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

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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
#
# Rocema strategy, demonstrating among others:
# * using ternaryindicator that returns -1 (short), 0 (cash) or 1 (long)
# * using ordersets to handle simultaenous stop-loss and take-profit order, in
#   combination with market entry order and market exit order
# * using prefer='Open' on next bar
#
# tested with blotter svn r1057
#
# JH, June 2012

.ema = 15
.roc = 50
.trend = 100

.tplong = 3.0
.tpshort = -3.0

.sllong = -5.0
.slshort = 5.0

#.timespan='T08:00:00/T12:59:00'
.timespan=NULL

.TxnFees=-1.9

#.subset='2011-12-01::2012-01-31'
#.subset='2011'
.subset='2011-01'

startDate = '2011-01-01'
initEq = 10000

p = 'rocema'
a = 'IB'

options(width = 240)
Sys.setenv(TZ="GMT")

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

RocSys = function(x, nEMA, nROC, nTREND)
{
  rocema = ROC(EMA(x, nEMA), nROC)
  trend = EMA(x, nTREND)

  signal = 
    ifelse(rocema>0 & lag(rocema)<=0, ifelse(x>trend,  1, 0), 
    ifelse(rocema<0 & lag(rocema)>=0, ifelse(x<trend, -1, 0), 
    NA)
  )
  
  signal <- na.locf(signal)
  
  return(signal)
}

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

require(quantstrat)

currency('USD')

future('ES', "USD", multiplier=50, tick_size=.25, exchange="CME Globex", description="SP500 Future")

#setSymbolLookup.FI('~/R.symbols/', 'ES')
setSymbolLookup.FI('../sandbox/', 'ES')

getSymbols('ES')
ES <- align.time(to.period(ES, 'minutes', 15), 900)
ES <- ES[.subset]

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

initPortf(p, symbols='ES', currency="USD")
initAcct(a, portfolios=p, currency="USD")

initOrders(p)

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

s <- strategy(p)

#

s <- add.indicator(s, 'RocSys', arguments=list(x=quote(Cl(mktdata))), label='myrocsys')

#

s <- add.signal(s, 'sigThreshold', arguments = list(column="myrocsys", relationship="eq", threshold=0, cross=TRUE), label='cash')
s <- add.signal(s, 'sigThreshold', arguments = list(column="myrocsys", relationship="gt", threshold=0, cross=TRUE), label='long')
s <- add.signal(s, 'sigThreshold', arguments = list(column="myrocsys", relationship="lt", threshold=0, cross=TRUE), label='short')

#

s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='short', sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='long' ,
		orderqty='all',
		ordertype='market',
		orderset='ocolong'
	), 
	type='exit',
	label='ExitLONG2SHORT')
s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='cash' , sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='long' ,
		orderqty='all',
		ordertype='market',
		orderset='ocolong'
	), 
	type='exit',
	label='ExitLONG2CASH')

s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='long' , sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='short',
		orderqty='all',
		ordertype='market',
		orderset='ocoshort'
	), 
	type='exit',
	label='ExitSHORT2LONG')
s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='cash' , sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='short',
		orderqty='all',
		ordertype='market',
		orderset='ocoshort'
	), 
	type='exit',
	label='ExitSHORT2CASH')

s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='long' , sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='long' ,
		orderqty='all',
		ordertype='limit',
		orderset='ocolong', threshold=.tplong
	),
	type='exit',
	label='TakeProfitLONG')
s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='long' , sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='long' ,
		orderqty='all',
		ordertype='stoplimit',
		orderset='ocolong', threshold=.sllong
	), 
	type='exit',
	label='StopLossLONG')
s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='long' , sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='long', 
		orderqty=1    ,
		ordertype='market'
	),
	type='enter',
	label='EnterLONG')

s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='short', sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='short',
		orderqty='all',
		ordertype='limit',
	orderset='ocoshort', threshold=.tpshort
),
	type='exit',
	label='TakeProfitSHORT')
s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='short', sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='short',
		orderqty='all',
		ordertype='stoplimit',
	orderset='ocoshort', threshold=.slshort), 
	type='exit',
	label='StopLossSHORT')
s <- add.rule(s,
	'ruleSignal',
	arguments=list(sigcol='short', sigval=TRUE,
		replace=FALSE,
		TxnFees=.TxnFees,
		orderside='short',
		orderqty=-1   ,
		ordertype='market'
	),
	type='enter',
	label='EnterSHORT')

applyStrategy(s, p, parameters=list(nEMA=.ema,nROC=.roc,nTREND=.trend), verbose = FALSE, prefer='Open')

chart.Posn(p, "ES")

print(getOrderBook(p))

txns <- getTxns(p, 'ES')
txns

cat('Net profit:', sum(txns$Net.Txn.Realized.PL), '\n')


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