[Blotter-commits] r1428 - pkg/quantstrat/demo
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sun Apr 7 00:34:04 CEST 2013
Author: gsee
Date: 2013-04-07 00:34:04 +0200 (Sun, 07 Apr 2013)
New Revision: 1428
Modified:
pkg/quantstrat/demo/pair_trade.R
Log:
formatting: "\t" --> " ", 80 margins, spaces between args, etc.
Modified: pkg/quantstrat/demo/pair_trade.R
===================================================================
--- pkg/quantstrat/demo/pair_trade.R 2013-04-06 22:10:42 UTC (rev 1427)
+++ pkg/quantstrat/demo/pair_trade.R 2013-04-06 22:34:04 UTC (rev 1428)
@@ -1,26 +1,28 @@
#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. It uses addPosLimits to specify levels and
-#position limits, and shows how to pass a custom order sizing function to osFUN
+# This is a simple pairs trading example intended to illustrate how you can
+# extend existing quantstrat functionality. 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.
+# 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 the ratio of their notional values. 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.
+## given 2 stocks, calculate the ratio of their notional values. 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
+# its 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
suppressWarnings(rm("order_book.pair1",pos=.strategy))
suppressWarnings(rm("account.pairs", "portfolio.pair1", pos=.blotter))
-suppressWarnings(rm("initDate", "endDate", "startDate", "initEq", "SD", "N", "symb1", "symb2",
- "portfolio1.st", "account.st", "pairStrat", "out1"))
+suppressWarnings(rm("initDate", "endDate", "startDate", "initEq", "SD", "N",
+ "symb1", "symb2", "portfolio1.st", "account.st",
+ "pairStrat", "out1"))
require(quantstrat)
@@ -37,16 +39,17 @@
# {initDate="1999-12-31"
# endDate=Sys.Date()}
-initDate = '2009-01-01'
-endDate = '2011-05-01'
-startDate = '2009-01-02'
-initEq = 100000
-SD = 2
-N = 20
+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
+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 <- 'SPY' #change these to try other pairs
symb2 <- 'DIA' #if you change them, make sure position limits still make sense
@@ -56,160 +59,218 @@
getSymbols(c(symb1, symb2), from=startDate, to=endDate, adjust=TRUE)
-#generic used to make sure the timestamps of all symbols are the same
-#deletes rows where one of the stocks is missing data
+# The following function is used to make sure the timestamps of all symbols are
+# the same deletes rows where one of the stocks is missing data
alignSymbols <- function(symbols, env=.GlobalEnv) {
- if (length(symbols) < 2)
- stop("Must provide at least 2 symbols")
- if (any(!is.character(symbols)))
- stop("Symbols must be vector of character strings.")
- ff <- get(symbols[1],env=env)
- for (sym in symbols[-1]) {
- tmp.sym <- get(sym,env=env)
- ff <- merge(ff,tmp.sym,all=FALSE)
- }
- for (sym in symbols) {
- assign(sym,ff[,grep(sym,colnames(ff))],env=env)
- }
- symbols
+ # This is a simplified version of qmao::alignSymbols()
+ if (length(symbols) < 2)
+ stop("Must provide at least 2 symbols")
+ if (any(!is.character(symbols)))
+ stop("Symbols must be vector of character strings.")
+ ff <- get(symbols[1],env=env)
+ for (sym in symbols[-1]) {
+ tmp.sym <- get(sym,env=env)
+ ff <- merge(ff, tmp.sym, all=FALSE)
+ }
+ for (sym in symbols) {
+ assign(sym,ff[,grep(sym, colnames(ff))], env=env)
+ }
+ symbols
}
-alignSymbols(c(symb1,symb2))
+alignSymbols(c(symb1, symb2))
-#Define Instruments
+# Define Instruments
currency("USD")
stock(symb1, currency="USD", multiplier=1)
stock(symb2, currency="USD", multiplier=1)
-#Initialize Portfolio, Account, and Orders
+# 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)
+initOrders(portfolio=portfolio1.st, initDate=initDate)
-#osFUN will need to know which symbol is leg 1 and which is leg 2 as well as what the
-#values are for MaxPos and lvls. So, create a slot in portfolio to hold this info.
-pair <- c(1,2,MaxPos,lvls)
-names(pair) <- c(symb1,symb2,"MaxPos","lvls")
-.blotter[[paste('portfolio',portfolio1.st,sep='.')]]$pair <- pair
+# osFUN will need to know which symbol is leg 1 and which is leg 2 as well as
+# what the values are for MaxPos and lvls. So, create a slot in portfolio to
+# hold this info.
+pair <- c(1, 2, MaxPos, lvls)
+names(pair) <- c(symb1, symb2, "MaxPos", "lvls")
+.blotter[[paste('portfolio', portfolio1.st, sep='.')]]$pair <- pair
# Create initial position limits and levels by symbol
# allow 3 entries for long and short if lvls=3.
-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)
+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')
# Indicator function
-calcRatio <- function(x) { #returns the ratio of notional close prices for 2 symbols
- x1 <- get(x[1])
- x2 <- get(x[2])
- mult1 <- getInstrument(x[1])$multiplier
- mult2 <- getInstrument(x[2])$multiplier
- rat <- (mult1 * Cl(x1)) / (mult2 * Cl(x2))
- colnames(rat) <- 'Ratio'
- rat
-}
-Ratio <- calcRatio(c(symb1[1],symb2[1])) #Indicator used for determining entry/exits
+calcRatio <- function(x) {
+ #returns the ratio of notional close prices for 2 symbols
+ x1 <- get(x[1])
+ x2 <- get(x[2])
+ mult1 <- getInstrument(x[1])$multiplier
+ mult2 <- getInstrument(x[2])$multiplier
+ rat <- (mult1 * Cl(x1)) / (mult2 * Cl(x2))
+ colnames(rat) <- 'Ratio'
+ rat
+}
+# Indicator used for determining entry/exits
+Ratio <- calcRatio(c(symb1[1], symb2[1]))
-#Put a slot in portfolio to hold hedge ratio so that it's available for order sizing function.
-#In this example, the hedge ratio happens to be the same as the Ratio indicator.
+# Store hedge ratio in portfolio so that it's available for order sizing
+# function. In this example, the hedge ratio happens to be the same as the
+# Ratio indicator.
.blotter[[paste('portfolio',portfolio1.st,sep='.')]]$HedgeRatio <- Ratio
#and make a function to get the most recent HedgeRatio
getHedgeRatio <- function(portfolio, timestamp) {
- portf <- getPortfolio(portfolio)
- timestamp <- format(timestamp,"%Y-%m-%d %H:%M:%S") #ensures you don't get last value of next day if using intraday data and timestamp=midnight
- toDate <- paste("::", timestamp, sep="")
- Ratio <- last(portf$HedgeRatio[toDate])
- as.numeric(Ratio)
+ portf <- getPortfolio(portfolio)
+ timestamp <- format(timestamp,"%Y-%m-%d %H:%M:%S")
+ # above line ensures you don't get last value of next day if using intraday
+ # data and timestamp=midnight
+ toDate <- paste("::", timestamp, sep="")
+ Ratio <- last(portf$HedgeRatio[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'))
+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")
+# 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)
- #check to make sure pair slot has the things needed for this function
- if (!any(portf$pair == 1) && !(any(portf$pair == 2))) stop('pair must contain both values 1 and 2')
- if (!any(names(portf$pair) == "MaxPos") || !any(names(portf$pair) == "lvls")) stop('pair must contain MaxPos and lvls')
-
- if (portf$pair[symbol] == 1) legside <- "long"
- if (portf$pair[symbol] == 2) legside <- "short"
- MaxPos <- portf$pair["MaxPos"]
- lvls <- portf$pair["lvls"]
- ratio <- getHedgeRatio(portfolio, timestamp)
- pos <- getPosQty(portfolio, symbol, timestamp)
- PosLimit <- getPosLimit(portfolio, symbol, timestamp)
- qty <- orderqty
- if (legside == "short") {#symbol is 2nd leg
- ## Comment out next line to use equal ordersizes for each stock.
- addPosLimit(portfolio=portfolio, timestamp=timestamp, symbol=symbol, maxpos=round(MaxPos*ratio,0), longlevels=lvls, minpos=round(-MaxPos*ratio,0), shortlevels=lvls)
- ##
- qty <- -orderqty #switch orderqty for Stock B
- }
-
- if (qty > 0) orderside = 'long'
- if (qty < 0) orderside = 'short'
+# make an order sizing function
+#######################_ORDER SIZING FUNCTION_##################################
+# check to see which stock it is. If it's the second stock, reverse orderqty and
+# orderside
+osSpreadMaxPos <- function (data, timestamp, orderqty, ordertype, orderside,
+ portfolio, symbol, ruletype, ..., orderprice) {
+ portf <- getPortfolio(portfolio)
+ #check to make sure pair slot has the things needed for this function
+ if (!any(portf$pair == 1) && !(any(portf$pair == 2)))
+ stop('pair must contain both values 1 and 2')
+ if (!any(names(portf$pair) == "MaxPos") || !any(names(portf$pair) == "lvls"))
+ stop('pair must contain MaxPos and lvls')
+
+ if (portf$pair[symbol] == 1) legside <- "long"
+ if (portf$pair[symbol] == 2) legside <- "short"
+ MaxPos <- portf$pair["MaxPos"]
+ lvls <- portf$pair["lvls"]
+ ratio <- getHedgeRatio(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=round(MaxPos*ratio,0), longlevels=lvls,
+ minpos=round(-MaxPos*ratio,0), shortlevels=lvls)
+ ##
+ 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, ...)
-
- #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, replace = FALSE,
- status = "open", ... = ...)
- }
- return(0) #so that ruleSignal function doesn't also try to place an order
+ orderqty <- osMaxPos(data=data,timestamp=timestamp, orderqty=qty,
+ ordertype=ordertype, orderside=orderside,
+ portfolio=portfolio, symbol=symbol, ruletype=ruletype,
+ ...)
+
+ #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, replace=FALSE,
+ 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')
+# 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
+## for debugging
+# applySignals(strategy=pairStrat,
+# mktdata=applyIndicators(strategy=pairStrat, mktdata=get(symb1)))
+##
+
out1<-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())
+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)
+chart.Posn(Portfolio=portfolio1.st, Symbol=symb1)
dev.new()
-chart.Posn(Portfolio=portfolio1.st,Symbol=symb2)
+chart.Posn(Portfolio=portfolio1.st, Symbol=symb2)
dev.new()
-chartSeries(Cl(get(symb1))/Cl(get(symb2)),TA="addBBands(n=N,sd=SD)")
+chartSeries(Cl(get(symb1))/Cl(get(symb2)), TA="addBBands(n=N,sd=SD)")
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(ret1$total,geometric=FALSE,wealth.index=TRUE)
+if("package:PerformanceAnalytics" %in% search() ||
+ require("PerformanceAnalytics",quietly=TRUE)) {
+# getSymbols("SPY", from='1999-01-01')
+# SPY.ret <- Return.calculate(SPY$SPY.Close)
+# tmp <- merge(SPY.ret,ret1$total,all=FALSE)
+ dev.new()
+ charts.PerformanceSummary(ret1$total, geometric=FALSE, wealth.index=TRUE)
}
More information about the Blotter-commits
mailing list