[Blotter-commits] r1724 - pkg/quantstrat/demo
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Dec 14 13:54:08 CET 2015
Author: bodanker
Date: 2015-12-14 13:54:08 +0100 (Mon, 14 Dec 2015)
New Revision: 1724
Modified:
pkg/quantstrat/demo/bbands.R
pkg/quantstrat/demo/bee.R
pkg/quantstrat/demo/faber.R
pkg/quantstrat/demo/faberMC.R
pkg/quantstrat/demo/faber_rebal.R
pkg/quantstrat/demo/luxor.1.strategy.basic.R
pkg/quantstrat/demo/luxor.2.add.paramsets.R
pkg/quantstrat/demo/luxor.3.paramset.sma.R
pkg/quantstrat/demo/luxor.4.paramset.timespan.R
pkg/quantstrat/demo/luxor.5.strategy.ordersets.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
pkg/quantstrat/demo/luxor.7.exit.and.risk.R
pkg/quantstrat/demo/luxor.8.walk.forward.R
pkg/quantstrat/demo/luxor.include.R
pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R
pkg/quantstrat/demo/luxor.sample.MAE.stoptrailing.R
pkg/quantstrat/demo/luxor.sample.MFE.takeprofit.R
pkg/quantstrat/demo/luxor.sample.tradeGraphs.sma.R
pkg/quantstrat/demo/luxor.sample.tradeGraphs.timespan.R
pkg/quantstrat/demo/luxor.sample.walk.forward.R
pkg/quantstrat/demo/maCross.R
pkg/quantstrat/demo/macd.R
pkg/quantstrat/demo/macdParameters.R
pkg/quantstrat/demo/macdRebalancing.R
pkg/quantstrat/demo/pair_trade.R
pkg/quantstrat/demo/rocema.R
pkg/quantstrat/demo/rsi.R
pkg/quantstrat/demo/signal.RSI.R
pkg/quantstrat/demo/signal.SMA.R
Log:
Do not set initDate argument in demos
Do not set initDate for initPortf, initAcct, or initOrders in any of the
demos. Specifying the initDate argument incorrectly can cause errors
that are difficult for users to diagnose, so we shouldn't provide demos
that suggest users need to set initDate manually.
Rename initDate to startDate in all demos in order to avoid confusion
with initDate argument to initPortf, initAcct, and initOrders.
Modified: pkg/quantstrat/demo/bbands.R
===================================================================
--- pkg/quantstrat/demo/bbands.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/bbands.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -1,7 +1,7 @@
require(quantstrat)
suppressWarnings(rm("order_book.bbands",pos=.strategy))
suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
-suppressWarnings(rm("account.st","portfolio.st","stock.str","stratBBands","initDate","initEq",'start_t','end_t'))
+suppressWarnings(rm("account.st","portfolio.st","stock.str","stratBBands","startDate","initEq",'start_t','end_t'))
# some things to set up here
stock.str='IBM' # what are we trying it on
@@ -14,27 +14,16 @@
currency('USD')
stock(stock.str,currency='USD',multiplier=1)
-##### 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()}
-
-initDate='2006-12-31'
+startDate='2006-12-31'
initEq=1000000
portfolio.st='bbands'
account.st='bbands'
-initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
-initAcct(account.st,portfolios='bbands', initDate=initDate)
-initOrders(portfolio=portfolio.st,initDate=initDate)
-addPosLimit(portfolio.st, stock.str, initDate, 200, 2 ) #set max pos
+initPortf(portfolio.st, symbols=stock.str)
+initAcct(account.st,portfolios='bbands')
+initOrders(portfolio=portfolio.st)
+addPosLimit(portfolio.st, stock.str, startDate, 200, 2 ) #set max pos
# set up parameters
maType='SMA'
@@ -113,7 +102,7 @@
#TODO add thresholds and stop-entry and stop-exit handling to test
-getSymbols(stock.str,from=initDate,index.class=c('POSIXt','POSIXct'))
+getSymbols(stock.str,from=startDate,index.class=c('POSIXt','POSIXct'))
start_t<-Sys.time()
out<-try(applyStrategy(strategy='bbands' , portfolios='bbands',parameters=list(sd=SD,n=N)) )
@@ -144,9 +133,3 @@
# $Id$
#
###############################################################################
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/bee.R
===================================================================
--- pkg/quantstrat/demo/bee.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/bee.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -4,16 +4,9 @@
# copyright (c) 2009-2012, Algorithm Alpha, LLC
# Licensed GPL-2
#
-##### PLACE DEMO AND TEST DATES HERE #################
+##### PLACE DEMO 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()}
+startDate="1999-12-31"
############################# DEFINE VARIABLES ##############################
@@ -28,15 +21,15 @@
############################# GET DATA ######################################
suppressMessages(require(quantstrat))
-getSymbols(sym, from=initDate, to=endDate, index.class=c("POSIXt","POSIXct"))
+getSymbols(sym, from=startDate, index.class=c("POSIXt","POSIXct"))
############################# INITIALIZE ####################################
currency('USD')
stock(sym ,currency='USD', multiplier=1)
-initPortf(port, sym, initDate=initDate)
-initAcct(acct, port, initEq=initEq, initDate=initDate)
-initOrders(port, initDate=initDate )
+initPortf(port, sym)
+initAcct(acct, port, initEq=initEq)
+initOrders(port)
bee = strategy(port)
############################# MAX POSITION LOGIC ############################
@@ -44,7 +37,7 @@
addPosLimit(
portfolio=port,
symbol=sym,
- timestamp=initDate,
+ timestamp=startDate,
maxpos=100)
@@ -140,7 +133,6 @@
########################### USEFUL CONTAINERS #############################
-invisible(mktdata)
stratStats = tradeStats(port)
stratReturns = PortfReturns(acct)
@@ -152,9 +144,3 @@
cat('Sortino Ratio for bumblebee is: ', SortinoRatio(stratReturns), '\n')
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-book = getOrderBook(port)
-stats = tradeStats(port)
-rets = PortfReturns(acct)
-txns = getTxns(port, sym)
-################################################################
Modified: pkg/quantstrat/demo/faber.R
===================================================================
--- pkg/quantstrat/demo/faber.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/faber.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -53,22 +53,11 @@
# 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",
- "GSPC", "stratFaber", "initDate", "initEq", "Posn", "UnitSize", "verbose"))
+ "GSPC", "stratFaber", "startDate", "initEq", "Posn", "UnitSize", "verbose"))
suppressWarnings(rm("order_book.faber",pos=.strategy))
-##### 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()}
-
# Set initial values
-initDate='1997-12-31'
+startDate='1997-12-31'
initEq=100000
# Set up instruments with FinancialInstruments package
@@ -92,9 +81,9 @@
}
# Initialize portfolio and account
-initPortf('faber', symbols=symbols, initDate=initDate)
-initAcct('faber', portfolios='faber', initDate=initDate, initEq=100000)
-initOrders(portfolio='faber', initDate=initDate)
+initPortf('faber', symbols=symbols)
+initAcct('faber', portfolios='faber', initEq=initEq)
+initOrders(portfolio='faber')
print("setup completed")
@@ -175,9 +164,3 @@
# $Id$
#
###############################################################################
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/faberMC.R
===================================================================
--- pkg/quantstrat/demo/faberMC.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/faberMC.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -48,22 +48,11 @@
# Try to clean up in case the demo was run previously
suppressWarnings(rm("account.faber","account.faberMC","portfolio.faber","portfolio.combMC",
"portfolio.GDAXI", "portfolio.GSPC", "portfolio.N225",pos=.blotter))
-suppressWarnings(rm("ltaccount","ltportfolio","ClosePrice","CurrentDate","equity","stratFaber","initDate","initEq","Posn","UnitSize","verbose"))
+suppressWarnings(rm("ltaccount","ltportfolio","ClosePrice","CurrentDate","equity","stratFaber","startDate","initEq","Posn","UnitSize","verbose"))
suppressWarnings(rm("order_book.faber","order_book.combMC", "order_book.GDAXI", "order_book.GSPC", "order_book.N225", pos=.strategy))
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
# Set initial values
-initDate='2000-01-01'
+startDate='2000-01-01'
initEq=100000
# Set up instruments with FinancialInstruments package
@@ -79,7 +68,7 @@
colnames(USDJPY)<-"USDJPY"
colnames(EURUSD)<-"EURUSD"
-getSymbols(symbols,from=initDate)
+getSymbols(symbols,from=startDate)
#takes out the carat
symbols = c("GSPC", "N225", "GDAXI")
@@ -95,12 +84,12 @@
indexFormat(x)<-'%Y-%m-%d'
colnames(x)<-gsub("x",symbol,colnames(x))
assign(symbol,x)
- initPortf(symbol, symbols=symbol, initDate=initDate, currency=getInstrument(symbol)$currency)
- initOrders(portfolio=symbol, initDate=initDate)
+ initPortf(symbol, symbols=symbol, currency=getInstrument(symbol)$currency)
+ initOrders(portfolio=symbol)
}
-initAcct('faberMC', portfolios=symbols, initDate=initDate, currency="USD")
+initAcct('faberMC', portfolios=symbols, currency="USD")
# Initialize portfolio and account
@@ -143,8 +132,8 @@
print(end_t-start_t)
#and a combined portfolio
-initPortf('combMC', symbols=symbols, initDate=initDate, currency="USD")
-initOrders(portfolio= 'combMC', initDate=initDate)
+initPortf('combMC', symbols=symbols, currency="USD")
+initOrders(portfolio= 'combMC')
comb.out<-applyStrategy(strategy=stratFaber , portfolios='combMC')
updatePortf(Portfolio='combMC',Dates=paste('::',as.Date(Sys.time()),sep=''))
@@ -172,9 +161,3 @@
# $Id: faber.R 371 2010-08-12 20:18:09Z braverock $
#
###############################################################################
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/faber_rebal.R
===================================================================
--- pkg/quantstrat/demo/faber_rebal.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/faber_rebal.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -54,22 +54,11 @@
# 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",
- "GSPC", "stratFaber", "initDate", "initEq", "Posn", "UnitSize", "verbose"))
+ "GSPC", "stratFaber", "startDate", "initEq", "Posn", "UnitSize", "verbose"))
suppressWarnings(rm("order_book.faber",pos=.strategy))
-##### 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()}
-
# Set initial values
-initDate='1997-12-31'
+startDate='1997-12-31'
initEq=100000
# Set up instruments with FinancialInstruments package
@@ -93,15 +82,15 @@
}
# Initialize portfolio and account
-initPortf('faber', symbols=symbols, initDate=initDate)
-initAcct('faber', portfolios='faber', initDate=initDate, initEq=100000)
-initOrders(portfolio='faber', initDate=initDate)
+initPortf('faber', symbols=symbols)
+initAcct('faber', portfolios='faber', initEq=100000)
+initOrders(portfolio='faber')
# set intial position limits
posval<-initEq/length(symbols)
for(symbol in symbols){
pos<-round((posval/first(getPrice(get(symbol)))[,1]),-2)
- addPosLimit('faber',symbol,initDate, maxpos=pos,minpos=-pos)
+ addPosLimit('faber', symbol, startDate, maxpos=pos, minpos=-pos)
}
print("setup completed")
@@ -193,9 +182,3 @@
# $Id$
#
###############################################################################
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.1.strategy.basic.R
===================================================================
--- pkg/quantstrat/demo/luxor.1.strategy.basic.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.1.strategy.basic.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -10,17 +10,6 @@
require(quantstrat)
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
.fast = 10
.slow = 30
@@ -29,12 +18,12 @@
### blotter
-initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
-initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
+initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
+initAcct(account.st, portfolios=portfolio.st, currency='USD')
### quantstrat
-initOrders(portfolio.st, initDate=initDate)
+initOrders(portfolio.st)
### define strategy
@@ -145,9 +134,3 @@
# save the strategy in an .RData object for later retrieval
save.strategy(strategy.st)
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.2.add.paramsets.R
===================================================================
--- pkg/quantstrat/demo/luxor.2.add.paramsets.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.2.add.paramsets.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -8,17 +8,6 @@
require(quantstrat)
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
###
@@ -116,9 +105,3 @@
###
save.strategy(strategy.st)
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.3.paramset.sma.R
===================================================================
--- pkg/quantstrat/demo/luxor.3.paramset.sma.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.3.paramset.sma.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -16,12 +16,12 @@
### blotter
-initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
-initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
+initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
+initAcct(account.st, portfolios=portfolio.st, currency='USD')
### quantstrat
-initOrders(portfolio.st, initDate=initDate)
+initOrders(portfolio.st)
load.strategy(strategy.st)
Modified: pkg/quantstrat/demo/luxor.4.paramset.timespan.R
===================================================================
--- pkg/quantstrat/demo/luxor.4.paramset.timespan.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.4.paramset.timespan.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -15,12 +15,12 @@
### blotter
-initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
-initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
+initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
+initAcct(account.st, portfolios=portfolio.st, currency='USD')
### quantstrat
-initOrders(portfolio.st, initDate=initDate)
+initOrders(portfolio.st)
load.strategy(strategy.st)
Modified: pkg/quantstrat/demo/luxor.5.strategy.ordersets.R
===================================================================
--- pkg/quantstrat/demo/luxor.5.strategy.ordersets.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.5.strategy.ordersets.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -10,17 +10,6 @@
require(quantstrat)
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
### define strategy
@@ -350,9 +339,3 @@
###############################################################################
save.strategy(strategy.st)
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.6.paramset.stoploss.R
===================================================================
--- pkg/quantstrat/demo/luxor.6.paramset.stoploss.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.6.paramset.stoploss.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -10,34 +10,23 @@
require(quantstrat)
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
source(paste0(path.package("quantstrat"),"/demo/luxor.getSymbols.R"))
###
-initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
+initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
addPosLimit(
portfolio=portfolio.st,
symbol='GBPUSD',
- timestamp=initDate,
+ timestamp=startDate,
maxpos=.orderqty)
-initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
+initAcct(account.st, portfolios=portfolio.st, currency='USD')
###
-initOrders(portfolio.st, initDate=initDate)
+initOrders(portfolio.st)
load.strategy(strategy.st)
@@ -72,9 +61,3 @@
View(t(stats))
plot(100*stats$StopLossLONG, stats$Net.Trading.PL, type='b', xlab='Stoploss %', ylab='Net.Trading.PL', main='Luxor')
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R
===================================================================
--- pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -10,34 +10,23 @@
require(quantstrat)
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
source(paste0(path.package("quantstrat"),"/demo/luxor.getSymbols.R"))
###
-initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
+initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
addPosLimit(
portfolio=portfolio.st,
symbol='GBPUSD',
- timestamp=initDate,
+ timestamp=startDate,
maxpos=.orderqty)
-initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
+initAcct(account.st, portfolios=portfolio.st, currency='USD')
###
-initOrders(portfolio.st, initDate=initDate)
+initOrders(portfolio.st)
load.strategy(strategy.st)
@@ -72,9 +61,3 @@
View(t(stats))
plot(100*stats$StopTrailingLONG, stats$Net.Trading.PL, type='b', xlab='StopTrailing %', ylab='Net.Trading.PL', main='Luxor')
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R
===================================================================
--- pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -10,34 +10,23 @@
require(quantstrat)
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
source(paste0(path.package("quantstrat"),"/demo/luxor.getSymbols.R"))
###
-initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
+initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
addPosLimit(
portfolio=portfolio.st,
symbol='GBPUSD',
- timestamp=initDate,
+ timestamp=startDate,
maxpos=.orderqty)
-initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
+initAcct(account.st, portfolios=portfolio.st, currency='USD')
###
-initOrders(portfolio.st, initDate=initDate)
+initOrders(portfolio.st)
load.strategy(strategy.st)
@@ -72,9 +61,3 @@
View(t(stats))
plot(100*stats$TakeProfitLONG, stats$Net.Trading.PL, type='b', xlab='TakeProfit %', ylab='Net.Trading.PL', main='Luxor')
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.7.exit.and.risk.R
===================================================================
--- pkg/quantstrat/demo/luxor.7.exit.and.risk.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.7.exit.and.risk.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -12,23 +12,12 @@
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
-##### 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()}
-
source(paste0(path.package("quantstrat"),"/demo/luxor.getSymbols.R"))
### blotter
-initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
-initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
+initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
+initAcct(account.st, portfolios=portfolio.st, currency='USD')
### quantstrat
@@ -45,10 +34,10 @@
addPosLimit(
portfolio=portfolio.st,
symbol='GBPUSD',
- timestamp=initDate,
+ timestamp=startDate,
maxpos=.orderqty)
-initOrders(portfolio.st, initDate=initDate)
+initOrders(portfolio.st)
applyStrategy(strategy.st, portfolio.st, prefer='Open')
@@ -75,9 +64,3 @@
chart.ME(portfolio.st, 'GBPUSD', scale='percent', type='MAE')
dev.new()
chart.ME(portfolio.st, 'GBPUSD', scale='percent', type='MFE')
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.8.walk.forward.R
===================================================================
--- pkg/quantstrat/demo/luxor.8.walk.forward.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.8.walk.forward.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -29,12 +29,12 @@
### blotter
-initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
-initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD', initEq=100000)
+initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
+initAcct(account.st, portfolios=portfolio.st, currency='USD', initEq=100000)
### quantstrat
-initOrders(portfolio.st, initDate=initDate)
+initOrders(portfolio.st)
load.strategy(strategy.st)
@@ -45,7 +45,7 @@
addPosLimit(
portfolio=portfolio.st,
symbol='GBPUSD',
- timestamp=initDate,
+ timestamp=startDate,
maxpos=.orderqty)
### objective function
Modified: pkg/quantstrat/demo/luxor.include.R
===================================================================
--- pkg/quantstrat/demo/luxor.include.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.include.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -7,9 +7,9 @@
###
-initDate = '2002-10-21'
+startDate = '2002-10-21'
-.from=initDate
+.from=startDate
#.to='2008-07-04'
.to='2002-10-31'
Modified: pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -21,20 +21,3 @@
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)
-################################################################
Modified: pkg/quantstrat/demo/luxor.sample.MAE.stoptrailing.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.MAE.stoptrailing.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.sample.MAE.stoptrailing.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -21,21 +21,3 @@
type='MAE',
scale='percent'
)
-
-
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.sample.MFE.takeprofit.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.MFE.takeprofit.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.sample.MFE.takeprofit.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -21,21 +21,3 @@
type='MFE',
scale='percent'
)
-
-
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$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.sample.tradeGraphs.sma.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.tradeGraphs.sma.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.sample.tradeGraphs.sma.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -25,20 +25,3 @@
statistics = c("Net.Trading.PL", "maxDrawdown", "Avg.Trade.PL", "Num.Trades", "Profit.Factor"),
title = 'Luxor SMA Parameter Scan'
)
-
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/luxor.sample.tradeGraphs.timespan.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.tradeGraphs.timespan.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.sample.tradeGraphs.timespan.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -35,20 +35,3 @@
statistics=c('Net.Trading.PL','maxDrawdown',"Avg.Trade.PL",'Num.Trades',"Profit.Factor"),
title = 'Luxor Intraday TimeWindow Scan'
)
-
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$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.sample.walk.forward.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.walk.forward.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/luxor.sample.walk.forward.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -12,19 +12,3 @@
chart.forward.training(paste0(path.package("quantstrat"),'/data/luxor.wfa.ples.RData'))
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-#if(isTRUE(options('in_test')$in_test))
-# # use test dates
-# {initDate="2011-01-01"
-# endDate="2012-12-31"
-# } else
-# # use demo defaults
-# {initDate="1999-12-31"
-# endDate=Sys.Date()}
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/maCross.R
===================================================================
--- pkg/quantstrat/demo/maCross.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/maCross.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -20,24 +20,13 @@
currency('USD')
stock(stock.str,currency='USD',multiplier=1)
-##### PLACE DEMO AND TEST DATES HERE #################
-#
-if(isTRUE(options('in_test')$in_test)){
- # use test dates
- initDate="2011-01-01"
- endDate="2012-12-31"
-} else {
- # use demo defaults
- initDate="1999-12-31"
- endDate=Sys.Date()
-}
-
+startDate="1999-12-31"
initEq=1000000
portfolio.st='macross'
account.st='macross'
-initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
-initAcct(account.st,portfolios=portfolio.st, initDate=initDate,initEq=initEq)
-initOrders(portfolio=portfolio.st,initDate=initDate)
+initPortf(portfolio.st,symbols=stock.str)
+initAcct(account.st,portfolios=portfolio.st, initEq=initEq)
+initOrders(portfolio=portfolio.st)
stratMACROSS<- strategy(portfolio.st)
@@ -55,7 +44,7 @@
# stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal', arguments = list(sigcol="ma50.lt.ma200",sigval=TRUE, orderqty=-100, ordertype='market', orderside='short'),type='enter')
# stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal', arguments = list(sigcol="ma50.gt.ma200",sigval=TRUE, orderqty=100, ordertype='market', orderside='short'),type='exit')
-getSymbols(stock.str,from=initDate,to=endDate)
+getSymbols(stock.str,from=startDate)
for(i in stock.str)
assign(i, adjustOHLC(get(i),use.Adjusted=TRUE))
@@ -96,9 +85,3 @@
# $Id$
#
###############################################################################
-#
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
-# book = getOrderBook(port)
-# stats = tradeStats(port)
-# rets = PortfReturns(acct)
-################################################################
Modified: pkg/quantstrat/demo/macd.R
===================================================================
--- pkg/quantstrat/demo/macd.R 2015-12-11 14:53:33 UTC (rev 1723)
+++ pkg/quantstrat/demo/macd.R 2015-12-14 12:54:08 UTC (rev 1724)
@@ -13,7 +13,7 @@
require(quantstrat)
suppressWarnings(rm("order_book.macd",pos=.strategy))
suppressWarnings(rm("account.macd","portfolio.macd",pos=.blotter))
-suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACD","initDate","initEq",'start_t','end_t'))
+suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACD","startDate","initEq",'start_t','end_t'))
#correct for TZ issues if they crop up
oldtz<-Sys.getenv('TZ')
@@ -38,25 +38,14 @@
#data(sample_matrix) # data included in package xts
#sample_matrix<-as.xts(sample_matrix)
-##### 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()}
-
-initDate='2006-12-31'
+startDate='2006-12-31'
initEq=1000000
portfolio.st='macd'
account.st='macd'
-initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
-initAcct(account.st,portfolios=portfolio.st, initDate=initDate)
-initOrders(portfolio=portfolio.st,initDate=initDate)
+initPortf(portfolio.st,symbols=stock.str)
+initAcct(account.st,portfolios=portfolio.st)
+initOrders(portfolio=portfolio.st)
strat.st<-portfolio.st
# define the strategy
@@ -125,7 +114,7 @@
#end rules
####
-getSymbols(stock.str,from=initDate, to='2014-06-01')
+getSymbols(stock.str,from=startDate, to='2014-06-01')
start_t<-Sys.time()
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/blotter -r 1724
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