[Blotter-commits] r96 - pkg/demo

[noreply at r-forge.r-project.org]

Author: peter_carl
Date: 2009-08-11 17:44:49 +0200 (Tue, 11 Aug 2009)
New Revision: 96

Added:
   pkg/demo/longtrend.R
Log:
- renamed file


Copied: pkg/demo/longtrend.R (from rev 95, pkg/demo/long-trend.R)
===================================================================
--- pkg/demo/longtrend.R	                        (rev 0)
+++ pkg/demo/longtrend.R	2009-08-11 15:44:49 UTC (rev 96)
@@ -0,0 +1,117 @@
+# This is a very simple trend following strategy for testing the results of:
+# Faber, Mebane T., "A Quantitative Approach to Tactical Asset Allocation." 
+# Journal of Risk Management (Spring 2007).
+# The article proposes a very simple quantitative market-timing model.  They 
+# test the model in sample on the US stock market since 1900 before testing
+# it out-of-sample in twenty other markets.
+
+# The article discusses a 200-day simple moving average, which is proposed
+# in Jeremy Seigel's book "Stocks for the Long Run" for timing the DJIA.  He 
+# concludes that a simple market timing strategy improves the absolute and
+# risk adjusted returns over a buy-and-hold strategy.  After all transaction
+# costs are included, the timing strategy falls short on the absolute return,
+# but still provides a better risk-adjusted return.  Siegel also tests timing on  
+# the Nasdaq composite since 1972 and finds better absolute and risk adjusted
+# returns.
+
+# The article implements a simpler version of the 200-day SMA, opting for a
+# 10-month SMA.  Monthly data is more easily available for long periods of time,
+# and the lower granularity should translate to lower transaction costs.  
+
+# The rules of the system are relatively simple:
+# - Buy when monthly price > 10-month SMA
+# - Sell and move to cash when monthly price < 10-month SMA
+
+# 1. All entry and exit prices are on the day of the signal at the close.
+# 2. All data series are total return series including dividends, updated monthly. 
+#    For the purposes of this demo, we only use price returns.
+# 3. Cash returns are estimated with 90-day commercial paper.  Margin rates for
+#    leveraged models are estimated with the broker call rate.  Again, for the
+#    purposes of this demo, we ignore interest and leverage.
+# 4. Taxes, commissions, and slippage are excluded.
+
+# This simple strategy is different from well-known trend-following systems in
+# three respects.  First, there's no shorting.  Positions are converted to cash on
+# a 'sell' signal, rather than taking a short position. Second, the entire position
+# is put on at trade inception.  No assumptions are made about increasing position
+# size as the trend progresses.  Third, there are no stops.  If the trend reverts
+# quickly, this system will wait for a sell signal before selling the position.
+
+# Data
+# Instead of using total returns data, this demo uses monthly data for the SP500
+# downloaded from Yahoo Finance.  We'll use about 10 years of data, starting at 
+# the beginning of 1998.
+
+# Load required libraries
+require(quantmod)
+require(TTR)
+require(blotter)
+
+# Set initial values
+initDate='1997-12-31'
+initEq=100000
+
+# Load data with quantmod
+print("Loading data")
+getSymbols('^GSPC', src='yahoo', from='1998-01-01')
+GSPC=to.monthly(GSPC, indexAt='endof')
+
+# Set up indicators with TTR
+print("Setting up indicators")
+GSPC$SMA10m <- SMA(GSPC[,grep('Adj',colnames(GSPC))], 10)
+
+# Set up a portfolio object and an account object in blotter
+print("Initializing portfolio and account structure")
+portfolio = initPortf('GSPC', initDate=initDate)
+account = initAcct(portfolios='portfolio', initDate=initDate)
+verbose=TRUE
+
+# Create trades
+for( i in 10:NROW(GSPC) ) { 
+    CurrentDate=time(GSPC)[i]
+    cat(".")
+    equity = getEndEq(account, CurrentDate)
+
+    ClosePrice = as.numeric(Ad(GSPC[i,]))
+    Posn = getPosQty(Portfolio=portfolio, Symbol='GSPC', Date=CurrentDate)
+    UnitSize = as.numeric(trunc(equity/ClosePrice))
+
+    # Position Entry (assume fill at close)
+    if( Posn == 0 ) { 
+    # No position, so test to initiate Long position
+        if( as.numeric(Ad(GSPC[i,])) > as.numeric(GSPC[i,'SMA10m']) ) { 
+            cat('\n')
+            # Store trade with blotter
+            portfolio = addTxn(Portfolio=portfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = UnitSize , TxnFees=0, verbose=verbose)
+        } 
+    } else {
+    # Have a position, so check exit
+        if( as.numeric(Ad(GSPC[i,]))  <  as.numeric(GSPC[i,'SMA10m'])) { 
+            cat('\n')
+            # Store trade with blotter
+            portfolio = addTxn(Portfolio=portfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0, verbose=verbose)
+        } 
+    }
+
+    # Calculate P&L and resulting equity with blotter
+    portfolio = updatePortf(Portfolio = portfolio, Dates = CurrentDate)
+    account = updateAcct(Account = account, Dates = CurrentDate)
+    account = updateEndEq(Account = account, Dates = CurrentDate)
+} # End dates loop
+cat('\n')
+# Chart results with quantmod
+chart.Posn(portfolio, Symbol = 'GSPC', Dates = '1998::', theme=chartTheme('white',up.col='lightgreen',dn.col='pink'), type='bar')
+plot(addTA(GSPC$SMA10['1998::',],pch=1,type='l',col='darkgreen', on=1))
+
+
+###############################################################################
+# Blotter: Tools for transaction-oriented trading systems development
+# for R (see http://r-project.org/) 
+# Copyright (c) 2008 Peter Carl and Brian G. Peterson
+#
+# This library is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id:  $
+#
+###############################################################################
\ No newline at end of file


Property changes on: pkg/demo/longtrend.R
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Name: svn:mergeinfo
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