[Blotter-commits] r1448 - pkg/quantstrat/demo
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Apr 24 21:52:23 CEST 2013
Author: opentrades
Date: 2013-04-24 21:52:23 +0200 (Wed, 24 Apr 2013)
New Revision: 1448
Added:
pkg/quantstrat/demo/luxor.7.MAE.stoploss.R
pkg/quantstrat/demo/luxor.7.MAE.stoptrailing.R
pkg/quantstrat/demo/luxor.7.MFE.takeprofit.R
pkg/quantstrat/demo/luxor.getSymbols.R
pkg/quantstrat/demo/luxor.include.R
Removed:
pkg/quantstrat/demo/luxor-3.11.R
pkg/quantstrat/demo/luxor-3.12.R
pkg/quantstrat/demo/luxor-3.16.R
pkg/quantstrat/demo/luxor.symbols.R
Modified:
pkg/quantstrat/demo/luxor.1.strategy.R
pkg/quantstrat/demo/luxor.3.paramset.sma.R
pkg/quantstrat/demo/luxor.5.orderchains.R
pkg/quantstrat/demo/luxor.6.paramset.stoploss.R
pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R
pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R
Log:
- various improvements to luxor demos
Deleted: pkg/quantstrat/demo/luxor-3.11.R
===================================================================
--- pkg/quantstrat/demo/luxor-3.11.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor-3.11.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -1,35 +0,0 @@
-#!/usr/bin/Rscript --vanilla
-#
-# Jan Humme (@opentrades) - August 2012
-#
-# Tested and found to work correctly using blotter r1143
-#
-# 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
-
-require('blotter')
-
-data('luxor-p066', package='quantstrat', envir=.blotter)
-
-currency(c('GBP', 'USD'))
-exchange_rate(c('GBPUSD'), tick_size=0.0001)
-
-chart.ME('luxor', 'GBPUSD', type='MAE', scale='cash')
-
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Deleted: pkg/quantstrat/demo/luxor-3.12.R
===================================================================
--- pkg/quantstrat/demo/luxor-3.12.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor-3.12.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -1,35 +0,0 @@
-#!/usr/bin/Rscript --vanilla
-#
-# Jan Humme (@opentrades) - August 2012
-#
-# Tested and found to work correctly using blotter r1143
-#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
-#
-# Figure 3.12: MAE graph in percentage terms
-
-require('blotter')
-
-data('luxor-p066', package='quantstrat', envir=.blotter)
-
-currency(c('GBP', 'USD'))
-exchange_rate(c('GBPUSD'), tick_size=0.0001)
-
-chart.ME('luxor', type='MAE', scale='percent')
-
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Deleted: pkg/quantstrat/demo/luxor-3.16.R
===================================================================
--- pkg/quantstrat/demo/luxor-3.16.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor-3.16.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -1,35 +0,0 @@
-#!/usr/bin/Rscript --vanilla
-#
-# Jan Humme (@opentrades) - August 2012
-#
-# Tested and found to work correctly using blotter r1143
-#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
-#
-# Figure 3.16: MFE graph in percentage terms
-
-require('blotter')
-
-data('luxor-p066', package='quantstrat', envir=.blotter)
-
-currency(c('GBP', 'USD'))
-exchange_rate(c('GBPUSD'), tick_size=0.0001)
-
-chart.ME('luxor', type='MFE', scale='percent')
-
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.1.strategy.R
===================================================================
--- pkg/quantstrat/demo/luxor.1.strategy.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor.1.strategy.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -16,10 +16,6 @@
.fast = 10
.slow = 30
-.orderqty = 100000
-.threshold = 0.0005
-.txn.fees = -30
-
##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
@@ -31,16 +27,9 @@
# {initDate="1999-12-31"
# endDate=Sys.Date()}
-initDate = '2002-10-21'
+source('luxor.include.R')
+source('luxor.getSymbols.R')
-####
-
-strategy.st = 'luxor'
-portfolio.st = 'forex'
-account.st = 'IB1'
-
-source('luxor.symbols.R')
-
### blotter
initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
@@ -97,7 +86,7 @@
orderside='short',
ordertype='market',
orderqty='all',
- TxnFees=.txn.fees,
+ TxnFees=.txnfees,
replace=TRUE
),
type='exit',
@@ -109,7 +98,7 @@
orderside='long' ,
ordertype='market',
orderqty='all',
- TxnFees=.txn.fees,
+ TxnFees=.txnfees,
replace=TRUE
),
type='exit',
Modified: pkg/quantstrat/demo/luxor.3.paramset.sma.R
===================================================================
--- pkg/quantstrat/demo/luxor.3.paramset.sma.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor.3.paramset.sma.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -15,16 +15,9 @@
###
-initDate = '2002-10-21'
+source('luxor.include.R')
+source('luxor.getSymbols.R')
-####
-
-strategy.st = 'luxor'
-portfolio.st = 'forex'
-account.st = 'IB1'
-
-source('luxor.symbols.R')
-
### blotter
initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
Modified: pkg/quantstrat/demo/luxor.5.orderchains.R
===================================================================
--- pkg/quantstrat/demo/luxor.5.orderchains.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor.5.orderchains.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -10,19 +10,6 @@
options(width = 240)
#Sys.setenv(TZ="GMT")
-.fast = 1
-.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
-
##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
@@ -34,71 +21,47 @@
# {initDate="1999-12-31"
# endDate=Sys.Date()}
-initDate = '2002-10-21'
.from='2002-10-21'
#.to='2008-07-04'
.to='2002-10-31'
-#.to='2002-12-31'
-#.to='2003-12-31'
-#.from='2006-01-01'
-#.to='2006-12-31'
-#.from='2007-01-01'
-#.to='2007-12-31'
-####
-
-s = 'luxor'
-p = 'forex'
-a = 'IB1'
-
###
-require(quantstrat)
+source('luxor.include.R')
+source('luxor.getSymbols.R')
-currency(c('GBP', 'USD'))
+### blotter
-exchange_rate(c('GBPUSD'), tick_size=0.0001)
+initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
+initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
-setSymbolLookup.FI(system.file('extdata',package='quantstrat'), 'GBPUSD')
+### quantstrat
-###
+initOrders(portfolio.st, initDate=initDate)
-getSymbols('GBPUSD', from=.from, to=.to, verbose=FALSE)
-GBPUSD = to.minutes30(GBPUSD)
-GBPUSD = align.time(to.minutes30(GBPUSD), 1800)
+### define strategy
-###
-
-initPortf(p, symbols='GBPUSD', initDate=initDate, currency='USD')
-initAcct(a, portfolios=p, initDate=initDate, currency='USD')
-
-###
-
-initOrders(p, initDate=initDate)
-
-### strategy ######################################################################
-
addPosLimit(
- portfolio=p,
+ portfolio=portfolio.st,
symbol='GBPUSD',
timestamp=initDate,
- maxpos=.qty)
+ maxpos=.orderqty)
-strategy(s, store=TRUE)
+strategy(strategy.st, store=TRUE)
### indicators
-add.indicator(s, name = "SMA",
+add.indicator(strategy.st, name = "SMA",
arguments = list(
- x = quote(Cl(mktdata)),
+ x = quote(Cl(mktdata)[,1]),
n = .fast
),
label="nFast"
)
-add.indicator(s, name="SMA",
+add.indicator(strategy.st, name="SMA",
arguments = list(
- x = quote(Cl(mktdata)),
+ x = quote(Cl(mktdata)[,1]),
n = .slow
),
label="nSlow"
@@ -106,7 +69,7 @@
### signals
-add.signal(s, name = 'sigCrossover',
+add.signal(strategy.st, name='sigCrossover',
arguments = list(
columns=c("nFast","nSlow"),
relationship="gte"
@@ -114,7 +77,7 @@
label='long'
)
-add.signal(s, name = 'sigCrossover',
+add.signal(strategy.st, name='sigCrossover',
arguments = list(
columns=c("nFast","nSlow"),
relationship="lt"
@@ -126,36 +89,34 @@
### stop-loss
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='long' , sigval=TRUE,
replace=FALSE,
orderside='long',
ordertype='stoplimit',
tmult=TRUE,
threshold=.stoploss,
- TxnFees=.txn,
+ TxnFees=.txnfees,
orderqty='all',
orderset='ocolong'
),
- type='chain',
- parent='EnterLONG',
+ type='chain', parent='EnterLONG',
label='StopLossLONG',
storefun=FALSE
)
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='short' , sigval=TRUE,
replace=FALSE,
orderside='short',
ordertype='stoplimit',
tmult=TRUE,
threshold=.stoploss,
- TxnFees=.txn,
+ TxnFees=.txnfees,
orderqty='all',
orderset='ocoshort'
),
- type='chain',
- parent='EnterSHORT',
+ type='chain', parent='EnterSHORT',
label='StopLossSHORT',
storefun=FALSE
)
@@ -164,36 +125,34 @@
if(TRUE)
{
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='long' , sigval=TRUE,
replace=FALSE,
orderside='long',
ordertype='stoptrailing',
tmult=TRUE,
threshold=.stoptrailing,
- TxnFees=.txn,
+ TxnFees=.txnfees,
orderqty='all',
orderset='ocolong'
),
- type='chain',
- parent='EnterLONG',
+ type='chain', parent='EnterLONG',
label='StopTrailingLONG',
storefun=FALSE
)
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='short' , sigval=TRUE,
replace=FALSE,
orderside='short',
ordertype='stoptrailing',
tmult=TRUE,
threshold=.stoptrailing,
- TxnFees=.txn,
+ TxnFees=.txnfees,
orderqty='all',
orderset='ocoshort'
),
- type='chain',
- parent='EnterSHORT',
+ type='chain', parent='EnterSHORT',
label='StopTrailingSHORT',
storefun=FALSE
)
@@ -201,48 +160,46 @@
### take-profit
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='long' , sigval=TRUE,
replace=FALSE,
orderside='long',
ordertype='limit',
tmult=TRUE,
threshold=.takeprofit,
- TxnFees=.txn,
+ TxnFees=.txnfees,
orderqty='all',
orderset='ocolong'
),
- type='chain',
- parent='EnterLONG',
+ type='chain', parent='EnterLONG',
label='TakeProfitLONG',
storefun=FALSE
)
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='short' , sigval=TRUE,
replace=FALSE,
orderside='short',
ordertype='limit',
tmult=TRUE,
threshold=.takeprofit,
- TxnFees=.txn,
+ TxnFees=.txnfees,
orderqty='all',
orderset='ocoshort'
),
- type='chain',
- parent='EnterSHORT',
+ type='chain', parent='EnterSHORT',
label='TakeProfitSHORT',
storefun=FALSE
)
###
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='long' , sigval=TRUE,
replace=TRUE,
orderside='short',
ordertype='market',
- TxnFees=.txn,
+ TxnFees=.txnfees,
orderqty='all',
orderset='ocoshort'
),
@@ -252,12 +209,12 @@
storefun=FALSE
)
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='short', sigval=TRUE,
replace=TRUE,
orderside='long' ,
ordertype='market',
- TxnFees=.txn,
+ TxnFees=.txnfees,
orderqty='all',
orderset='ocolong'
),
@@ -267,15 +224,15 @@
storefun=FALSE
)
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='long' , sigval=TRUE,
replace=FALSE,
orderside='long' ,
ordertype='stoplimit',
prefer='High',
- threshold=.th,
+ threshold=.threshold,
TxnFees=0,
- orderqty=+.qty,
+ orderqty=+.orderqty,
osFUN=osMaxPos,
orderset='ocolong'
),
@@ -285,15 +242,15 @@
storefun=FALSE
)
-add.rule(s, name = 'ruleSignal',
+add.rule(strategy.st, name = 'ruleSignal',
arguments=list(sigcol='short', sigval=TRUE,
replace=FALSE,
orderside='short',
ordertype='stoplimit',
prefer='Low',
- threshold=.th,
+ threshold=.threshold,
TxnFees=0,
- orderqty=-.qty,
+ orderqty=-.orderqty,
osFUN=osMaxPos,
orderset='ocoshort'
),
@@ -307,24 +264,26 @@
###############################################################################
-applyStrategy(s, p, verbose = FALSE)
-#applyStrategy(s, p, prefer='Open', verbose = FALSE)
+applyStrategy(strategy.st, portfolio.st, verbose = FALSE)
+#applyStrategy(strategy.st, p, prefer='Open', verbose = FALSE)
-updatePortf(p, Symbols='GBPUSD', ,Dates=paste('::',as.Date(Sys.time()),sep=''))
+updatePortf(portfolio.st, Symbols='GBPUSD', ,Dates=paste('::',as.Date(Sys.time()),sep=''))
###############################################################################
-chart.Posn(p, "GBPUSD")
+chart.Posn(portfolio.st, "GBPUSD")
-print(getOrderBook(p))
+print(getOrderBook(portfolio.st))
-#txns <- getTxns(p, 'GBPUSD')
+#txns <- getTxns(portfolio.st, 'GBPUSD')
#txns
##txns$Net
#cat('Net profit:', sum(txns$Net.Txn.Realized.PL), '\n')
-print(tradeStats(p, 'GBPUSD'))
+print(tradeStats(portfolio.st, 'GBPUSD'))
+save.strategy(strategy.st)
+
##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
# book = getOrderBook(port)
# stats = tradeStats(port)
Modified: pkg/quantstrat/demo/luxor.6.paramset.stoploss.R
===================================================================
--- pkg/quantstrat/demo/luxor.6.paramset.stoploss.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor.6.paramset.stoploss.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -13,15 +13,6 @@
options(width = 240)
#Sys.setenv(TZ="GMT")
-.qty=100000
-
-.fast = 10
-.slow = 30
-
-.qty=100000
-.th=0.0005
-.txn=0
-
##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
@@ -33,24 +24,17 @@
# {initDate="1999-12-31"
# endDate=Sys.Date()}
-initDate = '2002-10-21'
+source('luxor.include.R')
+source('luxor.getSymbols.R')
-source('luxor.symbols.R')
-
###
-strategy.st = 'luxor'
-portfolio.st = 'forex'
-account.st = 'IB1'
-
-source('luxor.symbols.R')
-
initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
addPosLimit(
portfolio=portfolio.st,
symbol='GBPUSD',
timestamp=initDate,
- maxpos=.qty)
+ maxpos=.orderqty)
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
Modified: pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R
===================================================================
--- pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -13,15 +13,6 @@
options(width = 240)
Sys.setenv(TZ='UTC')
-.qty=100000
-
-.fast = 10
-.slow = 30
-
-.qty=100000
-.th=0.0005
-.txn=0
-
##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
@@ -33,22 +24,17 @@
# {initDate="1999-12-31"
# endDate=Sys.Date()}
-initDate = '2002-10-21'
+source('luxor.include.R')
+source('luxor.getSymbols.R')
-source('luxor.symbols.R')
-
###
-strategy.st = 'luxor'
-portfolio.st = 'forex'
-account.st = 'IB1'
-
initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
addPosLimit(
portfolio=portfolio.st,
symbol='GBPUSD',
timestamp=initDate,
- maxpos=.qty)
+ maxpos=.orderqty)
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
Modified: pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R
===================================================================
--- pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -13,15 +13,6 @@
options(width = 240)
Sys.setenv(TZ='UTC')
-.qty=100000
-
-.fast = 10
-.slow = 30
-
-.qty=100000
-.th=0.0005
-.txn=0
-
##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
@@ -33,22 +24,17 @@
# {initDate="1999-12-31"
# endDate=Sys.Date()}
-initDate = '2002-10-21'
+source('luxor.include.R')
+source('luxor.getSymbols.R')
-source('luxor.symbols.R')
-
###
-strategy.st = 'luxor'
-portfolio.st = 'forex'
-account.st = 'IB1'
-
initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
addPosLimit(
portfolio=portfolio.st,
symbol='GBPUSD',
timestamp=initDate,
- maxpos=.qty)
+ maxpos=.orderqty)
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
Copied: pkg/quantstrat/demo/luxor.7.MAE.stoploss.R (from rev 1447, pkg/quantstrat/demo/luxor-3.11.R)
===================================================================
--- pkg/quantstrat/demo/luxor.7.MAE.stoploss.R (rev 0)
+++ pkg/quantstrat/demo/luxor.7.MAE.stoploss.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -0,0 +1,35 @@
+#!/usr/bin/Rscript --vanilla
+#
+# Jan Humme (@opentrades) - August 2012
+#
+# Tested and found to work correctly using blotter r1143
+#
+# 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
+
+require('blotter')
+
+data('luxor-p066', package='quantstrat', envir=.blotter)
+
+currency(c('GBP', 'USD'))
+exchange_rate(c('GBPUSD'), tick_size=0.0001)
+
+chart.ME('luxor', 'GBPUSD', type='MAE', scale='cash')
+
+##### PLACE DEMO AND TEST DATES HERE #################
+#
+#if(isTRUE(options('in_test')$in_test))
+# # use test dates
+# {initDate="2011-01-01"
+# endDate="2012-12-31"
+# } else
+# # use demo defaults
+# {initDate="1999-12-31"
+# endDate=Sys.Date()}
+
+##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
+# book = getOrderBook(port)
+# stats = tradeStats(port)
+# rets = PortfReturns(acct)
+################################################################
Copied: pkg/quantstrat/demo/luxor.7.MAE.stoptrailing.R (from rev 1447, pkg/quantstrat/demo/luxor-3.12.R)
===================================================================
--- pkg/quantstrat/demo/luxor.7.MAE.stoptrailing.R (rev 0)
+++ pkg/quantstrat/demo/luxor.7.MAE.stoptrailing.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -0,0 +1,35 @@
+#!/usr/bin/Rscript --vanilla
+#
+# Jan Humme (@opentrades) - August 2012
+#
+# Tested and found to work correctly using blotter r1143
+#
+# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+#
+# Figure 3.12: MAE graph in percentage terms
+
+require('blotter')
+
+data('luxor-p066', package='quantstrat', envir=.blotter)
+
+currency(c('GBP', 'USD'))
+exchange_rate(c('GBPUSD'), tick_size=0.0001)
+
+chart.ME('luxor', type='MAE', scale='percent')
+
+##### PLACE DEMO AND TEST DATES HERE #################
+#
+#if(isTRUE(options('in_test')$in_test))
+# # use test dates
+# {initDate="2011-01-01"
+# endDate="2012-12-31"
+# } else
+# # use demo defaults
+# {initDate="1999-12-31"
+# endDate=Sys.Date()}
+
+##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
+# book = getOrderBook(port)
+# stats = tradeStats(port)
+# rets = PortfReturns(acct)
+################################################################
Copied: pkg/quantstrat/demo/luxor.7.MFE.takeprofit.R (from rev 1447, pkg/quantstrat/demo/luxor-3.16.R)
===================================================================
--- pkg/quantstrat/demo/luxor.7.MFE.takeprofit.R (rev 0)
+++ pkg/quantstrat/demo/luxor.7.MFE.takeprofit.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -0,0 +1,35 @@
+#!/usr/bin/Rscript --vanilla
+#
+# Jan Humme (@opentrades) - August 2012
+#
+# Tested and found to work correctly using blotter r1143
+#
+# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+#
+# Figure 3.16: MFE graph in percentage terms
+
+require('blotter')
+
+data('luxor-p066', package='quantstrat', envir=.blotter)
+
+currency(c('GBP', 'USD'))
+exchange_rate(c('GBPUSD'), tick_size=0.0001)
+
+chart.ME('luxor', type='MFE', scale='percent')
+
+##### PLACE DEMO AND TEST DATES HERE #################
+#
+#if(isTRUE(options('in_test')$in_test))
+# # use test dates
+# {initDate="2011-01-01"
+# endDate="2012-12-31"
+# } else
+# # use demo defaults
+# {initDate="1999-12-31"
+# endDate=Sys.Date()}
+
+##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
+# book = getOrderBook(port)
+# stats = tradeStats(port)
+# rets = PortfReturns(acct)
+################################################################
Copied: pkg/quantstrat/demo/luxor.getSymbols.R (from rev 1447, pkg/quantstrat/demo/luxor.symbols.R)
===================================================================
--- pkg/quantstrat/demo/luxor.getSymbols.R (rev 0)
+++ pkg/quantstrat/demo/luxor.getSymbols.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -0,0 +1,45 @@
+#!/usr/bin/Rscript --vanilla
+#
+# Jan Humme (@opentrades) - August 2012, revised April 2013
+#
+# Tested and found to work correctly using blotter r1420
+#
+# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+#
+# Paragraph 3.2: luxor with $30 slippage and transaction costs
+
+Sys.setenv(TZ="UTC")
+
+.from='2002-10-21'
+#.to='2008-07-04'
+.to='2002-10-31'
+
+### packages
+#
+# quantstrat package will pull in some other packages:
+# FinancialInstrument, quantmod, blotter, xts
+
+require(quantstrat)
+
+### FinancialInstrument
+
+currency(c('GBP', 'USD'))
+
+exchange_rate('GBPUSD', tick_size=0.0001)
+
+### quantmod
+
+getSymbols.FI(Symbols='GBPUSD',
+ dir=system.file('extdata',package='quantstrat'),
+ from=.from, to=.to
+)
+
+# ALTERNATIVE WAY TO FETCH SYMBOL DATA
+#setSymbolLookup.FI(system.file('extdata',package='quantstrat'), 'GBPUSD')
+#getSymbols('GBPUSD', from=.from, to=.to, verbose=FALSE)
+
+### xts
+
+GBPUSD = to.minutes30(GBPUSD)
+GBPUSD = align.time(to.minutes30(GBPUSD), 1800)
+
Added: pkg/quantstrat/demo/luxor.include.R
===================================================================
--- pkg/quantstrat/demo/luxor.include.R (rev 0)
+++ pkg/quantstrat/demo/luxor.include.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -0,0 +1,27 @@
+###
+
+initDate = '2002-10-21'
+
+strategy.st = 'luxor'
+portfolio.st = 'forex'
+account.st = 'IB1'
+
+###
+
+.fast = 1
+.slow = 44
+
+.timespan = 'T08:00/T12:00'
+.timespan = 'T00:00/T23:59'
+
+.stoploss = 0.001
+.stoptrailing = 0.0015
+.takeprofit = 0.003
+
+###
+
+.orderqty = 100000
+.threshold = 0.0005
+.txnfees = -30
+
+###
Deleted: pkg/quantstrat/demo/luxor.symbols.R
===================================================================
--- pkg/quantstrat/demo/luxor.symbols.R 2013-04-24 16:00:39 UTC (rev 1447)
+++ pkg/quantstrat/demo/luxor.symbols.R 2013-04-24 19:52:23 UTC (rev 1448)
@@ -1,45 +0,0 @@
-#!/usr/bin/Rscript --vanilla
-#
-# Jan Humme (@opentrades) - August 2012, revised April 2013
-#
-# Tested and found to work correctly using blotter r1420
-#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
-#
-# Paragraph 3.2: luxor with $30 slippage and transaction costs
-
-Sys.setenv(TZ="UTC")
-
-.from='2002-10-21'
-#.to='2008-07-04'
-.to='2002-10-31'
-
-### packages
-#
-# quantstrat package will pull in some other packages:
-# FinancialInstrument, quantmod, blotter, xts
-
-require(quantstrat)
-
-### FinancialInstrument
-
-currency(c('GBP', 'USD'))
-
-exchange_rate('GBPUSD', tick_size=0.0001)
-
-### quantmod
-
-getSymbols.FI(Symbols='GBPUSD',
- dir=system.file('extdata',package='quantstrat'),
- from=.from, to=.to
-)
-
-# ALTERNATIVE WAY TO FETCH SYMBOL DATA
-#setSymbolLookup.FI(system.file('extdata',package='quantstrat'), 'GBPUSD')
-#getSymbols('GBPUSD', from=.from, to=.to, verbose=FALSE)
-
-### xts
-
-GBPUSD = to.minutes30(GBPUSD)
-GBPUSD = align.time(to.minutes30(GBPUSD), 1800)
-
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