We will test two trading strategies based on return runs.
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# load libraries
library(quantstrat)
library(Quandl)
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# define instruments
currency("USD")
stock("BIST", currency="USD", multiplier=1)
# get data
date_from = "2005-08-01"
date_to = "2016-05-25"
BIST<-Quandl("GOOG/INDEXIST_XU100", type="xts", start_date = date_from, end_date = date_to)
BIST<-na.omit(BIST)
BIST<-xts(coredata(BIST), as.POSIXct(time(BIST)))
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# define strategy component names
portfolio_name = "investiphi"
#strategy_trend = "trend_following"
strategy.st = "consecutive_days"
#account_trend = "account_trend"
account_name = "account_name"
# remove if defined before
rm.strat(portfolio_name)
#rm.strat(strategy_trend)
rm.strat(strategy.st)
#rm.strat(account_trend)
rm.strat(account_name)
# create .blotter and .strategy environments
.blotter<-new.env()
.strategy<-new.env()
# init portfolio and accoiunt in .blotter
init_eq <- 100000 # 100k
init_date <- as.character(as.Date(date_from) - 1)
initPortf(portfolio_name, symbols="BIST", initDate=init_date, currency="USD")
#initAcct(account_trend, portfolios=portfolio_name, initDate=init_date, currency="USD", initEq = init_eq)
initAcct(account_name, portfolios=portfolio_name, initDate=init_date, currency="USD", initEq = init_eq)
initOrders(portfolio_name, initDate=init_date)
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# init strategies
#strategy(strategy_trend, store=TRUE)
strategy(strategy.st, store=TRUE)
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# you can see whats inside
temp <- get("USD", envir=FinancialInstrument:::.instrument)
summary(temp)
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consecutive_days<-function(days_pos,days_neg, stock, posneg = TRUE) {
#days_pos <- 4
#days_neg <- 4
#n_day_signals <- data.frame(positive = logical(length(time(stock))), negative = logical(length(time(stock))))
n_day_signals <- data.frame(sigcol = logical(length(time(stock))))
n_day_signals <- xts( n_day_signals, as.POSIXct(time(stock)) )
n_day_signals[1,1] <- NA
#Signal <- xts(c("Positive", "Negative"), as.POSIXct(time(BIST)))
sign_counter <- 1
sign_last <- -1
for (i in 2:length(time(stock))) {
sign_temp <- sign( as.numeric ( as.numeric( stock[i,4]) - as.numeric( stock[i-1,4]) ) )
if (sign_temp == sign_last) {
sign_counter <- sign_counter + 1
} else {
sign_counter <- 1
sign_last <- sign_temp
}
if (posneg) {
if (sign_counter == days_pos && sign_last == 1) {
n_day_signals[i,1] <- TRUE
} else {
n_day_signals[i,1] <- NA
}
} else {
if (sign_counter == days_neg && sign_last == -1) {
n_day_signals[i,1] <- TRUE
} else {
n_day_signals[i,1] <- NA
}
}
}
if (posneg == TRUE) {
return( n_day_signals$sigcol)
} else {
return(n_day_signals$sigcol)
}
}
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add.signal(strategy.st, name="consecutive_days",
arguments = list(days_pos = 6, days_neg = 6, stock=BIST, posneg=TRUE),
label="bull"
)
add.signal(strategy.st, name="consecutive_days",
arguments = list(days_pos = 6, days_neg = 6, stock=BIST, posneg=FALSE),
label="bear"
)
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order_qty = 1
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add.rule(strategy.st, name='ruleSignal',
arguments=list(sigcol='sigcol.bull',
sigval=1,
orderside='short',
ordertype='market',
orderqty=-order_qty,
TxnFees=0,
replace=FALSE),
type='enter',
label='EnterShort'
)
add.rule(strategy.st, name='ruleSignal',
arguments=list(sigcol='sigcol.bull',
sigval=1,
orderside='long',
ordertype='market',
orderqty='all',
TxnFees=0,
replace=TRUE),
type='exit',
label='Exit2Long'
)
In [10]:
add.rule(strategy.st, name='ruleSignal',
arguments=list(sigcol='sigcol.bear',
sigval=TRUE,
orderside='long',
ordertype='market',
orderqty=order_qty,
TxnFees=0,
replace=FALSE),
type='enter',
label='EnterLong'
)
add.rule(strategy.st, name='ruleSignal',
arguments=list(sigcol='sigcol.bear',
sigval=TRUE,
orderside='short',
ordertype='market',
orderqty='all',
TxnFees=0,
replace=TRUE),
type='exit',
label='Exit2Short'
)
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summary(get("consecutive_days", envir=.strategy))
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# apply strategy
applyStrategy(strategy.st, portfolio_name)
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# update portfolio
updatePortf(portfolio_name)
updateAcct(account_name)
updateEndEq(account_name)
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OB<-getOrderBook(portfolio_name)
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getEndEq(account_name, date_to)
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OB$investiphi$BIST
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chart.Posn(portfolio_name, "BIST")
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