[Blotter-commits] r371 - pkg/quantstrat/demo

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

Author: braverock
Date: 2010-08-12 22:18:09 +0200 (Thu, 12 Aug 2010)
New Revision: 371

Modified:
   pkg/quantstrat/demo/bbands.R
   pkg/quantstrat/demo/faber.R
   pkg/quantstrat/demo/maCross.R
   pkg/quantstrat/demo/macd.R
   pkg/quantstrat/demo/rsi.R
Log:
- update demos

Modified: pkg/quantstrat/demo/bbands.R
===================================================================
--- pkg/quantstrat/demo/bbands.R	2010-08-12 13:52:05 UTC (rev 370)
+++ pkg/quantstrat/demo/bbands.R	2010-08-12 20:18:09 UTC (rev 371)
@@ -27,22 +27,22 @@
 stratBBands <- strategy("bbands")
 
 #one indicator
-stratBBands <- add.indicator(strategy = s, name = "BBands", arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'))
+stratBBands <- add.indicator(strategy = stratBBands, name = "BBands", arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'))
 
 
 #add signals:
-stratBBands <- add.signal(s,name="sigCrossover",arguments = list(columns=c("Close","up"),relationship="gt"),label="Cl.gt.UpperBand")
-stratBBands <- add.signal(s,name="sigCrossover",arguments = list(columns=c("Close","dn"),relationship="lt"),label="Cl.lt.LowerBand")
-stratBBands <- add.signal(s,name="sigCrossover",arguments = list(columns=c("High","Low","mavg"),relationship="op"),label="Cross.Mid")
+stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments = list(columns=c("Close","up"),relationship="gt"),label="Cl.gt.UpperBand")
+stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments = list(columns=c("Close","dn"),relationship="lt"),label="Cl.lt.LowerBand")
+stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments = list(columns=c("High","Low","mavg"),relationship="op"),label="Cross.Mid")
 
 # lets add some rules
-stratBBands <- add.rule(s,name='ruleSignal', arguments = list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market', orderside=NULL, threshold=NULL),type='enter')
-stratBBands <- add.rule(s,name='ruleSignal', arguments = list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market', orderside=NULL, threshold=NULL),type='enter')
-stratBBands <- add.rule(s,name='ruleSignal', arguments = list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')
+stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market', orderside=NULL, threshold=NULL),type='enter')
+stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market', orderside=NULL, threshold=NULL),type='enter')
+stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')
 
 #alternately, to exit at the opposite band, the rules would be...
-#stratBBands <- add.rule(s,name='ruleSignal', arguments = list(data=quote(mktdata),sigcol="Lo.gt.UpperBand",sigval=TRUE, orderqty= 'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')
-#stratBBands <- add.rule(s,name='ruleSignal', arguments = list(data=quote(mktdata),sigcol="Hi.lt.LowerBand",sigval=TRUE, orderqty= 'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')
+#stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(data=quote(mktdata),sigcol="Lo.gt.UpperBand",sigval=TRUE, orderqty= 'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')
+#stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(data=quote(mktdata),sigcol="Hi.lt.LowerBand",sigval=TRUE, orderqty= 'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')
 
 #TODO add thresholds and stop-entry and stop-exit handling to test
 

Modified: pkg/quantstrat/demo/faber.R
===================================================================
--- pkg/quantstrat/demo/faber.R	2010-08-12 13:52:05 UTC (rev 370)
+++ pkg/quantstrat/demo/faber.R	2010-08-12 20:18:09 UTC (rev 371)
@@ -85,19 +85,19 @@
 stratFaber <- strategy("faber")
 
 # Add an indicator
-stratFaber <- add.indicator(strategy = s, name = "SMA", arguments = list(x = quote(Cl(mktdata)), n=10), label="SMA10")
+stratFaber <- add.indicator(strategy = stratFaber, name = "SMA", arguments = list(x = quote(Cl(mktdata)), n=10), label="SMA10")
 
 # There are two signals:
 # The first is when monthly price crosses over the 10-month SMA
-stratFaber <- add.signal(s,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="gt"),label="Cl.gt.SMA")
+stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="gt"),label="Cl.gt.SMA")
 # The second is when the monthly price crosses under the 10-month SMA
-stratFaber <- add.signal(s,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="lt"),label="Cl.lt.SMA")
+stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="lt"),label="Cl.lt.SMA")
 
 # There are two rules:
 # The first is to buy when the price crosses above the SMA
-stratFaber <- add.rule(s, name='ruleSignal', arguments = list(sigcol="Cl.gt.SMA", sigval=TRUE, orderqty=1000, ordertype='market', orderside='long', pricemethod='market'), type='enter', path.dep=TRUE)
+stratFaber <- add.rule(stratFaber, name='ruleSignal', arguments = list(sigcol="Cl.gt.SMA", sigval=TRUE, orderqty=1000, ordertype='market', orderside='long', pricemethod='market'), type='enter', path.dep=TRUE)
 # The second is to sell when the price crosses below the SMA
-stratFaber <- add.rule(s, name='ruleSignal', arguments = list(sigcol="Cl.lt.SMA", sigval=TRUE, orderqty='all', ordertype='market', orderside='long', pricemethod='market'), type='exit', path.dep=TRUE)
+stratFaber <- add.rule(stratFaber, name='ruleSignal', arguments = list(sigcol="Cl.lt.SMA", sigval=TRUE, orderqty='all', ordertype='market', orderside='long', pricemethod='market'), type='exit', path.dep=TRUE)
 
 # Process the indicators and generate trades
 start_t<-Sys.time()

Modified: pkg/quantstrat/demo/maCross.R
===================================================================
--- pkg/quantstrat/demo/maCross.R	2010-08-12 13:52:05 UTC (rev 370)
+++ pkg/quantstrat/demo/maCross.R	2010-08-12 20:18:09 UTC (rev 371)
@@ -54,6 +54,6 @@
 # This library is distributed under the terms of the GNU Public License (GPL)
 # for full details see the file COPYING
 #
-# $Id: faber.R 369 2010-08-12 11:44:00Z braverock $
+# $Id$
 #
 ###############################################################################
\ No newline at end of file


Property changes on: pkg/quantstrat/demo/maCross.R
___________________________________________________________________
Added: svn:keywords
   + Revision Id Date Author

Modified: pkg/quantstrat/demo/macd.R
===================================================================
--- pkg/quantstrat/demo/macd.R	2010-08-12 13:52:05 UTC (rev 370)
+++ pkg/quantstrat/demo/macd.R	2010-08-12 20:18:09 UTC (rev 371)
@@ -65,6 +65,6 @@
 # This library is distributed under the terms of the GNU Public License (GPL)
 # for full details see the file COPYING
 #
-# $Id: faber.R 369 2010-08-12 11:44:00Z braverock $
+# $Id$
 #
 ##############################################################################
\ No newline at end of file


Property changes on: pkg/quantstrat/demo/macd.R
___________________________________________________________________
Added: svn:keywords
   + Revision Id Date Author

Modified: pkg/quantstrat/demo/rsi.R
===================================================================
--- pkg/quantstrat/demo/rsi.R	2010-08-12 13:52:05 UTC (rev 370)
+++ pkg/quantstrat/demo/rsi.R	2010-08-12 20:18:09 UTC (rev 371)
@@ -84,6 +84,6 @@
 # This library is distributed under the terms of the GNU Public License (GPL)
 # for full details see the file COPYING
 #
-# $Id: faber.R 369 2010-08-12 11:44:00Z braverock $
+# $Id$
 #
 ###############################################################################
\ No newline at end of file


Property changes on: pkg/quantstrat/demo/rsi.R
___________________________________________________________________
Added: svn:keywords
   + Revision Id Date Author