[Blotter-commits] r389 - pkg/quantstrat/demo

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

Author: braverock
Date: 2010-09-08 22:36:08 +0200 (Wed, 08 Sep 2010)
New Revision: 389

Added:
   pkg/quantstrat/demo/faberMC.R
Modified:
   pkg/quantstrat/demo/00Index
Log:
- add multi-currency Faber example script

Modified: pkg/quantstrat/demo/00Index
===================================================================
--- pkg/quantstrat/demo/00Index	2010-09-08 20:35:14 UTC (rev 388)
+++ pkg/quantstrat/demo/00Index	2010-09-08 20:36:08 UTC (rev 389)
@@ -1,5 +1,6 @@
 bbands     Build a simple Bollinger Bands strategy using one indicator, three signals, and three trade rules
 faber      demonstrate a simple long term trend model using a 10-month SMA on a small portfolio of ETFs based on Mebane Faber paper
+faberMC    apply the Faber 10-month SMA strategy to a three-currency index portfolio
 macd       example of Moving Average Convergence/Divergence (MACD) used as a trend indicator
 maCross    classic 'Golden Cross' 50/200 period moving average cross strategy, long only, with long/short extra rules commented out
 rsi        Relative Strength Index (RSI) strategy demonstrating long-only threshold actions

Added: pkg/quantstrat/demo/faberMC.R
===================================================================
--- pkg/quantstrat/demo/faberMC.R	                        (rev 0)
+++ pkg/quantstrat/demo/faberMC.R	2010-09-08 20:36:08 UTC (rev 389)
@@ -0,0 +1,161 @@
+# 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(quantstrat)
+
+# Try to clean up in case the demo was run previously
+try(rm("account.faber","portfolio.faber",pos=.blotter),silent=TRUE)
+try(rm("ltaccount","ltportfolio","ClosePrice","CurrentDate","equity","stratFaber","initDate","initEq","Posn","UnitSize","verbose"),silent=TRUE)
+try(rm("order_book.faber",pos=.strategy),silent=TRUE)
+
+# Set initial values
+initDate='2007-01-01'
+initEq=100000
+
+# Set up instruments with FinancialInstruments package
+symbols = c("SPX", "^N225", "^GDAXI")
+
+currency("USD")
+currency("JPY")
+currency("EUR")
+
+#get the currencies
+JPYUSD<-getPrice(to.monthly(getSymbols("JPY=X",auto.assign=FALSE),indexAt='lastof',drop.time=TRUE))
+EURUSD<-getPrice(to.monthly(getSymbols("EURUSD=X",auto.assign=FALSE),indexAt='lastof',drop.time=TRUE))
+colnames(JPYUSD)<-"JPYUSD"
+colnames(EURUSD)<-"EURUSD"
+
+getSymbols(symbols,from=initDate)
+#takes out the carat
+symbols = c("SPX", "N225", "GDAXI")
+
+
+stock(symbols[1], currency="USD",multiplier=1)
+stock(symbols[2], currency="JPY",multiplier=1)
+stock(symbols[3], currency="EUR",multiplier=1)
+# to do this truly correctly, we'd use the futures contracts, which are tradable
+
+for(symbol in symbols) {
+    x<-get(symbol)
+    x<-to.monthly(x,indexAt='lastof',drop.time=TRUE)
+    indexFormat(x)<-'%Y-%m-%d'
+    colnames(x)<-gsub("x",symbol,colnames(x))
+    assign(symbol,x)
+	initPortf(symbol, symbols=symbol, initDate=initDate, currency=getInstrument(symbol)$currency)
+	initOrders(portfolio=symbol, initDate=initDate)
+}
+
+
+initAcct('faberMC', portfolios=symbols, initDate=initDate, currency="USD")
+
+# Initialize portfolio and account
+
+print("setup completed")
+
+# Initialize a strategy object
+stratFaber <- strategy("faber")
+
+# Add an indicator
+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(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(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(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(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()
+out<-try(applyStrategy(strategy=stratFaber , portfolios=symbols))
+end_t<-Sys.time()
+print("Strategy Loop:")
+print(end_t-start_t)
+
+# look at the order book
+#print(getOrderBook('faber'))
+
+start_t<-Sys.time()
+for(symbol in symbols) {
+	updatePortf(Portfolio=symbol,Dates=paste('::',as.Date(Sys.time()),sep=''))
+}
+end_t<-Sys.time()
+print("trade blotter portfolio update:")
+print(end_t-start_t)
+
+#and a combined portfolio
+initPortf('combMC', symbols=symbols, initDate=initDate, currency="USD")
+initOrders(portfolio= 'combMC', initDate=initDate)
+comb.out<-applyStrategy(strategy=stratFaber , portfolios='combMC')
+updatePortf(Portfolio='combMC',Dates=paste('::',as.Date(Sys.time()),sep=''))
+
+# 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=symbol,Symbol=symbol,theme=themelist)
+    plot(add_SMA(n=10,col='darkgreen', on=1))
+}
+
+
+###############################################################################
+# 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: faber.R 371 2010-08-12 20:18:09Z braverock $
+#
+###############################################################################
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