[Blotter-commits] r1594 - in pkg/quantstrat: . R demo man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Mar 29 21:39:45 CET 2014
Author: braverock
Date: 2014-03-29 21:39:45 +0100 (Sat, 29 Mar 2014)
New Revision: 1594
Modified:
pkg/quantstrat/.project
pkg/quantstrat/DESCRIPTION
pkg/quantstrat/NAMESPACE
pkg/quantstrat/R/applyStrategy.rebalancing.R
pkg/quantstrat/R/ruleSignal.R
pkg/quantstrat/R/rules.R
pkg/quantstrat/R/strategy.R
pkg/quantstrat/demo/faber.R
pkg/quantstrat/demo/faber_rebal.R
pkg/quantstrat/demo/macdRebalancing.R
pkg/quantstrat/man/add.distribution.Rd
pkg/quantstrat/man/add.distribution.constraint.Rd
pkg/quantstrat/man/add.indicator.Rd
pkg/quantstrat/man/add.init.Rd
pkg/quantstrat/man/add.rule.Rd
pkg/quantstrat/man/add.signal.Rd
pkg/quantstrat/man/addOrder.Rd
pkg/quantstrat/man/addPosLimit.Rd
pkg/quantstrat/man/apply.paramset.Rd
pkg/quantstrat/man/applyIndicators.Rd
pkg/quantstrat/man/applyParameter.Rd
pkg/quantstrat/man/applyRules.Rd
pkg/quantstrat/man/applySignals.Rd
pkg/quantstrat/man/applyStrategy.Rd
pkg/quantstrat/man/applyStrategy.rebalancing.Rd
pkg/quantstrat/man/chart.forward.Rd
pkg/quantstrat/man/chart.forward.training.Rd
pkg/quantstrat/man/delete.paramset.Rd
pkg/quantstrat/man/enable.rule.Rd
pkg/quantstrat/man/get.strategy.Rd
pkg/quantstrat/man/getOrderBook.Rd
pkg/quantstrat/man/getOrders.Rd
pkg/quantstrat/man/getParameterTable.Rd
pkg/quantstrat/man/getPosLimit.Rd
pkg/quantstrat/man/initOrders.Rd
pkg/quantstrat/man/initStrategy.Rd
pkg/quantstrat/man/is.strategy.Rd
pkg/quantstrat/man/load.strategy.Rd
pkg/quantstrat/man/match.names.Rd
pkg/quantstrat/man/osMaxPos.Rd
pkg/quantstrat/man/osNoOp.Rd
pkg/quantstrat/man/paramConstraint.Rd
pkg/quantstrat/man/put.orderbook.Rd
pkg/quantstrat/man/put.strategy.Rd
pkg/quantstrat/man/rm.strat.Rd
pkg/quantstrat/man/ruleOrderProc.Rd
pkg/quantstrat/man/rulePctEquity.Rd
pkg/quantstrat/man/ruleRevoke.Rd
pkg/quantstrat/man/ruleSignal.Rd
pkg/quantstrat/man/save.strategy.Rd
pkg/quantstrat/man/setParameterConstraint.Rd
pkg/quantstrat/man/setParameterDistribution.Rd
pkg/quantstrat/man/sigComparison.Rd
pkg/quantstrat/man/sigCrossover.Rd
pkg/quantstrat/man/sigFormula.Rd
pkg/quantstrat/man/sigPeak.Rd
pkg/quantstrat/man/sigThreshold.Rd
pkg/quantstrat/man/sigTimestamp.Rd
pkg/quantstrat/man/strategy.Rd
pkg/quantstrat/man/tradeGraphs.Rd
pkg/quantstrat/man/tradeOrderStats.Rd
pkg/quantstrat/man/updateOrders.Rd
pkg/quantstrat/man/updateStrategy.Rd
pkg/quantstrat/man/walk.forward.Rd
Log:
- fix rebalancing and rebalancing demos
- update roxygen docs
- bump version
Modified: pkg/quantstrat/.project
===================================================================
--- pkg/quantstrat/.project 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/.project 2014-03-29 20:39:45 UTC (rev 1594)
@@ -14,5 +14,6 @@
<natures>
<nature>de.walware.statet.base.StatetNature</nature>
<nature>de.walware.statet.r.RNature</nature>
+ <nature>de.walware.statet.r.RPkgNature</nature>
</natures>
</projectDescription>
Modified: pkg/quantstrat/DESCRIPTION
===================================================================
--- pkg/quantstrat/DESCRIPTION 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/DESCRIPTION 2014-03-29 20:39:45 UTC (rev 1594)
@@ -1,15 +1,18 @@
Package: quantstrat
Type: Package
Title: Quantitative Strategy Model Framework
-Version: 0.8.0
+Version: 0.8.2
Date: $Date$
Author: Peter Carl, Brian G. Peterson, Joshua Ulrich, Jan Humme
Depends:
- xts(>= 0.8-2),TTR(>= 0.2),blotter(>= 0.7.2),
+ xts(>= 0.8-2),TTR(>= 0.2),
+ blotter(>= 0.7.2),
FinancialInstrument(>= 0.12.5),
foreach(>= 1.4.0)
Suggests:
- PerformanceAnalytics,PortfolioAnalytics,rgl,
+ PerformanceAnalytics,
+ PortfolioAnalytics,
+ rgl,
testthat,
xtsExtra
Maintainer: Brian G. Peterson <brian at braverock.com>
@@ -20,26 +23,3 @@
LazyLoad: yes
License: GPL-3
ByteCompile: TRUE
-Collate:
- 'applyStrategy.rebalancing.R'
- 'chart.forward.R'
- 'chart.forward.training.R'
- 'indicators.R'
- 'initialize.R'
- 'match.names.R'
- 'orders.R'
- 'osFUNs.R'
- 'parameters.R'
- 'paramsets.R'
- 'rebalance.rules.R'
- 'ruleOrderProc.R'
- 'ruleRevoke.R'
- 'rules.R'
- 'ruleSignal.R'
- 'signals.R'
- 'strategy.R'
- 'tradeGraphs.R'
- 'tradeOrderStats.R'
- 'utils.R'
- 'walk.forward.R'
- 'wrapup.R'
Modified: pkg/quantstrat/NAMESPACE
===================================================================
--- pkg/quantstrat/NAMESPACE 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/NAMESPACE 2014-03-29 20:39:45 UTC (rev 1594)
@@ -13,6 +13,7 @@
export(applySignals)
export(applyStrategy)
export(applyStrategy.rebalancing)
+export(applyStrategy.rebalancing.training)
export(chart.forward)
export(chart.forward.training)
export(delete.paramset)
@@ -46,6 +47,7 @@
export(sigFormula)
export(sigPeak)
export(sigThreshold)
+export(sigTimestamp)
export(strategy)
export(tradeGraphs)
export(tradeOrderStats)
Modified: pkg/quantstrat/R/applyStrategy.rebalancing.R
===================================================================
--- pkg/quantstrat/R/applyStrategy.rebalancing.R 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/R/applyStrategy.rebalancing.R 2014-03-29 20:39:45 UTC (rev 1594)
@@ -15,6 +15,7 @@
#' @seealso \code{\link{strategy}}, \code{\link{applyIndicators}},
#' \code{\link{applySignals}}, \code{\link{applyRules}},
#' \code{\link{initStrategy}}, \code{\link{applyStrategy}}
+#'
applyStrategy.rebalancing <- function(strategy ,
portfolios,
mktdata=NULL ,
@@ -130,6 +131,7 @@
#now we need to do the endpoints loop.
for(i in 2:length(pindex)){
+
#the proper endpoints for each symbol will vary, so we need to get
#them separately, and subset each one
for (symbol in symbols){
@@ -162,9 +164,14 @@
# specifically, we need to check if *this* index is in st$plist$period
for(period in names(st$plist)){
if(pindex[i] %in% st$plist[[period]]){
+
+ #print(pindex[i])
+ curIndex <- pindex[i] #make sure pindex is available as curIndex
+
#this index is a rebalancing index for period
#call the rebalance rules for this period
#still need to separate the rules by rebalancing period, this will call them all
+
ruleProc(s$rules$rebalance,
timestamp=pindex[i],
path.dep=TRUE,
Modified: pkg/quantstrat/R/ruleSignal.R
===================================================================
--- pkg/quantstrat/R/ruleSignal.R 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/R/ruleSignal.R 2014-03-29 20:39:45 UTC (rev 1594)
@@ -204,13 +204,23 @@
#TODO add fancy formals matching for osFUN
if(orderqty!='all')
{
- orderqty <- osFUN(strategy=strategy, data=mktdata, timestamp=timestamp, orderqty=orderqty, ordertype=ordertype, orderside=orderside, portfolio=portfolio, symbol=symbol,...=...,ruletype=ruletype, orderprice=as.numeric(orderprice))
+ orderqty <- osFUN(strategy=strategy,
+ data=mktdata,
+ timestamp=timestamp,
+ orderqty=orderqty,
+ ordertype=ordertype,
+ orderside=orderside,
+ portfolio=portfolio,
+ symbol=symbol,
+ ...=...,
+ ruletype=ruletype,
+ orderprice=as.numeric(orderprice))
}
- if(!is.null(orderqty) && orderqty!=0 && !is.null(orderprice)) #orderprice could have length > 1
+ if(!is.null(orderqty) && orderqty!=0 && length(orderprice) && is.numeric(orderprice[1])) #orderprice could have length > 1
{
-# if(orderqty != 'all' || getPosQty(portfolio, symbol, timestamp) != 0)
-# {
+ if(orderqty != 'all' || getPosQty(portfolio, symbol, timestamp) != 0)
+ {
addOrder(portfolio=portfolio,
symbol=symbol,
timestamp=timestamp,
@@ -228,8 +238,8 @@
prefer=prefer,
TxnFees=TxnFees,
label=label,
- time.in.force=time.in.force)
-# }
+ time.in.force=time.in.force)
+ }
}
}
if(sethold) hold <<- TRUE
Modified: pkg/quantstrat/R/rules.R
===================================================================
--- pkg/quantstrat/R/rules.R 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/R/rules.R 2014-03-29 20:39:45 UTC (rev 1594)
@@ -241,6 +241,7 @@
#' @param ... any other passthru parameters
#' @param path.dep TRUE/FALSE whether rule is path dependent, default TRUE, see Details
#' @param rule.order default NULL, use at your own risk to adjust order of rule evaluation
+#' @param debug if TRUE, return output list
#' @seealso \code{\link{add.rule}} \code{\link{applyStrategy}}
#' @export
applyRules <- function(portfolio,
@@ -253,7 +254,8 @@
parameters=NULL,
...,
path.dep=TRUE,
- rule.order=NULL) {
+ rule.order=NULL,
+ debug=FALSE) {
# TODO check for symbol name in mktdata using Josh's code:
# symbol <- strsplit(colnames(mktdata)[1],"\\.")[[1]][1]
@@ -486,7 +488,8 @@
holdtill=first(time(Dates))-1 # TODO FIXME make holdtill default more robust?
mktinstr<-getInstrument(symbol)
curIndex<-1
- freq <- periodicity(mktdata) # run once and pass to ruleOrderProc
+ if(nrow(mktdata)>1) freq <- periodicity(mktdata) # run once and pass to ruleOrderProc
+ else if (indexClass(mktdata) == 'Date') freq='daily'
# do order price subsetting outside of nextIndex and curIndex loop
# this avoids repeated [.xts calls; and mktPrices is never altered, so copies aren't made
@@ -526,7 +529,7 @@
while(curIndex){
timestamp=Dates[curIndex]
-
+
#print(paste('timestamp',timestamp,'first',first(index(mktdata)),'last',last(index(mktdata))))
# check to see if we need to release a hold
@@ -614,12 +617,17 @@
else curIndex=FALSE
} # end index while loop
- mktdata<<-mktdata
- if(is.null(ret)) {
+ if(isTRUE(debug)){
+ mktdata<<-mktdata
+
+ if(is.null(ret)) {
return(mktdata)
- }
- else return(ret)
-}
+ }
+ else return(ret)
+ } else {
+ return(NULL)
+ }
+} #end applyRules
# private function ruleProc, used by applyRules and applyStrategy.rebalancing
ruleProc <- function (ruletypelist,timestamp=NULL, path.dep, ruletype, ..., parameters=NULL){
Modified: pkg/quantstrat/R/strategy.R
===================================================================
--- pkg/quantstrat/R/strategy.R 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/R/strategy.R 2014-03-29 20:39:45 UTC (rev 1594)
@@ -96,6 +96,8 @@
#' @param symbols character vector identifying symbols to initialize a portfolio for, default NULL
#' @param initStrat whether to use (experimental) initialization code, default FALSE
#' @param updateStrat whether to use (experimental) wrapup code, default FALSE
+#' @param gc if TRUE, call \code{\link{gc}} after each symbol run, default FALSE (experimental)
+#' @param delorders if TRUE, delete the order book for a symbol at the end of the symbols loop, will cause issues with rebalancing, default FALSE (experimental)
#' @export
#' @seealso \code{\link{strategy}}, \code{\link{applyIndicators}},
#' \code{\link{applySignals}}, \code{\link{applyRules}},
@@ -108,7 +110,9 @@
debug=FALSE,
symbols=NULL,
initStrat=FALSE,
- updateStrat=FALSE ) {
+ updateStrat=FALSE,
+ gc=FALSE,
+ delorders=FALSE) {
#TODO add saving of modified market data
@@ -170,7 +174,8 @@
signals=sret$signals,
parameters=parameters,
...,
- path.dep=FALSE)
+ path.dep=FALSE,
+ debug=debug)
# Check for open orders
rem.orders <- suppressWarnings(getOrders(portfolio=portfolio, symbol=symbol, status="open")) #, timespan=timespan, ordertype=ordertype,which.i=TRUE)
@@ -184,9 +189,14 @@
signals=sret$signals,
parameters=parameters,
...,
- path.dep=TRUE)}
+ path.dep=TRUE,
+ debug=debug)}
if(isTRUE(debug)) ret[[portfolio]][[symbol]]<-sret
+
+ if(isTRUE(delorders)) .strategy[[paste("order_book",portfolio,sep='.')]][[symbol]]<-NULL #WARNING: This is VERY DESTRUCTIVE
+
+ if(isTRUE(gc)) gc()
}
# call updateStrategy
Modified: pkg/quantstrat/demo/faber.R
===================================================================
--- pkg/quantstrat/demo/faber.R 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/demo/faber.R 2014-03-29 20:39:45 UTC (rev 1594)
@@ -146,14 +146,15 @@
}
ret1 <- PortfReturns('faber')
-ret1$total<-rowSums(ret1)
+ret1 <- to.monthly(ret1)
+ret1$total <- rowSums(ret1)
+
View(ret1)
if("package:PerformanceAnalytics" %in% search() || require("PerformanceAnalytics",quietly=TRUE)){
getSymbols("SPY", src='yahoo', index.class=c("POSIXt","POSIXct"), from='1999-01-01')
SPY<-to.monthly(SPY)
SPY.ret<-Return.calculate(SPY$SPY.Close)
- index(SPY.ret)<-index(ret1)
dev.new()
charts.PerformanceSummary(cbind(ret1$total,SPY.ret), geometric=FALSE, wealth.index=TRUE)
}
Modified: pkg/quantstrat/demo/faber_rebal.R
===================================================================
--- pkg/quantstrat/demo/faber_rebal.R 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/demo/faber_rebal.R 2014-03-29 20:39:45 UTC (rev 1594)
@@ -45,6 +45,12 @@
# Load required libraries
require(quantstrat)
+#correct for TZ issues if they crop up
+oldtz <- Sys.getenv('TZ')
+if(oldtz=='') {
+ Sys.setenv(TZ="UTC")
+}
+
# Try to clean up in case the demo was run previously
suppressWarnings(rm("account.faber","portfolio.faber",pos=.blotter))
suppressWarnings(rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", "equity",
@@ -121,7 +127,7 @@
add.rule('faber', 'rulePctEquity',
arguments=list(rebalance_on='quarters',
trade.percent=1/length(symbols),
- refprice=quote(last(getPrice(mktdata)[paste('::',timestamp,sep='')][,1])),
+ refprice=quote(last(getPrice(mktdata)[paste('::',as.character(curIndex),sep='')][,1])),
digits=0
),
type='rebalance',
@@ -135,6 +141,8 @@
print("Strategy Loop:")
print(end_t-start_t)
+Sys.setenv(TZ=oldtz)
+
# look at the order book
#print(getOrderBook('faber'))
@@ -157,16 +165,17 @@
}
ret1 <- PortfReturns('faber')
-ret1$total<-rowSums(ret1)
-ret1
+ret1 <- to.monthly(ret1)
+ret1$total <- rowSums(ret1)
+View(ret1)
+
if("package:PerformanceAnalytics" %in% search() || require("PerformanceAnalytics",quietly=TRUE)){
- getSymbols("SPY", src='yahoo', index.class=c("POSIXt","POSIXct"), from='1999-01-01')
- SPY<-to.monthly(SPY)
- SPY.ret<-Return.calculate(SPY$SPY.Close)
- index(SPY.ret)<-index(ret1)
- dev.new()
- charts.PerformanceSummary(cbind(ret1$total,SPY.ret), geometric=FALSE, wealth.index=TRUE)
+ getSymbols("SPY", src='yahoo', index.class=c("POSIXt","POSIXct"), from='1999-01-01')
+ SPY <- to.monthly(SPY)
+ SPY.ret <- Return.calculate(SPY$SPY.Close)
+ dev.new()
+ charts.PerformanceSummary(cbind(ret1$total,SPY.ret), geometric=FALSE, wealth.index=TRUE)
}
faber.stats<-tradeStats('faber')[,c('Net.Trading.PL','Max.Drawdown','Num.Trades','Profit.Factor','Std.Dev.Trade.PL','Largest.Winner','Largest.Loser','Max.Equity','Min.Equity')]
Modified: pkg/quantstrat/demo/macdRebalancing.R
===================================================================
--- pkg/quantstrat/demo/macdRebalancing.R 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/demo/macdRebalancing.R 2014-03-29 20:39:45 UTC (rev 1594)
@@ -109,7 +109,7 @@
add.rule(strat.st, 'rulePctEquity',
arguments=list(rebalance_on='months',
trade.percent=.02,
- refprice=quote(last(getPrice(mktdata)[paste('::',timestamp,sep='')])),
+ refprice=quote(last(getPrice(mktdata)[paste('::',curIndex,sep='')])),
digits=0
),
type='rebalance',
@@ -119,7 +119,7 @@
#end rules
####
-getSymbols(stock.str,from=initDate)
+getSymbols(stock.str,from=initDate,src='yahoo')
start_t<-Sys.time()
out<-applyStrategy.rebalancing(strat.st , portfolios=portfolio.st,parameters=list(nFast=fastMA, nSlow=slowMA, nSig=signalMA,maType=maType),verbose=TRUE)
end_t<-Sys.time()
Modified: pkg/quantstrat/man/add.distribution.Rd
===================================================================
--- pkg/quantstrat/man/add.distribution.Rd 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/man/add.distribution.Rd 2014-03-29 20:39:45 UTC (rev 1594)
@@ -2,9 +2,8 @@
\alias{add.distribution}
\title{Adds a distribution to a paramset in a strategy}
\usage{
- add.distribution(strategy, paramset.label,
- component.type, component.label, variable,
- weight = NULL, label, store = TRUE)
+add.distribution(strategy, paramset.label, component.type, component.label,
+ variable, weight = NULL, label, store = TRUE)
}
\arguments{
\item{strategy}{the name of the strategy object to add
@@ -31,16 +30,15 @@
the .strategy environment}
}
\description{
- Creates a distribution in paramset, where a distribution
- consists of the name of a variable in a strategy
- component plus a range of values for this variable.
+Creates a distribution in paramset, where a distribution
+consists of the name of a variable in a strategy component
+plus a range of values for this variable.
}
\author{
- Jan Humme
+Jan Humme
}
\seealso{
- \code{\link{add.distribution.constraint}},
- \code{\link{delete.paramset}},
- \code{\link{apply.paramset}}
+\code{\link{add.distribution.constraint}},
+\code{\link{delete.paramset}}, \code{\link{apply.paramset}}
}
Modified: pkg/quantstrat/man/add.distribution.constraint.Rd
===================================================================
--- pkg/quantstrat/man/add.distribution.constraint.Rd 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/man/add.distribution.constraint.Rd 2014-03-29 20:39:45 UTC (rev 1594)
@@ -2,9 +2,8 @@
\alias{add.distribution.constraint}
\title{Adds a constraint on 2 distributions within a paramset}
\usage{
- add.distribution.constraint(strategy, paramset.label,
- distribution.label.1, distribution.label.2, operator,
- label, store = TRUE)
+add.distribution.constraint(strategy, paramset.label, distribution.label.1,
+ distribution.label.2, operator, label, store = TRUE)
}
\arguments{
\item{strategy}{the name of the strategy object to add
@@ -29,16 +28,15 @@
the .strategy environment}
}
\description{
- Creates a constraint on 2 distributions in a paramset,
- i.e. a restriction limiting the allowed combinations from
- the ranges for distribution 1 and distribution 2.
+Creates a constraint on 2 distributions in a paramset, i.e.
+a restriction limiting the allowed combinations from the
+ranges for distribution 1 and distribution 2.
}
\author{
- Jan Humme
+Jan Humme
}
\seealso{
- \code{\link{add.distribution}},
- \code{\link{delete.paramset}},
- \code{\link{apply.paramset}}
+\code{\link{add.distribution}},
+\code{\link{delete.paramset}}, \code{\link{apply.paramset}}
}
Modified: pkg/quantstrat/man/add.indicator.Rd
===================================================================
--- pkg/quantstrat/man/add.indicator.Rd 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/man/add.indicator.Rd 2014-03-29 20:39:45 UTC (rev 1594)
@@ -2,9 +2,8 @@
\alias{add.indicator}
\title{add an indicator to a strategy}
\usage{
- add.indicator(strategy, name, arguments,
- parameters = NULL, label = NULL, ..., enabled = TRUE,
- indexnum = NULL, store = FALSE)
+add.indicator(strategy, name, arguments, parameters = NULL, label = NULL,
+ ..., enabled = TRUE, indexnum = NULL, store = FALSE)
}
\arguments{
\item{strategy}{an object (or the name of an object) type
@@ -39,71 +38,69 @@
the .strategy environment, or return it. default FALSE}
}
\value{
- if \code{strategy} was the name of a strategy, the name.
- It it was a strategy, the updated strategy.
+if \code{strategy} was the name of a strategy, the name. It
+it was a strategy, the updated strategy.
}
\description{
- Indicators are typically standard technical or
- statistical analysis outputs, such as moving averages,
- bands, or pricing models.
+Indicators are typically standard technical or statistical
+analysis outputs, such as moving averages, bands, or
+pricing models.
}
\details{
- Indicators are always path-independent, and should be
- constructed from vectorized functions where possible.
+Indicators are always path-independent, and should be
+constructed from vectorized functions where possible.
- Indicators are applied before signals and rules, and the
- output of indicators may be used as inputs to construct
- signals or fire rules.
+Indicators are applied before signals and rules, and the
+output of indicators may be used as inputs to construct
+signals or fire rules.
- \code{arguments} and \code{parameters} are named lists
- that describe the arguments to be passed to the indicator
- function. \code{arguments} is for defining any
- non-default arguments to be passed to the function named
- in the \code{name} of the indicator. For example, the
- \code{x} argument to a moving average function may be
- defined as \code{x=quote(Cl(mktdata))}
+\code{arguments} and \code{parameters} are named lists that
+describe the arguments to be passed to the indicator
+function. \code{arguments} is for defining any non-default
+arguments to be passed to the function named in the
+\code{name} of the indicator. For example, the \code{x}
+argument to a moving average function may be defined as
+\code{x=quote(Cl(mktdata))}
- If you look at the demo scripts, you'll notice that we
- often use \code{quote(mktdata)} in setting up indicators,
- signals, or rules. This tells \R to delay evaluation via
- \code{quote()}, and to use the special variable
- \code{mktdata}.
+If you look at the demo scripts, you'll notice that we
+often use \code{quote(mktdata)} in setting up indicators,
+signals, or rules. This tells \R to delay evaluation via
+\code{quote()}, and to use the special variable
+\code{mktdata}.
- \code{mktdata} is typically created internally to
- \code{quantstrat} by looking in the global environment
- for a time series of prices or returns. mktdata may also
- contain other data you've manipulated outside quantstrat,
- though where possible you should use quantstrat to
- contain all the logic for the strategy, to aid in
- maintenance and modifications.
+\code{mktdata} is typically created internally to
+\code{quantstrat} by looking in the global environment for
+a time series of prices or returns. mktdata may also
+contain other data you've manipulated outside quantstrat,
+though where possible you should use quantstrat to contain
+all the logic for the strategy, to aid in maintenance and
+modifications.
- The use of \code{quote()} tells R to not evaluate what's
- inside the quote until the function is evaluated later.
- By the time that code is evaluated, \code{mktdata} will
- be populated with the correct price information based on
- the contents of whatever portfolio you are evaluating the
- strategy on.
+The use of \code{quote()} tells R to not evaluate what's
+inside the quote until the function is evaluated later. By
+the time that code is evaluated, \code{mktdata} will be
+populated with the correct price information based on the
+contents of whatever portfolio you are evaluating the
+strategy on.
- \code{parameters} is another named list, and normally
- will not be needed. If you have multiple indicator,
- signal, or rule functions share the that \emph{both}
- share the same argument names \emph{and} will need to
- have different values passed to those arguments as
- defined parameters at apply-time, then you may need to
- give them unique names so that delayed evaluation can
- sort it all out for you at apply-time. We will endeavor
- to get an example of named parameters into the demo
- scripts.
+\code{parameters} is another named list, and normally will
+not be needed. If you have multiple indicator, signal, or
+rule functions share the that \emph{both} share the same
+argument names \emph{and} will need to have different
+values passed to those arguments as defined parameters at
+apply-time, then you may need to give them unique names so
+that delayed evaluation can sort it all out for you at
+apply-time. We will endeavor to get an example of named
+parameters into the demo scripts.
- if \code{label} is not supplied, NULL default will be
- converted to '<name>.ind' unless there already exists an
- indicator with that label in which case it will be
- appended with a number (i.e. '<name>.ind.2',
- '<name>.ind.3', etc.). If the indicator function returns
- multiple columns, the label will be \code{\link{paste}}'d
- to the end of either the returned column names or the
- respective column number when applying it to
- \code{mktdata}.
+if \code{label} is not supplied, NULL default will be
+converted to '<name>.ind' unless there already exists an
+indicator with that label in which case it will be appended
+with a number (i.e. '<name>.ind.2', '<name>.ind.3', etc.).
+If the indicator function returns multiple columns, the
+label will be \code{\link{paste}}'d to the end of either
+the returned column names or the respective column number
+when applying it to \code{mktdata}.
}
\examples{
\dontrun{
@@ -116,7 +113,7 @@
}
}
\seealso{
- \code{\link{quote}} \code{\link{applyIndicators}}
- \code{\link{add.signal}} \code{link{add.rule}}
+\code{\link{quote}} \code{\link{applyIndicators}}
+\code{\link{add.signal}} \code{link{add.rule}}
}
Modified: pkg/quantstrat/man/add.init.Rd
===================================================================
--- pkg/quantstrat/man/add.init.Rd 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/man/add.init.Rd 2014-03-29 20:39:45 UTC (rev 1594)
@@ -2,9 +2,8 @@
\alias{add.init}
\title{add arbitrary initialization functions to a strategy}
\usage{
- add.init(strategy, name, arguments, parameters = NULL,
- label = NULL, ..., enabled = TRUE, indexnum = NULL,
- store = FALSE)
+add.init(strategy, name, arguments, parameters = NULL, label = NULL, ...,
+ enabled = TRUE, indexnum = NULL, store = FALSE)
}
\arguments{
\item{strategy}{an object (or the name of an object) of
@@ -36,27 +35,26 @@
the .strategy environment, or return it. default FALSE}
}
\value{
- if \code{strategy} was the name of a strategy, the name.
- It it was a strategy, the updated strategy.
+if \code{strategy} was the name of a strategy, the name. It
+it was a strategy, the updated strategy.
}
\description{
- \code{\link{initStrategy}} will run a series of common
- initialization functions at the beginning of an
- \code{\link{applyStrategy}} call. This function allows
- the user to add arbitrary initialization functions to the
- sequence.
+\code{\link{initStrategy}} will run a series of common
+initialization functions at the beginning of an
+\code{\link{applyStrategy}} call. This function allows the
+user to add arbitrary initialization functions to the
+sequence.
}
\details{
- These arbitrary functions will be added to the
- \code{init} slot of the strategy object and when
- \code{applyStrategy} is evaluated, the arbitrary
- initialization functions will be evaluated after the
- standardized functions.
+These arbitrary functions will be added to the \code{init}
+slot of the strategy object and when \code{applyStrategy}
+is evaluated, the arbitrary initialization functions will
+be evaluated after the standardized functions.
- For example, if your strategy uses a synthetic basket
- instrument, you could use this initialization slot to add
- a custom constructor to build the basket instrument time
- series and modify the symbols slot(s) of the strategy and
- portfolio.
+For example, if your strategy uses a synthetic basket
+instrument, you could use this initialization slot to add a
+custom constructor to build the basket instrument time
+series and modify the symbols slot(s) of the strategy and
+portfolio.
}
Modified: pkg/quantstrat/man/add.rule.Rd
===================================================================
--- pkg/quantstrat/man/add.rule.Rd 2014-03-29 15:18:31 UTC (rev 1593)
+++ pkg/quantstrat/man/add.rule.Rd 2014-03-29 20:39:45 UTC (rev 1594)
@@ -2,12 +2,10 @@
\alias{add.rule}
\title{add a rule to a strategy}
\usage{
- add.rule(strategy, name, arguments, parameters = NULL,
- label = NULL,
- type = c(NULL, "risk", "order", "rebalance", "exit", "enter", "chain"),
- parent = NULL, ..., enabled = TRUE, indexnum = NULL,
- path.dep = TRUE, timespan = NULL, store = FALSE,
- storefun = TRUE)
+add.rule(strategy, name, arguments, parameters = NULL, label = NULL,
+ type = c(NULL, "risk", "order", "rebalance", "exit", "enter", "chain"),
+ parent = NULL, ..., enabled = TRUE, indexnum = NULL, path.dep = TRUE,
+ timespan = NULL, store = FALSE, storefun = TRUE)
}
\arguments{
\item{strategy}{an object of type 'strategy' to add the
@@ -55,88 +53,86 @@
usable}
}
\value{
- if \code{strategy} was the name of a strategy, the name.
- It it was a strategy, the updated strategy.
+if \code{strategy} was the name of a strategy, the name. It
+it was a strategy, the updated strategy.
}
\description{
- Rules will be processed in a very particular manner, so
- it bears going over.
+Rules will be processed in a very particular manner, so it
+bears going over.
}
\details{
- First, rules are either path dependent or
- non-path-dependent. Path dependent rules will be
- processed in every time increment for the \code{mktdata}
- passed into \code{\link{applyStrategy}}. Non path
- dependent rules will likely be quite rare in real life,
- and will be applied after indicators and signals, and
- before path-dependent rules are processed.
+First, rules are either path dependent or
+non-path-dependent. Path dependent rules will be processed
+in every time increment for the \code{mktdata} passed into
+\code{\link{applyStrategy}}. Non path dependent rules will
+likely be quite rare in real life, and will be applied
+after indicators and signals, and before path-dependent
+rules are processed.
- All rules have a \code{type}. These may be any of:
- \describe{ \item{risk}{ rules that check and react to
- risk of positions, may stop all other rule execution
- temporarily or permanently} \item{order}{ rules for order
- processing of any open orders at time t, always
- path-dependent} \item{rebalance}{ rules executed
- specifically in a portfolio context, unnecessary in
- univariate strategies} \item{exit}{ rules to determine
- whether to exit a position} \item{enter}{ rules to
- determine whether to enter or increase a position}
- \item{chain}{ rules executed upon fill of an order
- corresponding to the label of the parent rule identified
- by the \code{parent} arg. } }
+All rules have a \code{type}. These may be any of:
+\describe{ \item{risk}{ rules that check and react to risk
+of positions, may stop all other rule execution temporarily
+or permanently} \item{order}{ rules for order processing of
+any open orders at time t, always path-dependent}
+\item{rebalance}{ rules executed specifically in a
+portfolio context, unnecessary in univariate strategies}
+\item{exit}{ rules to determine whether to exit a position}
+\item{enter}{ rules to determine whether to enter or
+increase a position} \item{chain}{ rules executed upon fill
+of an order corresponding to the label of the parent rule
+identified by the \code{parent} arg. } }
- The rules will be executed by type, in the order listed
- above. Multiple rules of each type may be defined, as
- with signals and indicators, they will be executed in
- order by index number with any other rules sharing the
- same type.
+The rules will be executed by type, in the order listed
+above. Multiple rules of each type may be defined, as with
+signals and indicators, they will be executed in order by
+index number with any other rules sharing the same type.
- The rule execution order was constructed because
- path-dependent rules may modify the ability of rules that
- have not fired yet to be evaluated. For example, a risk
- rule may flatten (close out) an entire position and put
- new orders on hold, effectively stopping all further
- execution of the strategy. Another example would be a
- rebalancing rule function that would enter orders to
- rebalance the portfolio, and would hold other strategy
- processing until the rebalancing period was over.
+The rule execution order was constructed because
+path-dependent rules may modify the ability of rules that
+have not fired yet to be evaluated. For example, a risk
+rule may flatten (close out) an entire position and put new
+orders on hold, effectively stopping all further execution
+of the strategy. Another example would be a rebalancing
+rule function that would enter orders to rebalance the
+portfolio, and would hold other strategy processing until
+the rebalancing period was over.
- The \code{timespan} parameter will limit rule execution
- by time of day using time based subsetting. See ISO-8601
- specification and xts documentation for more details.
- Note that these are only applicable to intra-day
- execution, and will remain that way barring patches
- (tests and documentation) from interested parties. The
- subsetting may (will likely) work with normal ISO/xts
- subset ranges, but consider it unsupported.
+The \code{timespan} parameter will limit rule execution by
+time of day using time based subsetting. See ISO-8601
+specification and xts documentation for more details. Note
+that these are only applicable to intra-day execution, and
+will remain that way barring patches (tests and
+documentation) from interested parties. The subsetting may
+(will likely) work with normal ISO/xts subset ranges, but
+consider it unsupported.
- The \code{name} parameter should be a character string
- naming the function to be called in the
- \code{\link{applyRules}} loop. The \code{add.rule}
- function will then call \code{\link{match.fun}}, ands
- store the actual function in your strategy object. This
- will avoid lookups via \code{\link{match.fun}} at
- \code{\link{applyRules}} time, and may provide a
- significant speed increase on higher frequency data (20\%
- or more).
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/blotter -r 1594
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