sandbox/paramtest201604/processingtime_q.ps.R
In braverock/quantstrat: Quantitative Strategy Model Framework
#library(lattice)
library(foreach)
#library(doSNOW)
#library(ggplot2)
library(PerformanceAnalytics)
#require(latticeExtra)
#require(grid)
#library(gridExtra)
#library(reshape)
library(quantstrat)
require(doMC)
#uncomment these lines and set appropriately to use multiple cores
cores=12
registerDoMC(cores)
#uncomment this line to use one core
#registerDoSEQ()
.strategy<- new.env()
.blotter<- new.env()
currency(c('USD', 'EUR'))
exchange_rate(primary_id="EURUSD", tick_size=0.0001)
data.location.r <- "processingtime_q_rsigfinance.csv"
symbol.data <- as.xts(read.zoo(data.location.r, sep=',', tz="",header=TRUE, format='%d/%m/%Y %H:%M', index.column = 1))
symbol.data <- symbol.data[symbol.data$VOLUME!=0,]
symbol.data[,c(1,2,3,4)] <- round(as.numeric(symbol.data[,c(1,2,3,4)]),abs(log10(0.0001)))
assign("EURUSD", symbol.data)
strategy.st <- "rsigfinance"
rm.strat(strategy.st)
initDate = as.character(as.Date(index(symbol.data[1])-1))
initPortf(strategy.st, "EURUSD", initDate=initDate, currency = "USD")
initAcct(strategy.st, portfolios=strategy.st, initDate=initDate, initEq=100000, currency = "USD")
initOrders(portfolio=strategy.st,initDate=initDate)
strategy(strategy.st,store=TRUE)
summary(getStrategy(strategy.st))
positionSizeLong = round(100000 / as.numeric(symbol.data$CLOSE[1]),-2)
positionSizeShort = - round(100000 / as.numeric(symbol.data$CLOSE[1]),-2)
txn.model <- 0
sltsltp.txn.fee <- 0
add.indicator(strategy.st,
name = "MACD",
arguments = list(x=Cl(eval(parse(text = "EURUSD")))),
label='macd')
add.signal(strategy.st,name="sigCrossover",
arguments = list(columns=c("macd.macd","signal.macd"),relationship="gt"),
label="macd.gt.signal")
add.signal(strategy.st,name="sigCrossover",
arguments = list(columns=c("macd.macd","signal.macd"),relationship="lt"),
label="macd.lt.signal")
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="macd.gt.signal",
sigval=TRUE,
prefer="Open",
orderqty= positionSizeLong,
ordertype='market',
orderside='long',
orderset='ocolong',
TxnFees = txn.model),
type='enter',
label='longenter',
enabled=TRUE
)
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="macd.lt.signal",
sigval=TRUE,
prefer="Open",
orderqty='all',
ordertype='market',
orderside='long',
orderset='ocolong',
TxnFees = txn.model),
type='exit',
label='longexit',
enabled=TRUE
)
add.rule(strategy.st,name='ruleSignal',
arguments = list( sigcol="macd.lt.signal", sigval=TRUE,
replace=FALSE,
orderside='long',
ordertype='stoplimit',
tmult=TRUE,
threshold=quote( longStopLossDistance ),
orderqty='all',
orderset='ocolong',
TxnFees = txn.model),
type='chain', parent="longenter",
label='StopLossLong',
enabled=TRUE)
# add.rule(strategy.st, name = 'ruleSignal',
# arguments=list(sigcol="macd.lt.signal" , sigval=TRUE,
# replace=FALSE,
# orderside='long',
# ordertype='stoptrailing',
# tmult=TRUE,
# threshold=quote(longTrailingStopDistance),
# orderqty='all',
# orderset='ocolong',
# TxnFees = txn.model),
# type='chain', parent="longenter",
# label='StopTrailingLong',
# enabled=FALSE
# )
# add.rule(strategy.st, name = "ruleSignal",
# arguments = list(sigcol="macd.lt.signal",
# sigval=TRUE,
# ordertype="limit",
# orderside="long",
# replace=FALSE,
# tmult=TRUE,
# threshold=quote(longTakeProfitDistance),
# orderqty="all",
# orderset="ocolong",
# TxnFees = txn.model),
# type = "chain", parent="longenter",
# label = "takeProfitLong",
# enabled = FALSE
# )
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="macd.lt.signal",
sigval=TRUE,
prefer="Open",
orderqty=positionSizeShort,
ordertype='market',
orderside='short',
orderset='ocoshort',
TxnFees = txn.model),
type='enter',
label='shortenter',
enabled=TRUE
)
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="macd.gt.signal",
sigval=TRUE,
prefer="Open",
orderqty='all',
ordertype='market',
orderside='short',
orderset='ocoshort',
TxnFees = txn.model),
type='exit',
label='shortexit',
enabled=TRUE
)
add.rule(strategy.st,name='ruleSignal',
arguments = list( sigcol="macd.gt.signal", sigval=TRUE,
replace=FALSE,
orderside='short',
ordertype='stoplimit',
tmult=TRUE,
threshold=quote( shortStopLossDistance ),
orderqty='all',
orderset='ocoshort',
TxnFees = txn.model),
type='chain', parent="shortenter",
label='StopLossShort',
enabled=TRUE)
# add.rule(strategy.st, name = 'ruleSignal',
# arguments=list(sigcol="macd.gt.signal" , sigval=TRUE,
# replace=FALSE,
# orderside='short',
# ordertype='stoptrailing',
# tmult=TRUE,
# threshold=quote( shortTrailingStopDistance),
# orderqty='all',
# orderset='ocoshort',
# TxnFees = txn.model),
# type='chain', parent="shortenter",
# label='StopTrailingShort',
# enabled=FALSE
# )
# add.rule(strategy.st, name = "ruleSignal",
# arguments = list(sigcol="macd.gt.signal",
# sigval=TRUE,
# ordertype="limit",
# orderside="short",
# replace=FALSE,
# tmult=TRUE,
# threshold=quote( -shortTakeProfitDistance),
# orderqty="all",
# orderset="ocoshort",
# TxnFees = txn.model),
# type = "chain", parent="shortenter",
# label = "takeProfitShort",
# enabled = FALSE
# )
# set up the distributions and ranges
macdFastMARange <- seq(2,17,by=5)
macdSlowMARange <- seq(5,35,by=10)
macdSignalRange <- seq(2,18,by=8)
StopLossDistanceRange <- seq(0.01,0.02,by=0.01)
TrailingDistanceRange <- seq(0.01,0.02,by=0.01)
positionSizeLong = round(100000 / as.numeric(symbol.data$CLOSE[1]),-2)
positionSizeShort = - round(100000 / as.numeric(symbol.data$CLOSE[1]),-2)
txn.model <- 0
sltsltp.txn.fee <- 0
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = 'indicator',
component.label = "macd",
variable = list( nFast = macdFastMARange ),
label = "macdFastMARANGE")
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = 'indicator',
component.label = "macd",
variable = list( nSlow = macdSlowMARange ),
label = "macdSlowMARANGE")
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = 'indicator',
component.label = "macd",
variable = list( nSig = macdSignalRange ),
label = "macdSignalRANGE")
add.distribution.constraint(strategy.st,
paramset.label = 'MACD_OPT',
distribution.label.1 = 'macdFastMARANGE',
distribution.label.2 = 'macdSlowMARANGE',
operator = '<',
label = 'FastMA<SlowMA')
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = "chain",
component.label = "StopLossLong",
variable = list( threshold = StopLossDistanceRange ),
label = "StopLossLONG")
# add.distribution(strategy.st,
# paramset.label = "MACD_OPT",
# component.type = "chain",
# component.label = "StopTrailingLong",
# variable = list( threshold = TrailingDistanceRange ),
# label = "StopTrailingLONG")
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = "chain",
component.label = "StopLossShort",
variable = list( threshold = StopLossDistanceRange ),
label = "StopLossSHORT")
# add.distribution(strategy.st,
# paramset.label = "MACD_OPT",
# component.type = "chain",
# component.label = "StopTrailingShort",
# variable = list( threshold = TrailingDistanceRange ),
# label = "StopTrailingSHORT")
add.distribution.constraint(strategy.st,
paramset.label = "MACD_OPT",
distribution.label.1 = "StopLossLONG",
distribution.label.2 = "StopLossSHORT",
operator = "==",
label = "StoplossEquality")
# add.distribution.constraint(strategy.st,
# paramset.label = "MACD_OPT",
# distribution.label.1 = "StopTrailingLONG",
# distribution.label.2 = "StopTrailingSHORT",
# operator = "==",
# label = "TrailingStopEquality")
summary(getStrategy(strategy.st))
nFast <- 9
nSlow <- 24
nSignal <- 7
longStopLossDistance <- 0.01;longTrailingStopDistance <- 0.01;longTakeProfitDistance <- 0.01
shortStopLossDistance <- 0.01;shortTrailingStopDistance <- 0.01;shortTakeProfitDistance <- 0.01
paramsetenv<-new.env()
#turn off prescheduling to get better load balancing
mcoptions <- list(preschedule=FALSE)
start.t <- Sys.time()
# results <- applyStrategy( strategy=strategy.st , portfolios=strategy.st,
# parameters=list(nFast=nFast, nSlow=nSlow, nSig=nSignal),verbose=TRUE)
#
# updatePortf(strategy.st)
# updateAcct(strategy.st)
# updateEndEq(strategy.st)
results <- apply.paramset(strategy.st,paramset.label="MACD_OPT",
portfolio=strategy.st, account=strategy.st,nsamples=0,verbose = FALSE,
audit=paramsetenv
, .options.multicore=mcoptions
)
finish.t <- Sys.time()
print(finish.t-start.t)
braverock/quantstrat documentation built on Sept. 15, 2023, 11:32 a.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.
#library(lattice)
library(foreach)
#library(doSNOW)
#library(ggplot2)
library(PerformanceAnalytics)
#require(latticeExtra)
#require(grid)
#library(gridExtra)
#library(reshape)
library(quantstrat)
require(doMC)
#uncomment these lines and set appropriately to use multiple cores
cores=12
registerDoMC(cores)
#uncomment this line to use one core
#registerDoSEQ()
.strategy<- new.env()
.blotter<- new.env()
currency(c('USD', 'EUR'))
exchange_rate(primary_id="EURUSD", tick_size=0.0001)
data.location.r <- "processingtime_q_rsigfinance.csv"
symbol.data <- as.xts(read.zoo(data.location.r, sep=',', tz="",header=TRUE, format='%d/%m/%Y %H:%M', index.column = 1))
symbol.data <- symbol.data[symbol.data$VOLUME!=0,]
symbol.data[,c(1,2,3,4)] <- round(as.numeric(symbol.data[,c(1,2,3,4)]),abs(log10(0.0001)))
assign("EURUSD", symbol.data)
strategy.st <- "rsigfinance"
rm.strat(strategy.st)
initDate = as.character(as.Date(index(symbol.data[1])-1))
initPortf(strategy.st, "EURUSD", initDate=initDate, currency = "USD")
initAcct(strategy.st, portfolios=strategy.st, initDate=initDate, initEq=100000, currency = "USD")
initOrders(portfolio=strategy.st,initDate=initDate)
strategy(strategy.st,store=TRUE)
summary(getStrategy(strategy.st))
positionSizeLong = round(100000 / as.numeric(symbol.data$CLOSE[1]),-2)
positionSizeShort = - round(100000 / as.numeric(symbol.data$CLOSE[1]),-2)
txn.model <- 0
sltsltp.txn.fee <- 0
add.indicator(strategy.st,
name = "MACD",
arguments = list(x=Cl(eval(parse(text = "EURUSD")))),
label='macd')
add.signal(strategy.st,name="sigCrossover",
arguments = list(columns=c("macd.macd","signal.macd"),relationship="gt"),
label="macd.gt.signal")
add.signal(strategy.st,name="sigCrossover",
arguments = list(columns=c("macd.macd","signal.macd"),relationship="lt"),
label="macd.lt.signal")
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="macd.gt.signal",
sigval=TRUE,
prefer="Open",
orderqty= positionSizeLong,
ordertype='market',
orderside='long',
orderset='ocolong',
TxnFees = txn.model),
type='enter',
label='longenter',
enabled=TRUE
)
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="macd.lt.signal",
sigval=TRUE,
prefer="Open",
orderqty='all',
ordertype='market',
orderside='long',
orderset='ocolong',
TxnFees = txn.model),
type='exit',
label='longexit',
enabled=TRUE
)
add.rule(strategy.st,name='ruleSignal',
arguments = list( sigcol="macd.lt.signal", sigval=TRUE,
replace=FALSE,
orderside='long',
ordertype='stoplimit',
tmult=TRUE,
threshold=quote( longStopLossDistance ),
orderqty='all',
orderset='ocolong',
TxnFees = txn.model),
type='chain', parent="longenter",
label='StopLossLong',
enabled=TRUE)
# add.rule(strategy.st, name = 'ruleSignal',
# arguments=list(sigcol="macd.lt.signal" , sigval=TRUE,
# replace=FALSE,
# orderside='long',
# ordertype='stoptrailing',
# tmult=TRUE,
# threshold=quote(longTrailingStopDistance),
# orderqty='all',
# orderset='ocolong',
# TxnFees = txn.model),
# type='chain', parent="longenter",
# label='StopTrailingLong',
# enabled=FALSE
# )
# add.rule(strategy.st, name = "ruleSignal",
# arguments = list(sigcol="macd.lt.signal",
# sigval=TRUE,
# ordertype="limit",
# orderside="long",
# replace=FALSE,
# tmult=TRUE,
# threshold=quote(longTakeProfitDistance),
# orderqty="all",
# orderset="ocolong",
# TxnFees = txn.model),
# type = "chain", parent="longenter",
# label = "takeProfitLong",
# enabled = FALSE
# )
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="macd.lt.signal",
sigval=TRUE,
prefer="Open",
orderqty=positionSizeShort,
ordertype='market',
orderside='short',
orderset='ocoshort',
TxnFees = txn.model),
type='enter',
label='shortenter',
enabled=TRUE
)
add.rule(strategy.st,
name='ruleSignal',
arguments = list(sigcol="macd.gt.signal",
sigval=TRUE,
prefer="Open",
orderqty='all',
ordertype='market',
orderside='short',
orderset='ocoshort',
TxnFees = txn.model),
type='exit',
label='shortexit',
enabled=TRUE
)
add.rule(strategy.st,name='ruleSignal',
arguments = list( sigcol="macd.gt.signal", sigval=TRUE,
replace=FALSE,
orderside='short',
ordertype='stoplimit',
tmult=TRUE,
threshold=quote( shortStopLossDistance ),
orderqty='all',
orderset='ocoshort',
TxnFees = txn.model),
type='chain', parent="shortenter",
label='StopLossShort',
enabled=TRUE)
# add.rule(strategy.st, name = 'ruleSignal',
# arguments=list(sigcol="macd.gt.signal" , sigval=TRUE,
# replace=FALSE,
# orderside='short',
# ordertype='stoptrailing',
# tmult=TRUE,
# threshold=quote( shortTrailingStopDistance),
# orderqty='all',
# orderset='ocoshort',
# TxnFees = txn.model),
# type='chain', parent="shortenter",
# label='StopTrailingShort',
# enabled=FALSE
# )
# add.rule(strategy.st, name = "ruleSignal",
# arguments = list(sigcol="macd.gt.signal",
# sigval=TRUE,
# ordertype="limit",
# orderside="short",
# replace=FALSE,
# tmult=TRUE,
# threshold=quote( -shortTakeProfitDistance),
# orderqty="all",
# orderset="ocoshort",
# TxnFees = txn.model),
# type = "chain", parent="shortenter",
# label = "takeProfitShort",
# enabled = FALSE
# )
# set up the distributions and ranges
macdFastMARange <- seq(2,17,by=5)
macdSlowMARange <- seq(5,35,by=10)
macdSignalRange <- seq(2,18,by=8)
StopLossDistanceRange <- seq(0.01,0.02,by=0.01)
TrailingDistanceRange <- seq(0.01,0.02,by=0.01)
positionSizeLong = round(100000 / as.numeric(symbol.data$CLOSE[1]),-2)
positionSizeShort = - round(100000 / as.numeric(symbol.data$CLOSE[1]),-2)
txn.model <- 0
sltsltp.txn.fee <- 0
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = 'indicator',
component.label = "macd",
variable = list( nFast = macdFastMARange ),
label = "macdFastMARANGE")
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = 'indicator',
component.label = "macd",
variable = list( nSlow = macdSlowMARange ),
label = "macdSlowMARANGE")
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = 'indicator',
component.label = "macd",
variable = list( nSig = macdSignalRange ),
label = "macdSignalRANGE")
add.distribution.constraint(strategy.st,
paramset.label = 'MACD_OPT',
distribution.label.1 = 'macdFastMARANGE',
distribution.label.2 = 'macdSlowMARANGE',
operator = '<',
label = 'FastMA<SlowMA')
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = "chain",
component.label = "StopLossLong",
variable = list( threshold = StopLossDistanceRange ),
label = "StopLossLONG")
# add.distribution(strategy.st,
# paramset.label = "MACD_OPT",
# component.type = "chain",
# component.label = "StopTrailingLong",
# variable = list( threshold = TrailingDistanceRange ),
# label = "StopTrailingLONG")
add.distribution(strategy.st,
paramset.label = "MACD_OPT",
component.type = "chain",
component.label = "StopLossShort",
variable = list( threshold = StopLossDistanceRange ),
label = "StopLossSHORT")
# add.distribution(strategy.st,
# paramset.label = "MACD_OPT",
# component.type = "chain",
# component.label = "StopTrailingShort",
# variable = list( threshold = TrailingDistanceRange ),
# label = "StopTrailingSHORT")
add.distribution.constraint(strategy.st,
paramset.label = "MACD_OPT",
distribution.label.1 = "StopLossLONG",
distribution.label.2 = "StopLossSHORT",
operator = "==",
label = "StoplossEquality")
# add.distribution.constraint(strategy.st,
# paramset.label = "MACD_OPT",
# distribution.label.1 = "StopTrailingLONG",
# distribution.label.2 = "StopTrailingSHORT",
# operator = "==",
# label = "TrailingStopEquality")
summary(getStrategy(strategy.st))
nFast <- 9
nSlow <- 24
nSignal <- 7
longStopLossDistance <- 0.01;longTrailingStopDistance <- 0.01;longTakeProfitDistance <- 0.01
shortStopLossDistance <- 0.01;shortTrailingStopDistance <- 0.01;shortTakeProfitDistance <- 0.01
paramsetenv<-new.env()
#turn off prescheduling to get better load balancing
mcoptions <- list(preschedule=FALSE)
start.t <- Sys.time()
# results <- applyStrategy( strategy=strategy.st , portfolios=strategy.st,
# parameters=list(nFast=nFast, nSlow=nSlow, nSig=nSignal),verbose=TRUE)
#
# updatePortf(strategy.st)
# updateAcct(strategy.st)
# updateEndEq(strategy.st)
results <- apply.paramset(strategy.st,paramset.label="MACD_OPT",
portfolio=strategy.st, account=strategy.st,nsamples=0,verbose = FALSE,
audit=paramsetenv
, .options.multicore=mcoptions
)
finish.t <- Sys.time()
print(finish.t-start.t)
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.