[Blotter-commits] r271 - pkg/quantstrat/demo

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

Author: braverock
Date: 2010-02-26 16:08:19 +0100 (Fri, 26 Feb 2010)
New Revision: 271

Added:
   pkg/quantstrat/demo/BBands.R
Modified:
   pkg/quantstrat/demo/00Index
Log:
- move simplestrat to BBands


Modified: pkg/quantstrat/demo/00Index
===================================================================
--- pkg/quantstrat/demo/00Index	2010-02-26 14:58:00 UTC (rev 270)
+++ pkg/quantstrat/demo/00Index	2010-02-26 15:08:19 UTC (rev 271)
@@ -1 +1 @@
-simplestrat     Build a simple strategy using a few indicators
+BBands     Build a simple Bollinger Bands strategy using one indicator, two signals, and two trade rules

Copied: pkg/quantstrat/demo/BBands.R (from rev 270, pkg/quantstrat/demo/simplestrat.R)
===================================================================
--- pkg/quantstrat/demo/BBands.R	                        (rev 0)
+++ pkg/quantstrat/demo/BBands.R	2010-02-26 15:08:19 UTC (rev 271)
@@ -0,0 +1,62 @@
+require(quantstrat)
+try(rm("order_book.simplestrat",pos=.strategy),silent=TRUE)
+try(rm("account.simplestrat","portfolio.simplestrat",pos=.blotter),silent=TRUE)
+try(rm("account.st","portfolio.st","IBM","s","initDate","initEq",'start_t','end_t'),silent=TRUE)
+
+currency('USD')
+stock('IBM',currency='USD',multiplier=1)
+
+initDate='1997-12-31'
+initEq=1000000
+
+portfolio.st='simplestrat'
+account.st='simplestrat'
+
+initPortf(portfolio.st,symbols='IBM', initDate=initDate)
+initAcct(account.st,portfolios='simplestrat', initDate=initDate)
+initOrders(portfolio=portfolio.st,initDate=initDate)
+
+s <- strategy("simplestrat")
+#s <- add.indicator(strategy = s, name = "SMA", arguments = list(x = quote(Cl(mktdata)), n=10), label="SMA10")
+s <- add.indicator(strategy = s, name = "BBands", arguments = list(HLC = quote(HLC(mktdata)), sd = 2, n=20, maType=quote(SMA)))
+
+
+#if you wanted to manually apply a signal function for demonstration
+#cbind(IBM.mod,sigComparison(label="Close.gt.Open",data=IBM.inds,columns=c("Close","Open"),">"))
+#cbind(IBM.mod,sigComparison(label="Adjusted.gt.SMA",data=IBM.inds,columns=c("Adjusted","SMA10"),">"))
+
+#do it properly and add it to the strategy:
+#s<- add.signal(s,name="sigComparison",arguments = list(data=quote(mktdata),columns=c("Close","Open"),relationship="gt"),label="Cl.gt.Op")
+s<- add.signal(s,name="sigCrossover",arguments = list(data=quote(mktdata),columns=c("Close","up"),relationship="gt"),label="Cl.gt.UpperBand")
+s<- add.signal(s,name="sigCrossover",arguments = list(data=quote(mktdata),columns=c("Close","dn"),relationship="lt"),label="Cl.lt.LowerBand")
+
+#IBM.sigs<-applySignals(s,mktdata=IBM.inds)
+
+# lets add some rules
+s 
+s <- add.rule(s,name='ruleSignal', arguments = list(data=quote(mktdata),sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market', orderside=NULL, threshold=NULL),type='enter')
+s <- add.rule(s,name='ruleSignal', arguments = list(data=quote(mktdata),sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market' , orderside=NULL, threshold=NULL),type='enter')
+#TODO add thresholds and stop-entry and stop-exit handling to test
+
+getSymbols("IBM")
+start_t<-Sys.time()
+out<-try(applyStrategy(strategy='s' , portfolios='simplestrat'))
+# look at the order book
+#getOrderBook('simplestrat')
+end_t<-Sys.time()
+end_t-start_t
+updatePortf(Portfolio='simplestrat',Dates=paste('::',as.Date(Sys.time()),sep=''))
+chart.Posn(Portfolio='simplestrat',Symbol='IBM',theme='white')
+plot(addBBands(on=1,sd=2,n=20))
+###############################################################################
+# R (http://r-project.org/) Quantitative Strategy Model Framework
+#
+# Copyright (c) 2009-2010
+# 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
+#
+# $Id$
+#
+###############################################################################