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

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Revision 1425 - (download) (annotate)
Sat Apr 6 13:09:42 2013 UTC (6 years, 2 months ago) by braverock
File size: 4667 byte(s)
- fix labels to work with new match.names, clean up indentation
- convert commented risk exits to use order chains
# Simple MACD strategy
#
# MACD may be used in many ways, this will demonstrate a trend indicator.
# 
# traditionally, when the MACD signal crosses zero, this indicated a establishment of a positive trend
#
# we'll buy on positive treshold crossover of the 'signal' column, and sell on negative threshold crossover
# 
# Author: brian
###############################################################################


require(quantstrat)
suppressWarnings(rm("order_book.macd",pos=.strategy))
suppressWarnings(rm("account.macd","portfolio.macd",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACD","initDate","initEq",'start_t','end_t'))

stock.str='AAPL' # what are we trying it on

#MA parameters for MACD
fastMA = 12 
slowMA = 26 
signalMA = 9
maType="EMA"

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

#or use fake data
#stock.str='sample_matrix' # what are we trying it on
#data(sample_matrix)                 # data included in package xts
#sample_matrix<-as.xts(sample_matrix)

##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
#  # use test dates
#  {initDate="2011-01-01" 
#  endDate="2012-12-31"   
#  } else
#  # use demo defaults
#  {initDate="1999-12-31"
#  endDate=Sys.Date()}

initDate='2006-12-31'
initEq=1000000
portfolio.st='macd'
account.st='macd'

initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
initAcct(account.st,portfolios=portfolio.st, initDate=initDate)
initOrders(portfolio=portfolio.st,initDate=initDate)

strat.st<-portfolio.st
# define the strategy
strategy(strat.st, store=TRUE)

#one indicator
add.indicator(strat.st, name = "MACD", 
			  arguments = list(x=quote(Cl(mktdata))),
			  label='_' 
)

#two signals
add.signal(strat.st,name="sigThreshold",
		   arguments = list(column="signal._",
				   			relationship="gt",
							threshold=0,
							cross=TRUE),
		   label="signal.gt.zero"
)
   
add.signal(strat.st,name="sigThreshold",
		   arguments = list(column="signal._",
				            relationship="lt",
							threshold=0,
							cross=TRUE),
	       label="signal.lt.zero"
)

####
# add rules

# entry
add.rule(strat.st,name='ruleSignal', 
		 arguments = list(sigcol="signal.gt.zero",
				         sigval=TRUE, 
						 orderqty=100, 
						 ordertype='market', 
						 orderside='long', 
						 threshold=NULL),
	     type='enter',
		 label='enter',
		 storefun=FALSE
)

#alternatives for risk stops:
# simple stoplimit order, with threshold multiplier
#add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoplimit', orderside='long', threshold=-.05,tmult=TRUE, orderset='exit2'),type='chain', parent='enter', label='risk',storefun=FALSE)
# alternately, use a trailing order, also with a threshold multiplier
#add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoptrailing', orderside='long', threshold=-1,tmult=FALSE, orderset='exit2'),	type='chain', parent='enter', label='trailingexit')

# exit
add.rule(strat.st,name='ruleSignal', 
		 arguments = list(sigcol="signal.lt.zero",
				          sigval=TRUE, 
						  orderqty='all', 
						  ordertype='market', 
						  orderside='long', 
						  threshold=NULL,
						  orderset='exit2'),
         type='exit',
		 label='exit'
)

#end rules
####

getSymbols(stock.str,from=initDate)
start_t<-Sys.time()
out<-applyStrategy(strat.st , portfolios=portfolio.st,parameters=list(nFast=fastMA, nSlow=slowMA, nSig=signalMA,maType=maType),verbose=TRUE)
end_t<-Sys.time()
print(end_t-start_t)

start_t<-Sys.time()
updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("trade blotter portfolio update:")
print(end_t-start_t)

chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)
plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA,maType="EMA"))

#look at the order book
obook<-getOrderBook('macd')

###############################################################################
# R (http://r-project.org/) Quantitative Strategy Model Framework
#
# Copyright (c) 2009-2012
# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich 
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
##############################################################################

##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ################### 
# book  = getOrderBook(port)
# stats = tradeStats(port)
# rets  = PortfReturns(acct)
################################################################

root@r-forge.r-project.org
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