names and the format.data.frame method no longer appears to support it.
#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - April 2013
#
# Tested and found to work correctly using blotter r1457
#
# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# Paragraph 3.5: determination of appropriate exit and risk management

require(quantstrat)

source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))

source(paste0(path.package("quantstrat"),"/demo/luxor.getSymbols.R"))

### blotter

initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
initAcct(account.st, portfolios=portfolio.st, currency='USD')

### quantstrat

load.strategy('luxor')

### BEGIN uncomment lines to activate StopLoss and/or StopTrailing and/or TakeProfit rules

#enable.rule('luxor', 'chain', 'StopLoss')
#enable.rule('luxor', 'chain', 'StopTrailing')
#enable.rule('luxor', 'chain', 'TakeProfit')

### END uncomment lines to activate StopLoss and/or StopTrailing and/or TakeProfit rules

addPosLimit(
            portfolio=portfolio.st,
            symbol='GBPUSD',
            timestamp=startDate,
            maxpos=.orderqty)

initOrders(portfolio.st)

applyStrategy(strategy.st, portfolio.st, prefer='Open')

print(getOrderBook(portfolio.st)[[portfolio.st]]$GBPUSD)

###############################################################################

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

chart.Posn(portfolio.st, "GBPUSD")

###############################################################################

print(t(tradeStats(portfolio.st, 'GBPUSD')))

###############################################################################

print(tradeQuantiles('forex', 'GBPUSD'))

dev.new()

### Uncomment to choose appropriate MAE of MFE graph

chart.ME(portfolio.st, 'GBPUSD', scale='percent', type='MAE')
dev.new()
chart.ME(portfolio.st, 'GBPUSD', scale='percent', type='MFE')

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