demo/FRAMA_III.R
In IlyaKipnis/DSTrading: Digital Signal Trading
require(DSTrading)
require(IKTrading)
require(quantstrat)
require(PerformanceAnalytics)
initDate="1990-01-01"
from="2003-01-01"
to="2010-12-31"
options(width=70)
#to rerun the strategy, rerun everything below this line
source("demoData.R") #contains all of the data-related boilerplate.
#trade sizing and initial equity settings
tradeSize <- 10000
initEq <- tradeSize*length(symbols)
strategy.st <- portfolio.st <- account.st <- "FRAMA_III"
rm.strat(portfolio.st)
rm.strat(strategy.st)
initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)
#parameters
FC=4
SC=300
n=126
triggerLag=1
nMed=n
period=10
pctATR=.02
#indicators
add.indicator(strategy.st, name="FRAMA",
arguments=list(HLC=quote(HLC(mktdata)), n=n,
SC=SC, FC=FC, triggerLag=triggerLag),
label="primary")
add.indicator(strategy.st, name="runMedian",
arguments=list(x=quote(Cl(mktdata)), n=nMed),
label="confirmatory")
add.indicator(strategy.st, name="lagATR",
arguments=list(HLC=quote(HLC(mktdata)), n=period),
label="atrX")
add.indicator(strategy.st, name="lag",
arguments=list(x=quote("X1.confirmatory")),
label="confirmTrigger")
# #long signals
#
# add.signal(strategy.st, name="sigComparison",
# arguments=list(columns=c("FRAMA.primary", "X1.confirmatory"),
# relationship="gte"),
# label="FRAMAgteMedian")
#
# add.signal(strategy.st, name="sigComparison",
# arguments=list(columns=c("FRAMA.primary", "trigger.primary"),
# relationship="gte"),
# label="FRAMArising")
#
# add.signal(strategy.st, name="sigComparison",
# arguments=list(columns=c("Close", "FRAMA.primary"),
# relationship="gte"),
# label="ClGtFRAMA")
#
# add.signal(strategy.st, name="sigAND",
# arguments=list(columns=c("FRAMAgteMedian",
# "FRAMArising", "ClGtFRAMA"),
# cross=TRUE),
# label="longEntry")
#
# add.signal(strategy.st, name="sigCrossover",
# arguments=list(columns=c("Close", "FRAMA.primary"),
# relationship="lt"),
# label="longExit")
#
# #long rules
#
# add.rule(strategy.st, name="ruleSignal",
# arguments=list(sigcol="longEntry", sigval=TRUE, ordertype="market",
# orderside="long", replace=FALSE, prefer="Open", osFUN=osDollarATR,
# tradeSize=tradeSize, pctATR=pctATR, atrMod="X"),
# type="enter", path.dep=TRUE)
#
# add.rule(strategy.st, name="ruleSignal",
# arguments=list(sigcol="longExit", sigval=TRUE, orderqty="all", ordertype="market",
# orderside="long", replace=FALSE, prefer="Open"),
# type="exit", path.dep=TRUE)
#short signals
add.signal(strategy.st, name="sigComparison",
arguments=list(columns=c("FRAMA.primary", "X1.confirmatory"),
relationship="lt"),
label="FRAMAltMedian")
add.signal(strategy.st, name="sigComparison",
arguments=list(columns=c("FRAMA.primary", "trigger.primary"),
relationship="lt"),
label="FRAMAfalling")
add.signal(strategy.st, name="sigComparison",
arguments=list(columns=c("Close", "FRAMA.primary"),
relationship="lt"),
label="ClLtFRAMA")
add.signal(strategy.st, name="sigAND",
arguments=list(columns=c("FRAMAltMedian",
"FRAMAfalling", "ClLtFRAMA"),
cross=TRUE),
label="shortEntry")
add.signal(strategy.st, name="sigCrossover",
arguments=list(columns=c("Close", "FRAMA.primary"),
relationship="gt"),
label="shortExit")
#short rules
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="shortEntry", sigval=TRUE, ordertype="market",
orderside="short", replace=FALSE, prefer="Open", osFUN=osDollarATR,
tradeSize=-tradeSize, pctATR=pctATR, atrMod="X"),
type="enter", path.dep=TRUE)
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="shortExit", sigval=TRUE, orderqty="all", ordertype="market",
orderside="short", replace=FALSE, prefer="Open"),
type="exit", path.dep=TRUE)
#apply strategy
t1 <- Sys.time()
out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
t2 <- Sys.time()
print(t2-t1)
#set up analytics
updatePortf(portfolio.st)
dateRange <- time(getPortfolio(portfolio.st)$summary)[-1]
updateAcct(portfolio.st,dateRange)
updateEndEq(account.st)
#trade statistics
tStats <- tradeStats(Portfolios = portfolio.st, use="trades", inclZeroDays=FALSE)
tStats[,4:ncol(tStats)] <- round(tStats[,4:ncol(tStats)], 2)
print(data.frame(t(tStats[,-c(1,2)])))
(aggPF <- sum(tStats$Gross.Profits)/-sum(tStats$Gross.Losses))
(aggCorrect <- mean(tStats$Percent.Positive))
(numTrades <- sum(tStats$Num.Trades))
(meanAvgWLR <- mean(tStats$Avg.WinLoss.Ratio))
#daily and duration statistics
dStats <- dailyStats(Portfolios = portfolio.st, use="Equity")
rownames(dStats) <- gsub(".DailyEndEq","", rownames(dStats))
print(data.frame(t(dStats)))
durStats <- durationStatistics(Portfolio=portfolio.st, Symbols=sort(symbols))
print(t(durStats))
#market exposure
tmp <- list()
length(tmp) <- length(symbols)
for(i in 1:nrow(dStats)) {
totalDays <- nrow(get(rownames(dStats)[i]))
mktExposure <- dStats$Total.Days[i]/totalDays
tmp[[i]] <- c(rownames(dStats)[i], round(mktExposure, 3))
}
mktExposure <- data.frame(do.call(rbind, tmp))
colnames(mktExposure) <- c("Symbol","MktExposure")
print(mktExposure)
#portfolio cash PL
portString <- paste0("portfolio.", portfolio.st)
portPL <- .blotter[[portString]]$summary$Net.Trading.PL
#Cash Sharpe
(SharpeRatio.annualized(portPL, geometric=FALSE))
#Portfolio comparisons to SPY
instRets <- PortfReturns(account.st)
#Correlations
instCors <- cor(instRets)
diag(instRets) <- NA
corMeans <- rowMeans(instCors, na.rm=TRUE)
names(corMeans) <- gsub(".DailyEndEq", "", names(corMeans))
print(round(corMeans,3))
mean(corMeans)
portfRets <- xts(rowMeans(instRets)*ncol(instRets), order.by=index(instRets))
portfRets <- portfRets[!is.na(portfRets)]
cumPortfRets <- cumprod(1+portfRets)
firstNonZeroDay <- as.character(index(portfRets)[min(which(portfRets!=0))])
getSymbols("SPY", from=firstNonZeroDay, to=to)
SPYrets <- diff(log(Cl(SPY)))[-1]
cumSPYrets <- cumprod(1+SPYrets)
comparison <- cbind(cumPortfRets, cumSPYrets)
colnames(comparison) <- c("strategy", "SPY")
chart.TimeSeries(comparison, legend.loc = "topleft",
colors=c("green","red"))
chart.RelativePerformance(portfRets,SPYrets)
SharpeRatio.annualized(portfRets)
Return.annualized(portfRets)
maxDrawdown(portfRets)
myTheme<-chart_theme()
myTheme$col$dn.col<-'blue'
myTheme$col$dn.border <-'blue'
myTheme$col$up.border <-'blue'
chart.Posn(portfolio.st, "XLP", theme=myTheme)
tmp <- FRAMA(HLC(XLP), n=n, FC=FC, SC=SC, triggerLag=triggerLag)
add_TA(tmp$FRAMA, on=1, col="purple", lwd=3)
add_TA(tmp$trigger, on=1, col="red", lwd=2)
tmp2 <- runMedian(x=Cl(XLP), n=n)
add_TA(tmp2, on=1, col="orange", lwd=3)
tmp3 <- lagATR(HLC=HLC(XLP), n=period)
add_TA(tmp3$atr, col="purple", lwd=2)
zoom_Chart("2005")
chart.Posn(portfolio.st, "XLB")
tmp <- FRAMA(HLC(XLB), n=n, FC=FC, SC=SC, triggerLag=triggerLag)
add_TA(tmp$FRAMA, on=1, col="purple", lwd=3)
add_TA(tmp$trigger, on=1, col="blue", lwd=0.5)
tmp2 <- runMedian(x=Cl(XLB), n=nMed)
add_TA(tmp2, on=1, col="orange", lwd=3)
tmp3 <- lagATR(HLC=HLC(XLB), n=period)
add_TA(tmp3$atr, col="purple", lwd=2)
chart.Posn(portfolio.st, "SHY")
tmp <- FRAMA(HLC(SHY), n=n, FC=FC, SC=SC, triggerLag=triggerLag)
add_TA(tmp$FRAMA, on=1, col="purple", lwd=3)
add_TA(tmp$trigger, on=1, col="blue", lwd=0.5)
tmp2 <- runMedian(x=Cl(SHY), n=nMed)
add_TA(tmp2, on=1, col="orange", lwd=3)
tmp3 <- lagATR(HLC=HLC(SHY), n=period)
add_TA(tmp3$atr, col="purple", lwd=2)
IlyaKipnis/DSTrading documentation built on May 8, 2019, 1:39 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
require(DSTrading)
require(IKTrading)
require(quantstrat)
require(PerformanceAnalytics)
initDate="1990-01-01"
from="2003-01-01"
to="2010-12-31"
options(width=70)
#to rerun the strategy, rerun everything below this line
source("demoData.R") #contains all of the data-related boilerplate.
#trade sizing and initial equity settings
tradeSize <- 10000
initEq <- tradeSize*length(symbols)
strategy.st <- portfolio.st <- account.st <- "FRAMA_III"
rm.strat(portfolio.st)
rm.strat(strategy.st)
initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)
#parameters
FC=4
SC=300
n=126
triggerLag=1
nMed=n
period=10
pctATR=.02
#indicators
add.indicator(strategy.st, name="FRAMA",
arguments=list(HLC=quote(HLC(mktdata)), n=n,
SC=SC, FC=FC, triggerLag=triggerLag),
label="primary")
add.indicator(strategy.st, name="runMedian",
arguments=list(x=quote(Cl(mktdata)), n=nMed),
label="confirmatory")
add.indicator(strategy.st, name="lagATR",
arguments=list(HLC=quote(HLC(mktdata)), n=period),
label="atrX")
add.indicator(strategy.st, name="lag",
arguments=list(x=quote("X1.confirmatory")),
label="confirmTrigger")
# #long signals
#
# add.signal(strategy.st, name="sigComparison",
# arguments=list(columns=c("FRAMA.primary", "X1.confirmatory"),
# relationship="gte"),
# label="FRAMAgteMedian")
#
# add.signal(strategy.st, name="sigComparison",
# arguments=list(columns=c("FRAMA.primary", "trigger.primary"),
# relationship="gte"),
# label="FRAMArising")
#
# add.signal(strategy.st, name="sigComparison",
# arguments=list(columns=c("Close", "FRAMA.primary"),
# relationship="gte"),
# label="ClGtFRAMA")
#
# add.signal(strategy.st, name="sigAND",
# arguments=list(columns=c("FRAMAgteMedian",
# "FRAMArising", "ClGtFRAMA"),
# cross=TRUE),
# label="longEntry")
#
# add.signal(strategy.st, name="sigCrossover",
# arguments=list(columns=c("Close", "FRAMA.primary"),
# relationship="lt"),
# label="longExit")
#
# #long rules
#
# add.rule(strategy.st, name="ruleSignal",
# arguments=list(sigcol="longEntry", sigval=TRUE, ordertype="market",
# orderside="long", replace=FALSE, prefer="Open", osFUN=osDollarATR,
# tradeSize=tradeSize, pctATR=pctATR, atrMod="X"),
# type="enter", path.dep=TRUE)
#
# add.rule(strategy.st, name="ruleSignal",
# arguments=list(sigcol="longExit", sigval=TRUE, orderqty="all", ordertype="market",
# orderside="long", replace=FALSE, prefer="Open"),
# type="exit", path.dep=TRUE)
#short signals
add.signal(strategy.st, name="sigComparison",
arguments=list(columns=c("FRAMA.primary", "X1.confirmatory"),
relationship="lt"),
label="FRAMAltMedian")
add.signal(strategy.st, name="sigComparison",
arguments=list(columns=c("FRAMA.primary", "trigger.primary"),
relationship="lt"),
label="FRAMAfalling")
add.signal(strategy.st, name="sigComparison",
arguments=list(columns=c("Close", "FRAMA.primary"),
relationship="lt"),
label="ClLtFRAMA")
add.signal(strategy.st, name="sigAND",
arguments=list(columns=c("FRAMAltMedian",
"FRAMAfalling", "ClLtFRAMA"),
cross=TRUE),
label="shortEntry")
add.signal(strategy.st, name="sigCrossover",
arguments=list(columns=c("Close", "FRAMA.primary"),
relationship="gt"),
label="shortExit")
#short rules
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="shortEntry", sigval=TRUE, ordertype="market",
orderside="short", replace=FALSE, prefer="Open", osFUN=osDollarATR,
tradeSize=-tradeSize, pctATR=pctATR, atrMod="X"),
type="enter", path.dep=TRUE)
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="shortExit", sigval=TRUE, orderqty="all", ordertype="market",
orderside="short", replace=FALSE, prefer="Open"),
type="exit", path.dep=TRUE)
#apply strategy
t1 <- Sys.time()
out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
t2 <- Sys.time()
print(t2-t1)
#set up analytics
updatePortf(portfolio.st)
dateRange <- time(getPortfolio(portfolio.st)$summary)[-1]
updateAcct(portfolio.st,dateRange)
updateEndEq(account.st)
#trade statistics
tStats <- tradeStats(Portfolios = portfolio.st, use="trades", inclZeroDays=FALSE)
tStats[,4:ncol(tStats)] <- round(tStats[,4:ncol(tStats)], 2)
print(data.frame(t(tStats[,-c(1,2)])))
(aggPF <- sum(tStats$Gross.Profits)/-sum(tStats$Gross.Losses))
(aggCorrect <- mean(tStats$Percent.Positive))
(numTrades <- sum(tStats$Num.Trades))
(meanAvgWLR <- mean(tStats$Avg.WinLoss.Ratio))
#daily and duration statistics
dStats <- dailyStats(Portfolios = portfolio.st, use="Equity")
rownames(dStats) <- gsub(".DailyEndEq","", rownames(dStats))
print(data.frame(t(dStats)))
durStats <- durationStatistics(Portfolio=portfolio.st, Symbols=sort(symbols))
print(t(durStats))
#market exposure
tmp <- list()
length(tmp) <- length(symbols)
for(i in 1:nrow(dStats)) {
totalDays <- nrow(get(rownames(dStats)[i]))
mktExposure <- dStats$Total.Days[i]/totalDays
tmp[[i]] <- c(rownames(dStats)[i], round(mktExposure, 3))
}
mktExposure <- data.frame(do.call(rbind, tmp))
colnames(mktExposure) <- c("Symbol","MktExposure")
print(mktExposure)
#portfolio cash PL
portString <- paste0("portfolio.", portfolio.st)
portPL <- .blotter[[portString]]$summary$Net.Trading.PL
#Cash Sharpe
(SharpeRatio.annualized(portPL, geometric=FALSE))
#Portfolio comparisons to SPY
instRets <- PortfReturns(account.st)
#Correlations
instCors <- cor(instRets)
diag(instRets) <- NA
corMeans <- rowMeans(instCors, na.rm=TRUE)
names(corMeans) <- gsub(".DailyEndEq", "", names(corMeans))
print(round(corMeans,3))
mean(corMeans)
portfRets <- xts(rowMeans(instRets)*ncol(instRets), order.by=index(instRets))
portfRets <- portfRets[!is.na(portfRets)]
cumPortfRets <- cumprod(1+portfRets)
firstNonZeroDay <- as.character(index(portfRets)[min(which(portfRets!=0))])
getSymbols("SPY", from=firstNonZeroDay, to=to)
SPYrets <- diff(log(Cl(SPY)))[-1]
cumSPYrets <- cumprod(1+SPYrets)
comparison <- cbind(cumPortfRets, cumSPYrets)
colnames(comparison) <- c("strategy", "SPY")
chart.TimeSeries(comparison, legend.loc = "topleft",
colors=c("green","red"))
chart.RelativePerformance(portfRets,SPYrets)
SharpeRatio.annualized(portfRets)
Return.annualized(portfRets)
maxDrawdown(portfRets)
myTheme<-chart_theme()
myTheme$col$dn.col<-'blue'
myTheme$col$dn.border <-'blue'
myTheme$col$up.border <-'blue'
chart.Posn(portfolio.st, "XLP", theme=myTheme)
tmp <- FRAMA(HLC(XLP), n=n, FC=FC, SC=SC, triggerLag=triggerLag)
add_TA(tmp$FRAMA, on=1, col="purple", lwd=3)
add_TA(tmp$trigger, on=1, col="red", lwd=2)
tmp2 <- runMedian(x=Cl(XLP), n=n)
add_TA(tmp2, on=1, col="orange", lwd=3)
tmp3 <- lagATR(HLC=HLC(XLP), n=period)
add_TA(tmp3$atr, col="purple", lwd=2)
zoom_Chart("2005")
chart.Posn(portfolio.st, "XLB")
tmp <- FRAMA(HLC(XLB), n=n, FC=FC, SC=SC, triggerLag=triggerLag)
add_TA(tmp$FRAMA, on=1, col="purple", lwd=3)
add_TA(tmp$trigger, on=1, col="blue", lwd=0.5)
tmp2 <- runMedian(x=Cl(XLB), n=nMed)
add_TA(tmp2, on=1, col="orange", lwd=3)
tmp3 <- lagATR(HLC=HLC(XLB), n=period)
add_TA(tmp3$atr, col="purple", lwd=2)
chart.Posn(portfolio.st, "SHY")
tmp <- FRAMA(HLC(SHY), n=n, FC=FC, SC=SC, triggerLag=triggerLag)
add_TA(tmp$FRAMA, on=1, col="purple", lwd=3)
add_TA(tmp$trigger, on=1, col="blue", lwd=0.5)
tmp2 <- runMedian(x=Cl(SHY), n=nMed)
add_TA(tmp2, on=1, col="orange", lwd=3)
tmp3 <- lagATR(HLC=HLC(SHY), n=period)
add_TA(tmp3$atr, col="purple", lwd=2)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.