[Blotter-commits] r1264 - pkg/quantstrat/demo

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

Author: opentrades
Date: 2012-11-24 21:45:07 +0100 (Sat, 24 Nov 2012)
New Revision: 1264

Added:
   pkg/quantstrat/demo/luxor.strategy.R
Modified:
   pkg/quantstrat/demo/luxor.StopLoss.R
Log:
add luxor.strategy.R to build the basic luxor strategy object
adjusted luxor.StopLoss.R to pont to correct data path



Modified: pkg/quantstrat/demo/luxor.StopLoss.R
===================================================================
--- pkg/quantstrat/demo/luxor.StopLoss.R	2012-11-24 16:17:39 UTC (rev 1263)
+++ pkg/quantstrat/demo/luxor.StopLoss.R	2012-11-24 20:45:07 UTC (rev 1264)
@@ -36,8 +36,8 @@
 
 ###
 
-setSymbolLookup.FI('~/R.symbols/', 'GBPUSD')
-#setSymbolLookup.FI('../data/', 'GBPUSD')
+#setSymbolLookup.FI('~/R.symbols/', 'GBPUSD')
+setSymbolLookup.FI('../data/', 'GBPUSD')
 
 getSymbols('GBPUSD', from=.from, to=.to, verbose=FALSE)
 GBPUSD = to.minutes30(GBPUSD)
@@ -68,10 +68,10 @@
 
 require(foreach)
 
-registerDoSEQ()
+#registerDoSEQ()
 
-#require(doMC)
-#registerDoMC(cores=2)
+require(doMC)
+registerDoMC(cores=2)
 
 #require(doParallel)
 #registerDoParallel(cores=2)

Added: pkg/quantstrat/demo/luxor.strategy.R
===================================================================
--- pkg/quantstrat/demo/luxor.strategy.R	                        (rev 0)
+++ pkg/quantstrat/demo/luxor.strategy.R	2012-11-24 20:45:07 UTC (rev 1264)
@@ -0,0 +1,249 @@
+#!/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)
+#
+
+.fast = 6
+.slow = 44
+
+.qty=100000
+.th=0.0005
+.txn=-30
+.timespan = 'T08:00/T12:00'
+.timespan = 'T00:00/T23:59'
+
+.stoploss=0.001
+.stoptrailing=0.0015
+.takeprofit=0.003
+
+####
+
+require(quantstrat)
+
+s <- 'luxor'
+
+strategy(s, store=TRUE)
+
+### indicators
+
+add.indicator(s, name = "SMA",
+	arguments = list(
+		x = quote(Cl(mktdata)),
+		n = .fast
+	),
+	label="nFast"
+)
+
+add.indicator(s, name="SMA",
+	arguments = list(
+		x = quote(Cl(mktdata)),
+		n = .slow
+	),
+	label="nSlow"
+)
+
+### signals
+
+add.signal(s, name = 'sigCrossover',
+	arguments = list(
+		columns=c("nFast","nSlow"),
+		relationship="gte"
+	),
+	label='long'
+)
+
+add.signal(s, name = 'sigCrossover',
+	arguments = list(
+		columns=c("nFast","nSlow"),
+		relationship="lt"
+	),
+	label='short'
+)
+
+### rules ############
+
+### stop-loss
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='long' , sigval=TRUE,
+		replace=FALSE,
+		orderside='long',
+		ordertype='stoplimit',
+		tmult=TRUE,
+		threshold=.stoploss,
+		TxnFees=.txn,
+		orderqty='all',
+		orderset='ocolong'
+	),
+	type='chain',
+	parent='EnterLONG',
+	label='StopLossLONG',
+	storefun=FALSE
+)
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='short' , sigval=TRUE,
+		replace=FALSE,
+		orderside='short',
+		ordertype='stoplimit',
+		tmult=TRUE,
+		threshold=.stoploss,
+		TxnFees=.txn,
+		orderqty='all',
+		orderset='ocoshort'
+	),
+	type='chain',
+	parent='EnterSHORT',
+	label='StopLossSHORT',
+	storefun=FALSE
+)
+
+### stop-trailing
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='long' , sigval=TRUE,
+		replace=FALSE,
+		orderside='long',
+		ordertype='stoptrailing',
+		tmult=TRUE,
+		threshold=.stoptrailing,
+		TxnFees=.txn,
+		orderqty='all',
+		orderset='ocolong'
+	),
+	type='chain',
+	parent='EnterLONG',
+	label='StopTrailingLONG',
+	storefun=FALSE
+)
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='short' , sigval=TRUE,
+		replace=FALSE,
+		orderside='short',
+		ordertype='stoptrailing',
+		tmult=TRUE,
+		threshold=.stoptrailing,
+		TxnFees=.txn,
+		orderqty='all',
+		orderset='ocoshort'
+	),
+	type='chain',
+	parent='EnterSHORT',
+	label='StopTrailingSHORT',
+	storefun=FALSE
+)
+
+### take-profit
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='long' , sigval=TRUE,
+		replace=FALSE,
+		orderside='long',
+		ordertype='limit',
+		tmult=TRUE,
+		threshold=.takeprofit,
+		TxnFees=.txn,
+		orderqty='all',
+		orderset='ocolong'
+	),
+	type='chain',
+	parent='EnterLONG',
+	label='TakeProfitLONG',
+	storefun=FALSE
+)
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='short' , sigval=TRUE,
+		replace=FALSE,
+		orderside='short',
+		ordertype='limit',
+		tmult=TRUE,
+		threshold=.takeprofit,
+		TxnFees=.txn,
+		orderqty='all',
+		orderset='ocoshort'
+	),
+	type='chain',
+	parent='EnterSHORT',
+	label='TakeProfitSHORT',
+	storefun=FALSE
+)
+
+### normal exits
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='long' , sigval=TRUE,
+		replace=TRUE,
+		orderside='short',
+		ordertype='market',
+		TxnFees=.txn,
+		orderqty='all',
+		orderset='ocoshort'
+	),
+	type='exit',
+	timespan = .timespan,
+	label='Exit2LONG',
+	storefun=FALSE
+)
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='short', sigval=TRUE,
+		replace=TRUE,
+		orderside='long' ,
+		ordertype='market',
+		TxnFees=.txn,
+		orderqty='all',
+		orderset='ocolong'
+	),
+	type='exit',
+	timespan = .timespan,
+	label='Exit2SHORT',
+	storefun=FALSE
+)
+
+### entries
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='long' , sigval=TRUE,
+		replace=FALSE,
+		orderside='long' ,
+		ordertype='stoplimit',
+		prefer='High',
+		threshold=.th,
+		TxnFees=0,
+		orderqty=+.qty,
+		osFUN=osMaxPos,
+		orderset='ocolong'
+	),
+	type='enter',
+	timespan = .timespan,
+	label='EnterLONG',
+	storefun=FALSE
+)
+
+add.rule(s, name = 'ruleSignal',
+	arguments=list(sigcol='short', sigval=TRUE,
+		replace=FALSE,
+		orderside='short',
+		ordertype='stoplimit',
+		prefer='Low',
+		threshold=.th,
+		TxnFees=0,
+		orderqty=-.qty,
+		osFUN=osMaxPos,
+		orderset='ocoshort'
+	),
+	type='enter',
+	timespan = .timespan,
+	label='EnterSHORT',
+	storefun=FALSE
+)
+
+###
+
+save.strategy('luxor')


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