[Blotter-commits] r309 - in pkg: blotter/R quantstrat/demo

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

Author: braverock
Date: 2010-03-28 17:38:49 +0200 (Sun, 28 Mar 2010)
New Revision: 309

Modified:
   pkg/blotter/R/chart.Posn.R
   pkg/quantstrat/demo/BBands.R
   pkg/quantstrat/demo/faber.R
Log:
- update to use new quantmod charts instead of the old ones

Modified: pkg/blotter/R/chart.Posn.R
===================================================================
--- pkg/blotter/R/chart.Posn.R	2010-03-27 16:33:43 UTC (rev 308)
+++ pkg/blotter/R/chart.Posn.R	2010-03-28 15:38:49 UTC (rev 309)
@@ -34,19 +34,21 @@
     } else { n=mult }
     
     tzero = xts(0,order.by=index(Prices[1,]))
-    Prices=align.time(Prices,n) 
+#    Prices=align.time(Prices,n) 
     
     Trades = Portfolio[[Symbol]]$txn$Txn.Price*Portfolio[[Symbol]]$txn$Txn.Qty
     Buys = Portfolio[[Symbol]]$txn$Txn.Price[which(Trades>0)]
-    Buys = align.time(rbind(Buys,tzero),n)[-1]
+#    Buys = align.time(rbind(Buys,tzero),n)[-1]
     Sells = Portfolio[[Symbol]]$txn$Txn.Price[which(Trades<0)]
-    Sells = align.time(rbind(Sells,tzero),n)[-1]
+#    Sells = align.time(rbind(Sells,tzero),n)[-1]
     #Position = Portfolio[[Symbol]]$posPL$Pos.Qty # use $txn instead, and make it match the prices index
     Position = Portfolio[[Symbol]]$txn$Pos.Qty
     Position = na.locf(merge(Position,index(Prices)))
-    CumPL = cumsum(Portfolio[[Symbol]]$posPL$Trading.PL)
-    if(length(CumPL)>1) CumPL = na.locf(merge(CumPL,index(Prices)))
-    else CumPL = NULL
+    CumPL = cumsum(Portfolio[[Symbol]]$posPL$Net.Trading.PL)
+    if(length(CumPL)>1)
+        CumPL = na.locf(merge(CumPL,index(Prices)))
+    else 
+        CumPL = NULL
     #     # These aren't quite right, as abs(Pos.Qty) should be less than prior abs(Pos.Qty)
     # SellCover = Portfolio[[Symbol]]$txn$Txn.Price * (Portfolio[[Symbol]]$txn$Txn.Qty<0) * (Portfolio[[Symbol]]$txn$Pos.Qty==0)
     # BuyCover = Portfolio[[Symbol]]$txn$Txn.Price * (Portfolio[[Symbol]]$txn$Txn.Qty>0) * (Portfolio[[Symbol]]$txn$Pos.Qty==0)
@@ -58,11 +60,11 @@
     # scope the date, this is heavy-handed, but should work
     if(!is.null(Dates)) Prices=Prices[Dates]
     
-    chartSeries(Prices, TA=NULL,...)
-    if(nrow(Buys)>=1) plot(addTA(Buys,pch=2,type='p',col='green', on=1));
-    if(nrow(Sells)>=1) plot(addTA(Sells,pch=6,type='p',col='red', on=1));
-    if(nrow(Position)>=1) plot(addTA(Position,type='b',col='blue', lwd=2));
-    if(!is.null(CumPL))  plot(addTA(CumPL, col='darkgreen', lwd=2))
+    chart_Series(Prices, TA=NULL,...)
+    if(nrow(Buys)>=1) plot(add_TA(Buys,pch=2,type='p',col='green', on=1));
+    if(nrow(Sells)>=1) plot(add_TA(Sells,pch=6,type='p',col='red', on=1));
+    if(nrow(Position)>=1) plot(add_TA(Position,type='b',col='blue', lwd=2));
+    if(!is.null(CumPL))  plot(add_TA(CumPL, col='darkgreen', lwd=2))
 }
 
 ###############################################################################

Modified: pkg/quantstrat/demo/BBands.R
===================================================================
--- pkg/quantstrat/demo/BBands.R	2010-03-27 16:33:43 UTC (rev 308)
+++ pkg/quantstrat/demo/BBands.R	2010-03-28 15:38:49 UTC (rev 309)
@@ -58,8 +58,8 @@
 end_t<-Sys.time()
 end_t-start_t
 updatePortf(Portfolio='bbands',Dates=paste('::',as.Date(Sys.time()),sep=''))
-chart.Posn(Portfolio='bbands',Symbol=stock.str,theme='white')
-plot(addBBands(on=1,sd=SD,n=N))
+chart.Posn(Portfolio='bbands',Symbol=stock.str)
+plot(add_BBands(on=1,sd=SD,n=N))
 ###############################################################################
 # R (http://r-project.org/) Quantitative Strategy Model Framework
 #

Modified: pkg/quantstrat/demo/faber.R
===================================================================
--- pkg/quantstrat/demo/faber.R	2010-03-27 16:33:43 UTC (rev 308)
+++ pkg/quantstrat/demo/faber.R	2010-03-28 15:38:49 UTC (rev 309)
@@ -115,10 +115,14 @@
 print("trade blotter portfolio update:")
 print(end_t-start_t)
 
+# hack for new quantmod graphics, remove later
+themelist<-chart_theme()
+themelist$up.col<-'lightgreen'
+themelist$down.col<-'pink'
 for(symbol in symbols){
     dev.new()
-    chart.Posn(Portfolio='longtrend',Symbol=symbol,theme=chartTheme('white', up.col='lightgreen', dn.col='pink'), type='bar')
-    plot(addSMA(n=10,col='darkgreen', on=1))
+    chart.Posn(Portfolio='longtrend',Symbol=symbol,theme=themelist)
+    plot(add_SMA(n=10,col='darkgreen', on=1))
 }