[Blotter-commits] r340 - pkg/quantstrat/demo

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

Author: braverock
Date: 2010-06-15 17:39:18 +0200 (Tue, 15 Jun 2010)
New Revision: 340

Removed:
   pkg/quantstrat/demo/simplestrat.R
Log:
- remove simplestrat

Deleted: pkg/quantstrat/demo/simplestrat.R
===================================================================
--- pkg/quantstrat/demo/simplestrat.R	2010-06-15 14:52:25 UTC (rev 339)
+++ pkg/quantstrat/demo/simplestrat.R	2010-06-15 15:39:18 UTC (rev 340)
@@ -1,62 +0,0 @@
-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
-#
-# $Id$
-#
-###############################################################################