[Blotter-commits] r773 - in pkg/quantstrat: . sandbox
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Sep 12 18:53:03 CEST 2011
Author: gsee
Date: 2011-09-12 18:53:03 +0200 (Mon, 12 Sep 2011)
New Revision: 773
Added:
pkg/quantstrat/sandbox/
pkg/quantstrat/sandbox/init.strat_0.5.3.R
Log:
add sandbox directory and preliminary funs for strategy initialization/testing/removing
Added: pkg/quantstrat/sandbox/init.strat_0.5.3.R
===================================================================
--- pkg/quantstrat/sandbox/init.strat_0.5.3.R (rev 0)
+++ pkg/quantstrat/sandbox/init.strat_0.5.3.R 2011-09-12 16:53:03 UTC (rev 773)
@@ -0,0 +1,235 @@
+###########################################
+# Functions that allow you to rapidly
+# build (or remove) a quantstrat strategy
+# First draft.
+###########################################
+
+## Depends FinancialInstrument (>=0.6.5)
+## Depends quantstrat (>=0.5.3)
+require(quantstrat)
+
+
+#' init strategy, portfolio, account, and orders, and download data (getSymbols)
+#' @param symbols character names of instrument primary_ids
+#' @param portfolio character name of portfolio
+#' @param initDate starting date
+#' @param initEq initial portfolio value
+#' @param account name of account. Not fully supported. Default is to use \code{portfolio}
+#' @param env where to assign the strategy
+#' @param store TRUE/FALSE whether to store the strategy in the .strategy environment, or return it. default FALSE
+#' @author Garrett See
+init.strat <-
+function(symbols,
+ portfolio='default',
+ initDate = '2011-01-01',
+ initEq = 0,
+ account=portfolio,
+ currency='USD',
+ env=.GlobalEnv,
+ store=FALSE)
+{
+ #if the currency hasn't been defined yet, define it.
+ if (!is.currency(currency)) currency <- currency(currency)
+
+ #if any 'symbols' are not defined as instruments, we'll make a basic instrument
+ getsyms <- NULL #symbols that aren't in .GlobalEnv that we'll have to get
+ for (sym in symbols) {
+ if(!is.instrument(getInstrument(sym,silent=TRUE))) {
+ instrument.auto(sym, currency=currency)
+ }
+ tmp <- try(get(sym,pos=env),silent=TRUE)
+ #test for is.xts here?
+ if (inherits(tmp, 'try-error')) getsyms <- c(getsyms, sym)
+ }
+ if (!is.null(getsyms)) getSymbols(getsyms,from=initDate) #get the data that didn't exist in env
+ initPortf(name=portfolio, symbols=symbols, initPosQty=0, initDate=initDate)
+ initAcct(name=account, portfolios=portfolio, initDate=initDate, initEq=initEq, currency=currency)
+ initOrders(portfolio=portfolio, symbols=symbols, initDate=initDate)
+ if (store)
+ assign(portfolio, strategy(portfolio), env=env)
+ else return(strategy(portfolio))
+ portfolio
+}
+
+
+#' Remove objects associated with a strategy
+#'
+#' Remove the order_book, account, and portfolio
+#' @param name name of the portfolio.
+rm.strat <- function(name='default') {
+ if (is.strategy(name)) name <- name[['name']]
+ try(rm(list=paste("order_book",name,sep="."), pos=.strategy))
+ try(rm(list=paste(c("account", "portfolio"), name, sep="."), pos=.blotter))
+}
+
+
+#' Add sigCrossover signals and rules to your strategy
+#' @param strategy name of a strategy or the strategy itself
+#' @param pcolumns vector of names of price columns that need to cross indicator columns to trigger a signal. First columns in \code{\link{sigCrossover}} columns argument
+#' @param icolumns vecror of names of indicator columns that when crossed by price columns will trigger a signal. Second columns in \code{\link{sigCrossover}} columns argument
+#' @param relationships vector of same length as \code{pcolumns} indicating how to compare pcolumns and icolumns ('gt', 'lt', 'gte', 'lte' for greater than, less than, greater than or equal, less than or equal, respectively
+#' @param ruletypes vector of same lenghth as \code{pcolumns} indicating type of rule ('enter', 'exit', etc.)
+#' @param orderqty list of same length as \code{pcolumns} indicating or1der quantities
+#' @param ordertypes vector of same length as \code{pcolumns} indicating type of order ('market', 'limit', etc')
+#' @param df optional data.frame with columns named \code{pcolumns}, \code{icolumns}, \code{relationships},
+#' \code{ruletypes}, \code{orderqty}, \code{ordertypes} to use instead of those respective arguments.
+#' @param portfolio name of portfolio. if missing, it will become the same as the strategy name
+#' @param store TRUE/FALSE whether to store the strategy in the .strategy environment, or return it. default FALSE
+#' @author Garrett See
+add.sigCrossovers <-
+function(strategy,
+ pcolumns= rep("Close",4),
+ icolumns= c('dn','up','mavg','mavg'),
+ relationships=c('lt','gt','gt','lt'),
+ ruletypes= c('enter','enter','exit','exit'),
+ orderqty= list(100,-100,'all','all'),
+ ordertypes= rep("market",4),
+ df= NULL,
+ osFUN='osNoOp',
+ portfolio,
+ store = FALSE) {
+ #if (is.strategy(strategy)) strategy <- strategy$name
+ if (!is.strategy(strategy)) strategy <- getStrategy(strategy)
+ if (missing(portfolio)) portfolio <- strategy$name
+ if (!is.null(df)) {
+ if (!is.null(df$pcolumns)) pcolumns <- df$pcolumns
+ if (!is.null(df$icolumns)) icolumns <- df$icolumns
+ if (!is.null(df$relationships)) relationships <- df$relationships
+ if (!is.null(df$ruletypes)) ruletypes <- df$ruletypes
+ if (!is.null(df$orderqty)) orderqty <- df$orderqty
+ if (!is.null(df$ordertypes)) ordertypes <- df$ordertypes
+ }
+ lpc <- length(pcolumns)
+ if (lpc != length(icolumns) || lpc != length(relationships)
+ || lpc != length(ruletypes) || lpc !=length(ordertypes)
+ || lpc !=length(orderqty)) stop("all args except 'strategy' must be of the same length")
+ for (i in seq_along(pcolumns)) {
+ rulename <- paste(pcolumns[[i]],relationships[[i]],icolumns[[i]],sep=".")
+ strategy <- add.signal(strategy, name="sigCrossover",
+ arguments = list(columns=c(pcolumns[[i]],icolumns[[i]]),relationship=relationships[[i]]),
+ label=rulename, store=FALSE)
+ qty <- ifelse(orderqty[[i]] != 'all',as.numeric(orderqty[[i]]), 'all')
+ strategy <- add.rule(strategy, 'ruleSignal',
+ arguments = list(sigcol=rulename, sigval=TRUE,
+ orderqty=orderqty[[i]],
+ orderside=NULL,
+ threshold=NULL,
+ pricemethod='opside',
+ portfolio=portfolio,
+ ordertype=ordertypes[[i]],
+ osFUN=osFUN),
+ type=ruletypes[[i]],
+ store=FALSE)
+ }
+ if (store) assign(strategy$name, strategy, pos='.strategy')
+ else return(strategy)
+ strategy$name
+}
+
+#' update portfolio, account, and ending equity
+#' @param portfolio string identifying a portfolio
+#' @param account string identifying an account. Same as \code{portfolio} by default
+#' @param Symbols: character vector of names of symbols whose portfolios will be updated
+#' @param Dates optional xts-style ISO-8601 time range to run updatePortf over, default NULL (will use times from Prices)
+#' @param Prices optional xts object containing prices and timestamps to mark the book on, default NULL
+#' @param showEq TRUE/FALSE should ending equity be printed to the screen with a call to \code{cat}. default TRUE
+#' @param chart TRUE/FALSE if TRUE (default) a call will be made to \code{chart.Posn}
+#' @seealso \code{\link{updatePortf}}, \code{\link{updateAcct}}, \code{\link{updateEndEq}}
+#' @author Garrett See
+update.strat <-
+function(portfolio='default',
+ account=portfolio,
+ Symbols=NULL,
+ Dates=NULL,
+ Prices=NULL,
+ showEq=TRUE,
+ chart=TRUE)
+{
+ out <- list()
+ out[['portfolio.st']] <- updatePortf(Portfolio=portfolio, Symbols=Symbols, Dates=Dates, Prices=Prices)
+ out[['account.st']] <- updateAcct(name=account,Dates=Dates)
+ updateEndEq(Account=account,Dates=Dates)
+ if (showEq) cat('EndingEq: ', getEndEq(Account=account,Date=Sys.time()), '\n')
+ if (chart) chart.Posn(Portfolio=portfolio, Symbol=names(getPortfolio(portfolio)$symbols)[[1]])
+ if (out[[1]] == out[[2]]) out[[1]]
+ else out
+}
+
+##########################################################################################################
+##### Now for a demo. These few lines will do what the bbands demo does.
+#rm.strat('bbands')
+strat <- init.strat(stock("IBM",currency("USD"),src='yahoo'), portfolio='bbands', initDate='2006-12-31')
+strat <- add.indicator(strat, name='BBands', arguments=list(HLC=quote(HLC(mktdata)), maType='SMA'))
+strat <- add.sigCrossovers(strat)
+out<-try(applyStrategy(strat, strat$name, parameters=list(sd=2,n=20)) )
+update.strat('bbands')
+##### End bbands demo.
+##########################################################################################################
+
+
+#####
+## Although it is recommended, it is not required to define the stock beforehand
+## (or in the call as we did above with stock("IBM",currency("USD"),src='yahoo')),
+## The below would have worked by creating a basic instrument with multiplier=1 and type=NULL.
+## it would make an 'instrument' and a portfolio called 'default'
+#
+# strat <- init.strat('IBM',initDate='2006-12-31')
+#####
+
+#########################################################################################################
+#### OR you can pass a df that contains a column for each pertinent argument.
+#rm.strat()
+strat <- init.strat('IBM', initDate='2010-01-01')
+strat <- add.indicator(strat, name='BBands',arguments=list(HLC=quote(HLC(mktdata)),maType='SMA'))
+
+sigrule.args <- data.frame(cbind(
+ pcolumns= c("Close","Close","High","Low"),
+ icolumns= c('dn','up','mavg','mavg'),
+ relationships=c('lt','gt','gt','lt'),
+ ruletypes= c('enter','enter','exit','exit'),
+ orderqty= list(100,-100,'all','all'),
+ ordertypes= rep("market",4)
+ ))
+
+strat <- add.sigCrossovers(strat,df=sigrule.args)
+out <- try(applyStrategy(strat, strat$name, parameters=list(sd=1.8,n=50)))
+########################################################################################################
+
+
+########################################################################################################
+#make a break-out strategy with "PBands"
+library(twsInstrument)
+library(qmao)
+
+rm.strat()
+#rm(list=symb)
+rm_futures()
+future("VX",multiplier=1000,src='cfe',underlying_id=synthetic("VIX",currency("USD")))
+symb <- future_series("VX_G07")
+getSymbols(symb)
+#start(VX_G07)
+strat <- init.strat(symb,initDate='2006-04-01')
+strat <- add.indicator(strat, name='PBands',arguments=list(prices=quote(Cl(mktdata)),maType='SMA'))
+#breakout strategy. Buy when it crosses upper band exit at 'center'.
+#Sell at bottom band cross. exit at center
+strat <- add.sigCrossovers(strat,
+ icolumns=c("up","dn","center","center"),
+ relationships=c("gt", "lt", "lt", "gt"),
+ orderqty=list(1,-1,'all','all'))
+out<-try(applyStrategy(strat, strat$name, parameters=list(sd=2,n=20,fastn=2)) )
+update.strat()
+#########################################################################################################
+
+
+##########################################################
+# This is a proof-of-concept script.
+# There is an uncommitted new version that does not require
+# that all the lines begin with strat <-
+# but it requires a couple tweaks to quantstrat.
+##
+# Everything is subject to change including function and
+# argument names as well as usage, return values,
+# flexibility, and functionality.
+##########################################################
+
+
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