[Blotter-commits] r1060 - pkg/quantstrat/demo

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

Author: opentrades
Date: 2012-06-21 14:27:03 +0200 (Thu, 21 Jun 2012)
New Revision: 1060

Added:
   pkg/quantstrat/demo/rocema.R
Log:
added rocema strategy to demonstrate ordersets and stop and reverse



Added: pkg/quantstrat/demo/rocema.R
===================================================================
--- pkg/quantstrat/demo/rocema.R	                        (rev 0)
+++ pkg/quantstrat/demo/rocema.R	2012-06-21 12:27:03 UTC (rev 1060)
@@ -0,0 +1,218 @@
+#!/usr/bin/Rscript --no-save
+#
+# Rocema strategy, demonstrating among others:
+# * using ternaryindicator that returns -1 (short), 0 (cash) or 1 (long)
+# * using ordersets to handle simultaenous stop-loss and take-profit order, in
+#   combination with market entry order and market exit order
+# * using prefer='Open' on next bar
+#
+# tested with blotter svn r1057
+#
+# JH, June 2012
+
+.ema = 19
+.roc = 45
+.trend = 118
+
+.tplong = 3.0
+.tpshort = -3.0
+
+.sllong = -5.0
+.slshort = 5.0
+
+#.timespan='T08:00:00/T12:59:00'
+.timespan=NULL
+
+.TxnFees=-1.9
+
+#.subset='2011-12-01::2012-01-31'
+#.subset='2011'
+.subset='2011-01'
+
+initDate = '2011-01-01'
+initEq = 10000
+
+p = 'rocema'
+a = 'IB'
+
+###############################################################################
+
+RocSys = function(x, nEMA, nROC, nTREND)
+{
+  rocema = ROC(EMA(x, nEMA), nROC)
+  trend = EMA(x, nTREND)
+
+  signal = 
+    ifelse(rocema>0 & lag(rocema)<=0, ifelse(x>trend,  1, 0), 
+    ifelse(rocema<0 & lag(rocema)>=0, ifelse(x<trend, -1, 0), 
+    NA)
+  )
+  
+  signal <- na.locf(signal)
+  
+  return(signal)
+}
+
+###############################################################################
+
+require(quantstrat)
+
+getSymbols('GBPUSD')
+GBPUSD <- align.time(to.period(GBPUSD, 'minutes', 15), 900)
+GBPUSD <- GBPUSD[.subset]
+
+###############################################################################
+
+initPortf(p, symbols='GBPUSD', initDate=initDate, currency="EUR")
+initAcct(a, portfolios=p, initDate=initDate, currency="EUR")
+
+initOrders(p, initDate=initDate)
+
+###############################################################################
+
+s <- strategy(p)
+
+#
+
+s <- add.indicator(s, 'RocSys', arguments=list(x=quote(Cl(mktdata))), label='myrocsys')
+
+#
+
+s <- add.signal(s, 'sigThreshold', arguments = list(column="myrocsys", relationship="eq", threshold=0, cross=TRUE), label='cash')
+s <- add.signal(s, 'sigThreshold', arguments = list(column="myrocsys", relationship="gt", threshold=0, cross=TRUE), label='long')
+s <- add.signal(s, 'sigThreshold', arguments = list(column="myrocsys", relationship="lt", threshold=0, cross=TRUE), label='short')
+
+#
+
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='short', sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='long' ,
+		orderqty='all',
+		ordertype='market',
+		orderset='ocolong'
+	), 
+	type='exit',
+	label='ExitLONG2SHORT')
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='cash' , sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='long' ,
+		orderqty='all',
+		ordertype='market',
+		orderset='ocolong'
+	), 
+	type='exit',
+	label='ExitLONG2CASH')
+
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='long' , sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='short',
+		orderqty='all',
+		ordertype='market',
+		orderset='ocoshort'
+	), 
+	type='exit',
+	label='ExitSHORT2LONG')
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='cash' , sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='short',
+		orderqty='all',
+		ordertype='market',
+		orderset='ocoshort'
+	), 
+	type='exit',
+	label='ExitSHORT2CASH')
+
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='long' , sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='long' ,
+		orderqty='all',
+		ordertype='limit',
+		orderset='ocolong', threshold=.tplong
+	),
+	type='exit',
+	label='TakeProfitLONG')
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='long' , sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='long' ,
+		orderqty='all',
+		ordertype='stoplimit',
+		orderset='ocolong', threshold=.sllong
+	), 
+	type='exit',
+	label='StopLossLONG')
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='long' , sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='long', 
+		orderqty=1    ,
+		ordertype='market'
+	),
+	type='enter',
+	label='EnterLONG')
+
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='short', sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='short',
+		orderqty='all',
+		ordertype='limit',
+	orderset='ocoshort', threshold=.tpshort
+),
+	type='exit',
+	label='TakeProfitSHORT')
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='short', sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='short',
+		orderqty='all',
+		ordertype='stoplimit',
+	orderset='ocoshort', threshold=.slshort), 
+	type='exit',
+	label='StopLossSHORT')
+s <- add.rule(s,
+	'ruleSignal',
+	arguments=list(sigcol='short', sigval=TRUE,
+		replace=FALSE,
+		TxnFees=.TxnFees,
+		orderside='short',
+		orderqty=-1   ,
+		ordertype='market'
+	),
+	type='enter',
+	label='EnterSHORT')
+
+applyStrategy(s, p, parameters=list(nEMA=.ema,nROC=.roc,nTREND=.trend), verbose = FALSE, prefer='Open')
+
+chart.Posn(p, "GBPUSD")
+
+print(getOrderBook(p))
+
+txns <- getTxns(p, 'GBPUSD')
+txns
+
+cat('Net profit:', sum(txns$Net.Txn.Realized.PL), '\n')
+


Property changes on: pkg/quantstrat/demo/rocema.R
___________________________________________________________________
Added: svn:executable
   + *