#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - August 2012
#
# Tested and found to work correctly using blotter r1457
#
# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# compute StopTrailing percentage for various paramsets
require(quantstrat)
##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
# # use test dates
# {initDate="2011-01-01"
# endDate="2012-12-31"
# } else
# # use demo defaults
# {initDate="1999-12-31"
# endDate=Sys.Date()}
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
source(paste0(path.package("quantstrat"),"/demo/luxor.getSymbols.R"))
###
initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
addPosLimit(
portfolio=portfolio.st,
symbol='GBPUSD',
timestamp=initDate,
maxpos=.orderqty)
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD')
###
initOrders(portfolio.st, initDate=initDate)
load.strategy(strategy.st)
### BEGIN uncomment lines to activate StopLoss and/or StopTrailing and/or TakeProfit rules
enable.rule('luxor', 'chain', 'StopLoss')
enable.rule('luxor', 'chain', 'StopTrailing')
#enable.rule('luxor', 'chain', 'TakeProfit')
### END uncomment lines to activate StopLoss and/or StopTrailing and/or TakeProfit rules
require(foreach)
#registerDoSEQ()
if (!"doMC" %in% installed.packages()[,1]) {
install.packages("doMC")
}
require(doMC)
registerDoMC(cores=2)
#require(doParallel)
#registerDoParallel(cores=2)
#require(doRedis)
#registerDoRedis('jobs')
############################
results <- apply.paramset(strategy.st, paramset.label='StopTrailing', portfolio.st=portfolio.st, account.st=account.st, nsamples=80, verbose=TRUE)
stats <- results$tradeStats
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)
################################################################
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