[Blotter-commits] r1138 - pkg/quantstrat/demo

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

Author: opentrades
Date: 2012-08-28 03:16:02 +0200 (Tue, 28 Aug 2012)
New Revision: 1138

Added:
   pkg/quantstrat/demo/luxor-3.09.RData
   pkg/quantstrat/demo/luxor-3.11.R
Log:
Added:
* Luxor figure 3.11 (MAE graph) 
* portfolio results from figure 3.09 (used by 3.11)



Added: pkg/quantstrat/demo/luxor-3.09.RData
===================================================================
(Binary files differ)


Property changes on: pkg/quantstrat/demo/luxor-3.09.RData
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Added: svn:mime-type
   + application/octet-stream

Added: pkg/quantstrat/demo/luxor-3.11.R
===================================================================
--- pkg/quantstrat/demo/luxor-3.11.R	                        (rev 0)
+++ pkg/quantstrat/demo/luxor-3.11.R	2012-08-28 01:16:02 UTC (rev 1138)
@@ -0,0 +1,67 @@
+#!/usr/bin/Rscript --vanilla
+#
+# Jan Humme (@opentrades) - August 2012
+#
+# Tested and found to work correctly using blotter r1123
+#
+# From Jaekle & Tamasini: A new approach to system development and portfolio
+# optimisation (ISBN 978-1-905641-79-6)
+#
+# Figure 3.11: MAE graph of Luxor system
+
+options(width = 240)
+#Sys.setenv(TZ="GMT")
+
+require(xts)
+
+###############################################################################
+
+load('luxor-3.09.RData')
+
+posPL <- portfolio$symbols$GBPUSD$posPL
+
+###############################################################################
+
+trades <- list()
+
+trades$Start <- index(posPL[which(posPL$Pos.Value!=0 & lag(posPL$Pos.Value)==0),])
+trades$End <- index(posPL[which(posPL$Pos.Value==0 & lag(posPL$Pos.Value)!=0),])
+
+trades$Start <- trades$Start[1:length(trades$End)]  # discard open last trade, if any
+
+for(i in 1:length(trades$End))
+{
+	timespan <- paste(format(trades$Start[[i]], "%Y-%m-%d %H:%M:%OS6"),
+			  format(trades$End[[i]], "%Y-%m-%d %H:%M:%OS6"), sep="::")
+
+	trade <- posPL[timespan]
+
+	if(first(trade)$Pos.Qty==0) trade <- tail(trade, -1)
+	if(last(trade)$Pos.Qty!=0) trade <- head(trade, -1)
+
+	trades$Net.Trading.PL[i] <- sum(trade$Net.Trading.PL)
+	trades$Drawdown[i] <- min(0,cumsum(trade$Net.Trading.PL))
+}
+
+trades <- as.data.frame(trades)
+
+###############################################################################
+
+profitable <- (trades$Net.Trading.PL > 0)
+
+plot(abs(trades[, c('Drawdown','Net.Trading.PL')]), type='n',
+	xlab='Drawdown ($)', ylab='Profit (Loss) in $',
+	main='Figure 3.11: Maximum Adverse Excursion (MAE)')
+
+points(abs(trades[ profitable, c('Drawdown','Net.Trading.PL')]), pch=2, col='green')
+points(abs(trades[!profitable, c('Drawdown','Net.Trading.PL')]), pch=25, col='red')
+
+grid()
+
+legend(
+	x='right', inset=0.1,
+	legend=c('Profitable Trade','Losing Trade'),
+	pch=c(2,6),
+	col=c('green','red')
+)
+


Property changes on: pkg/quantstrat/demo/luxor-3.11.R
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Added: svn:executable
   + *