[Blotter-commits] r602 - pkg/quantstrat/demo
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue May 10 04:45:44 CEST 2011
Author: braverock
Date: 2011-05-10 04:45:43 +0200 (Tue, 10 May 2011)
New Revision: 602
Added:
pkg/quantstrat/demo/pair_trade.R
Modified:
pkg/quantstrat/demo/00Index
Log:
- add new pair_trade demo script that demonstrates a custom indicator and order sizing function
- provided by Garrett See <gsee000 <at> gmail <dot> com >
Modified: pkg/quantstrat/demo/00Index
===================================================================
--- pkg/quantstrat/demo/00Index 2011-05-08 01:22:59 UTC (rev 601)
+++ pkg/quantstrat/demo/00Index 2011-05-10 02:45:43 UTC (rev 602)
@@ -3,4 +3,5 @@
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
+pair_trade simple two-instrument long-short equity strategy demonstrating custom indicator and extended order sizing functionality
rsi Relative Strength Index (RSI) strategy demonstrating long-only threshold actions
Added: pkg/quantstrat/demo/pair_trade.R
===================================================================
--- pkg/quantstrat/demo/pair_trade.R (rev 0)
+++ pkg/quantstrat/demo/pair_trade.R 2011-05-10 02:45:43 UTC (rev 602)
@@ -0,0 +1,182 @@
+#Kindly contributed to quantstrat by Garrett See
+#code borrowed heavily from existing quantstrat demos
+
+#This is a simple pairs trading example intended to illustrate how you can extend
+#existing quantstrat functionality. Also, it uses addPosLimits to specify
+#levels and position limits, and shows how to pass a custom order sizing function to osFUN
+
+#Note that it would be easier to build a spread first and treat it as a single instrument
+#instead of dealing with a portfolio of stocks.
+
+## given 2 stocks, calculate their ratio. If the ratio falls below it's
+# 2 stdev band, then when it crosses back above it, buy stock 1 and sell stock 2.
+# If the ratio rises above it's 2 stdev band, then when it crosses back below
+# it, sell stock 1 and buy stock 2. If the ratio crosses it's moving average,
+# then flatten any open positions.
+
+# The Qty of Stock A that it buys (sells) = MaxPos / lvls
+# The Qty of Stock B that is sells (buys) = MaxPos * Ratio / lvls
+
+try(rm("order_book.pair1",pos=.strategy),silent=TRUE)
+try(rm("account.pairs", "portfolio.pair1", pos=.blotter), silent=TRUE)
+try(rm("initDate", "endDate", "startDate", "initEq", "SD", "N", "symb1", "symb2",
+ "portfolio1.st", "account.st", "pairStrat", "out1"), silent=TRUE)
+
+require(quantstrat)
+initDate = '2009-01-01'
+endDate = '2011-05-01'
+startDate = '2009-01-02'
+initEq = 100000
+SD = 2
+N = 20
+
+MaxPos = 1500 #max position in stockA;
+#max position in stock B will be max * ratio, i.e. no hard position limit in Stock B
+lvls = 3 #how many times to fade; Each order's qty will = MaxPos/lvls
+
+symb1 <- 'CVX' #change these to try other pairs
+symb2 <- 'XOM' #if you change them, make sure position limits still make sense
+
+portfolio1.st <- 'pair1'
+account.st <- 'pairs'
+
+getSymbols(c(symb1, symb2), from=startDate, to=endDate, adjust=TRUE)
+
+currency("USD")
+stock(symb1, currency="USD", multiplier=1)
+stock(symb2, currency="USD", multiplier=1)
+
+#Initialize Portfolio, Account, and Orders
+initPortf(name=portfolio1.st, c(symb1,symb2), initDate=initDate)
+initAcct(account.st, portfolios=portfolio1.st, initDate=initDate, initEq=initEq)
+initOrders(portfolio=portfolio1.st,initDate=initDate)
+
+#create a slot in portfolio for symb1 and symb2 to make them available to osFUN
+pair <- c('long','short')
+names(pair) <- c(symb1,symb2)
+.blotter[[paste('portfolio',portfolio1.st,sep='.')]]$pair <- pair
+
+# Create initial position limits and levels by symbol
+# allow 3 entries for long and short.
+addPosLimit(portfolio=portfolio1.st, timestamp=initDate, symbol=symb1, maxpos=MaxPos, longlevels=lvls, minpos=-MaxPos, shortlevels=lvls)
+addPosLimit(portfolio=portfolio1.st, timestamp=initDate, symbol=symb2, maxpos=MaxPos, longlevels=lvls, minpos=-MaxPos, shortlevels=lvls)
+
+# Create a strategy object
+pairStrat <- strategy('pairStrat')
+
+calcRatio <- function(x) { #returns the ratio of close prices for 2 symbols
+ x1 <- get(x[1])
+ x2 <- get(x[2])
+ rat <- Ad(x1) / Ad(x2)
+ colnames(rat) <- 'Ratio'
+ rat
+}
+Ratio <- calcRatio(c(symb1[1],symb2[1]))
+#let's go ahead and put this in a slot in portfolio
+.blotter[[paste('portfolio',portfolio1.st,sep='.')]]$Ratio <- Ratio
+#and make a function to get the most recent Ratio
+getRatio <- function(portfolio, timestamp) {
+ portf <- getPortfolio(portfolio)
+ toDate <- paste("::", timestamp, sep="")
+ Ratio <- last(portf$Ratio[toDate])
+ as.numeric(Ratio)
+}
+
+# Create an indicator - BBands on the Ratio
+pairStrat <- add.indicator(strategy = pairStrat, name = "calcRatio", arguments = list(x=c(symb1,symb2)))
+pairStrat <- add.indicator(strategy = pairStrat, name = "BBands", arguments = list(HLC=quote(Ratio), sd=SD, n=N, maType='SMA'))
+
+#applyIndicators(strategy=pairStrat,mktdata=get(symb1[1])) #for debugging
+
+# Create signals - buy when crossing lower band from below, sell when crossing upper band from above, flatten when crossing mavg from above or from below
+pairStrat <- add.signal(strategy = pairStrat, name = "sigCrossover", arguments= list(columns=c("Ratio","up"), relationship="lt"), label="cross.up")
+pairStrat <- add.signal(strategy = pairStrat, name = "sigCrossover", arguments= list(columns=c("Ratio","dn"), relationship="gt"), label="cross.dn")
+pairStrat <- add.signal(strategy = pairStrat, name = "sigCrossover", arguments= list(columns=c("Ratio","mavg"), relationship="lt"), label="cross.mid.fa")
+pairStrat <- add.signal(strategy = pairStrat, name = "sigCrossover", arguments= list(columns=c("Ratio","mavg"), relationship="gt"), label="cross.mid.fb")
+
+#make an order sizing function
+#######################_ORDER SIZING FUNCTION_##########################################################
+#check to see which stock it is. If it's the second stock, reverse orderqty and orderside
+osSpreadMaxPos <- function (data, timestamp, orderqty, ordertype, orderside, portfolio, symbol, ruletype, ..., orderprice)
+{
+ portf <- getPortfolio(portfolio)
+ legside <- portf$pair[symbol] #"long" if symbol=symb1, "short" if symbol=symb2
+ if (legside != "long" && legside != "short") stop('pair must contain "long" and "short"')
+ ratio <- getRatio(portfolio, timestamp)
+
+ pos <- getPosQty(portfolio, symbol, timestamp)
+ PosLimit <- getPosLimit(portfolio, symbol, timestamp)
+ qty <- orderqty
+ if (legside == "short") {#symbol is 2nd leg
+ ## Comment out next line to use equal ordersizes for each stock.
+ addPosLimit(portfolio=portfolio, timestamp=timestamp, symbol=symbol, maxpos=MaxPos*ratio, longlevels=lvls, minpos=-MaxPos*ratio, shortlevels=lvls)
+ #TODO: is it okay that MaxPos and lvls come from .GlobalEnv ?
+ qty <- -orderqty #switch orderqty for Stock B
+ }
+
+ if (qty > 0) orderside = 'long'
+ if (qty < 0) orderside = 'short'
+
+ orderqty <- osMaxPos(data=data,timestamp=timestamp,orderqty=qty,ordertype=ordertype,
+ orderside=orderside,portfolio=portfolio,symbol=symbol,ruletype=ruletype, ...)
+ orderqty <- round(orderqty,0)
+
+ #Add the order here instead of in the ruleSignal function
+ if (!is.null(orderqty) & !orderqty == 0 & !is.null(orderprice)) {
+ addOrder(portfolio = portfolio, symbol = symbol,
+ timestamp = timestamp, qty = orderqty, price = as.numeric(orderprice),
+ ordertype = ordertype, side = orderside,
+ status = "open", ... = ...)
+ }
+ return(0) #so that ruleSignal function doesn't also try to place an order
+}
+########################################################################################################
+
+# Create entry and exit rules for longs and for shorts. Both symbols will get the same buy/sell signals, but osMaxPos will reverse those for the second symbol.
+# orderqty's are bigger than PosLimits allow. osMaxPos will adjust the orderqty down to 1/3 the max allowed. (1/3 is because we are using 3 levels in PosLimit)
+pairStrat <- add.rule(strategy = pairStrat, name='ruleSignal', arguments = list(sigcol="cross.dn", sigval=TRUE, orderqty=1e6, ordertype='market', orderside=NULL, osFUN='osSpreadMaxPos'), type='enter' )
+pairStrat <- add.rule(strategy = pairStrat, name='ruleSignal', arguments = list(sigcol="cross.up", sigval=TRUE, orderqty=-1e6, ordertype='market', orderside=NULL, osFUN='osSpreadMaxPos'), type='enter')
+pairStrat <- add.rule(strategy = pairStrat, name='ruleSignal', arguments = list(sigcol="cross.mid.fb", sigval=TRUE, orderqty='all', ordertype='market', orderside=NULL), type='exit')
+pairStrat <- add.rule(strategy = pairStrat, name='ruleSignal', arguments = list(sigcol="cross.mid.fa", sigval=TRUE, orderqty='all', ordertype='market', orderside=NULL), type='exit')
+
+#applySignals(strategy=pairStrat, mktdata=applyIndicators(strategy=pairStrat,mktdata=get(symb1))) #for debugging
+
+out1<-try(applyStrategy(strategy=pairStrat, portfolios=portfolio1.st))
+
+updatePortf(Portfolio=portfolio1.st,Dates=paste("::",as.Date(Sys.time()),sep=''))
+updateAcct(account.st,Dates=paste(startDate,endDate,sep="::"))
+updateEndEq(account.st,Dates=paste(startDate,endDate,sep="::"))
+getEndEq(account.st,Sys.time())
+
+dev.new()
+chart.Posn(Portfolio=portfolio1.st,Symbol=symb1)
+dev.new()
+chart.Posn(Portfolio=portfolio1.st,Symbol=symb2)
+dev.new()
+chartSeries(Cl(get(symb1))/Cl(get(symb2)),TA="addBBands()")
+
+ret1 <- PortfReturns(account.st)
+ret1$total <- rowSums(ret1)
+#ret1
+
+if("package:PerformanceAnalytics" %in% search() || require("PerformanceAnalytics",quietly=TRUE)) {
+ getSymbols("SPY", from='1999-01-01')
+ SPY.ret <- Return.calculate(SPY$SPY.Close)
+ tmp <- merge(SPY.ret,ret1$total,all=FALSE)
+ dev.new()
+ charts.PerformanceSummary(cbind(tmp[,2],tmp[,1]),geometric=FALSE,wealth.index=TRUE)
+}
+
+
+###############################################################################
+# R (http://r-project.org/) Quantitative Strategy Model Framework
+#
+# Package 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
+#
+# $Id$
+#
+###############################################################################
Property changes on: pkg/quantstrat/demo/pair_trade.R
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