[Blotter-commits] r1301 - pkg/quantstrat/inst/tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Dec 17 16:00:16 CET 2012
Author: milktrader
Date: 2012-12-17 16:00:15 +0100 (Mon, 17 Dec 2012)
New Revision: 1301
Added:
pkg/quantstrat/inst/tests/blue.R
Removed:
pkg/quantstrat/inst/tests/cross_test.R
Log:
renamed and refactored cross_test.R to blue.R
Added: pkg/quantstrat/inst/tests/blue.R
===================================================================
--- pkg/quantstrat/inst/tests/blue.R (rev 0)
+++ pkg/quantstrat/inst/tests/blue.R 2012-12-17 15:00:15 UTC (rev 1301)
@@ -0,0 +1,130 @@
+#!/usr/bin/Rscript --vanilla
+#
+# blue.R
+#
+# this produces trade statistics that can be compared
+# with results from other frameworks
+#
+# the data is SPX daily data from 1/1/1970 to 12/31/1972
+#
+# copyright (c) 2009-2012, Algorithm Alpha, LLC
+# Licensed GPL-2
+#
+################### LOAD QUANTSTRAT #################
+
+suppressMessages(require(quantstrat))
+
+###################### LOAD DATA ######################
+
+data('spx')
+
+############################# DEFINE VARIABLES ##############################
+
+port = 'bluePort'
+acct = 'blueAcct'
+initEq = 1e6
+initDate = '1969-12-31'
+fast = 3
+slow = 8
+
+############################# INITIALIZE ####################################
+
+currency('USD')
+stock('spx' ,currency='USD', multiplier=1)
+initPortf(port, 'spx', initDate=initDate)
+initAcct(acct, port, initEq=initEq, initDate=initDate)
+initOrders(port, initDate=initDate )
+blue = strategy(port)
+
+############################# INDICATORS ####################################
+
+blue <- add.indicator(
+ strategy = blue,
+ name = 'SMA',
+ arguments = list(x=quote(Cl(mktdata)),
+ n=fast),
+ label = 'fast' )
+
+blue <- add.indicator(
+ strategy = blue,
+ name = 'SMA',
+ arguments = list(x=quote(Cl(mktdata)),
+ n=slow),
+ label = 'slow' )
+
+############################# SIGNALS #######################################
+
+blue <- add.signal(
+ strategy = blue,
+ name = 'sigCrossover',
+ arguments = list(columns=c('fast','slow'),
+ relationship='lt'),
+ label = 'fast.lt.slow')
+
+blue <- add.signal(
+ strategy = blue,
+ name = 'sigCrossover',
+ arguments = list(columns=c('fast','slow'),
+ relationship='gt'),
+ label = 'fast.gt.slow')
+
+############################# RULES #########################################
+
+blue <- add.rule(
+ strategy = blue,
+ name = 'ruleSignal',
+ arguments = list(sigcol = 'fast.gt.slow',
+ sigval = TRUE,
+ orderqty = 100,
+ ordertype = 'market',
+ orderside = 'long'),
+
+ type = 'enter',
+ label = 'EnterLONG')
+
+blue <- add.rule(
+ strategy = blue,
+ name = 'ruleSignal',
+ arguments = list(sigcol = 'fast.lt.slow',
+ sigval = TRUE,
+ orderqty = 'all',
+ ordertype = 'market',
+ orderside = 'long'),
+ type = 'exit',
+ label = 'ExitLONG')
+
+blue <- add.rule(
+ strategy = blue,
+ name = 'ruleSignal',
+ arguments = list(sigcol = 'fast.lt.slow',
+ sigval = TRUE,
+ orderqty = -100,
+ ordertype = 'market',
+ orderside = 'short'),
+ type = 'enter',
+ label = 'EnterSHORT')
+
+blue <- add.rule(
+ strategy = blue,
+ name = 'ruleSignal',
+ arguments = list(sigcol = 'fast.gt.slow',
+ sigval = TRUE,
+ orderqty = 'all',
+ ordertype = 'market',
+ orderside = 'short'),
+ type = 'exit',
+ label = 'ExitSHORT')
+
+############################# APPLY STRATEGY ################################
+
+applyStrategy(blue, port, prefer='Open', verbose=FALSE)
+
+############################# UPDATE ########################################
+
+updatePortf(port, 'spx', Date=paste('::',as.Date(Sys.time()),sep=''))
+
+########################### USEFUL CONTAINERS #############################
+
+blueStats = tradeStats(port)
+
+
Property changes on: pkg/quantstrat/inst/tests/blue.R
___________________________________________________________________
Added: svn:executable
+ *
Deleted: pkg/quantstrat/inst/tests/cross_test.R
===================================================================
--- pkg/quantstrat/inst/tests/cross_test.R 2012-12-16 21:51:14 UTC (rev 1300)
+++ pkg/quantstrat/inst/tests/cross_test.R 2012-12-17 15:00:15 UTC (rev 1301)
@@ -1,139 +0,0 @@
-#!/usr/bin/Rscript --vanilla
-#
-# cross_test.R
-#
-# this produces trade statistics that can be compared
-# with results from other frameworks
-#
-# copyright (c) 2009-2012, Algorithm Alpha, LLC
-# Licensed GPL-2
-#
-################### LOAD QUANTSTRAT #################
-
-suppressMessages(require(quantstrat))
-
-###################### LOAD DATA ######################
-
-data('spx')
-
-############################# DEFINE VARIABLES ##############################
-
-sym = spx
-port = 'test_port'
-acct = 'test_acct'
-initEq = 100000
-initDate = '1969-12-31'
-fast = 3
-slow = 8
-
-############################# INITIALIZE ####################################
-
-currency('USD')
-stock('sym' ,currency='USD', multiplier=1)
-initPortf(port, 'sym', initDate=initDate)
-initAcct(acct, port, initEq=initEq, initDate=initDate)
-initOrders(port, initDate=initDate )
-cross_test = strategy(port)
-
-############################# MAX POSITION LOGIC ############################
-#
- addPosLimit(
- portfolio=port,
- symbol='sym',
- timestamp=initDate,
- maxpos=100)
-#
-#
-############################# INDICATORS ####################################
-
-cross_test <- add.indicator(
- strategy = cross_test,
- name = 'SMA',
- arguments = list(x=quote(Cl(mktdata)),
- n=fast),
- label = 'fast' )
-
-cross_test <- add.indicator(
- strategy = cross_test,
- name = 'SMA',
- arguments = list(x=quote(Cl(mktdata)),
- n=slow),
- label = 'slow' )
-
-############################# SIGNALS #######################################
-
-cross_test <- add.signal(
- strategy = cross_test,
- name = 'sigCrossover',
- arguments = list(columns=c('fast','slow'),
- relationship='lt'),
- label = 'fast.lt.slow')
-
-cross_test <- add.signal(
- strategy = cross_test,
- name = 'sigCrossover',
- arguments = list(columns=c('fast','slow'),
- relationship='gt'),
- label = 'fast.gt.slow')
-
-############################# RULES #########################################
-
-cross_test <- add.rule(
- strategy = cross_test,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.gt.slow',
- sigval = TRUE,
- orderqty = 100,
- ordertype = 'market',
- orderside = 'long',
- osFUN = 'osMaxPos'),
-
- type = 'enter',
- label = 'EnterLONG')
-
-cross_test <- add.rule(
- strategy = cross_test,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.lt.slow',
- sigval = TRUE,
- orderqty = 'all',
- ordertype = 'market',
- orderside = 'long'),
- type = 'exit',
- label = 'ExitLONG')
-
-cross_test <- add.rule(
- strategy = cross_test,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.lt.slow',
- sigval = TRUE,
- orderqty = -100,
- ordertype = 'market',
- orderside = 'short',
- osFUN = 'osMaxPos'),
- type = 'enter',
- label = 'EnterSHORT')
-
-cross_test <- add.rule(
- strategy = cross_test,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.gt.slow',
- sigval = TRUE,
- orderqty = 'all',
- ordertype = 'market',
- orderside = 'short'),
- type = 'exit',
- label = 'ExitSHORT')
-
-############################# APPLY STRATEGY ################################
-
-applyStrategy(cross_test, port, prefer='Open', verbose=FALSE)
-
-############################# UPDATE ########################################
-
-updatePortf(port, 'sym', Date=paste('::',as.Date(Sys.time()),sep=''))
-
-########################### USEFUL CONTAINERS #############################
-
-resultsToCompare = tradeStats(port)
-
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