R/TODO/BackTestingRealTime.R
In ivanliu1989/RQuantTrader: A collection of functions for pair trading
Defines functions
BackTestingRealTime
BackTestingRealTimeBenchmark
#' Real Time Backtesting Function for Modeling
#'
#' Real time backtesting function for modeling with removed survivor biased and bias of using future elements
#'
#' @param context trading context
#' @param datasets a dataset to be used for modeling
#' @param nEval length of periods used for training
#' @param strategyFunc customised function to calculate indicator from \code{datasets}
#' @param strategyParam parameters used in \code{strategyFunc}
#' @param longTrigger a number of thresholds for going long
#' @param shortTrigger a number of thresholds for going short
#' @param exitTrigger a trigger to exit current positions
#'
#' @return A \code{data.frame} with trading activities
#'
#' @seealso \link{getUserTemplate}
#'
#' @export
BackTestingRealTime <- function(context, datasets, nEval = 500, longTrigger = -1, shortTrigger = 1, exitTrigger = 0, strategyFunc = NULL, strategyParam = 5){
lookback <- context$lookback
brokerage <- context$brokerage
capital <- context$capital
stoploss <- context$stoploss
in_short = FALSE
in_long = FALSE
stdat = nrow(datasets) - lookback + 1
enddat = nrow(datasets)
y = datasets$y.close
y.bid = datasets$y.bid
y.ask = datasets$y.ask
x = datasets$x.close
x.bid = datasets$x.bid
x.ask = datasets$x.ask
prices <- merge(y, y.bid, y.ask, x, x.bid, x.ask)
dt.summary <- createSummarySheet(prices, context$capital)
i = 0
for(d in stdat:enddat){
i = i + 1
cat(paste0("\nDate: ", index(datasets[d,])))
# create strategy indicator
dt = datasets[max(1, d-nEval):d, ]
half.life <- HalfLifeMeanReversion(dt$price.ratio)$half.life.round; #cat(paste0("Half-Life: ", half.life))
# skip unnecessary modeling
zc <- zscores(dt$price.ratio)
indicator <- tail(zc,1)
# exit = ((in_short & indicator < exitTrigger) | (in_long & indicator > exitTrigger))
golong = (!in_long & indicator < longTrigger)
goshort = (!in_short & indicator > shortTrigger)
if(any(golong, goshort)){
indicator <- strategyBuilder(dt, half.life, strategyParam)
}
# calculate hedge ratio
hedgeRatio <- HedgeRatioOLS(dt[max((nrow(dt)-half.life),1):nrow(dt),2],
dt[max((nrow(dt)-half.life),1):nrow(dt),3])
if(d == enddat){
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], 0, brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], 0, brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
in_short = FALSE
in_long = FALSE
dt.summary$long.pos[i] = 0
dt.summary$short.pos[i] = 0
dt.summary$trade[i] = "Exit"
}else if((in_short & indicator < exitTrigger) | (in_long & indicator > exitTrigger)){
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], 0, brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], 0, brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
in_short = FALSE
in_long = FALSE
dt.summary$long.pos[i] = 0
dt.summary$short.pos[i] = 0
dt.summary$trade[i] = "Exit"
}else if(!in_long & indicator < longTrigger){
# Only trade if NOT already in a trade
y_target_shares = 1
x_target_shares = -hedgeRatio$beta
in_long = TRUE
in_short = FALSE
target_pct <- as.vector(computeHoldingsPct(y_target_shares,x_target_shares,y[i], x[i]))
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.ask[i], dt.summary$y.shares[i], target_pct[1], brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], target_pct[2], brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
dt.summary$long.pos[i] = 1
dt.summary$short.pos[i] = -1
dt.summary$trade[i] = "Go Long"
}else if(!in_short & indicator > shortTrigger){
# Only trade if NOT already in a trade
y_target_shares = -1
x_target_shares = hedgeRatio$beta
in_long = FALSE
in_short = TRUE
target_pct <- as.vector(computeHoldingsPct(y_target_shares,x_target_shares,y[i], x[i]))
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], target_pct[1], brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.ask[i], dt.summary$x.shares[i], target_pct[2], brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
dt.summary$long.pos[i] = -1
dt.summary$short.pos[i] = 1
dt.summary$trade[i] = "Go Short"
}else{
if(i > 1){
dt.summary$capital[i] = dt.summary$capital[i-1]
dt.summary$y.holdings[i] = dt.summary$y.holdings[i-1]
dt.summary$x.holdings[i] = dt.summary$x.holdings[i-1]
dt.summary$y.shares[i] = dt.summary$y.shares[i-1]
dt.summary$x.shares[i] = dt.summary$x.shares[i-1]
dt.summary$long.pos[i] = dt.summary$long.pos[i-1]
dt.summary$short.pos[i] = dt.summary$short.pos[i-1]
# cat("\nWhat!!!!!!!!!!!!!!!!!!!!!!!")
dt.summary$capital[i+1] = dt.summary$capital[i]
dt.summary$y.holdings[i+1] = dt.summary$y.holdings[i]
dt.summary$x.holdings[i+1] = dt.summary$x.holdings[i]
dt.summary$y.shares[i+1] = dt.summary$y.shares[i]
dt.summary$x.shares[i+1] = dt.summary$x.shares[i]
dt.summary$long.pos[i+1] = dt.summary$long.pos[i]
dt.summary$short.pos[i+1] = dt.summary$short.pos[i]
}
}
dt.summary$in_short[i] = in_short
dt.summary$in_long[i] = in_long
dt.summary$hedgeRatio[i] = hedgeRatio$beta
dt.summary$beta[i] = hedgeRatio$beta
dt.summary$alpha[i] = hedgeRatio$alpha
}
dt.summary$real.capital <- dt.summary$y.bid * dt.summary$y.shares + dt.summary$x.bid * dt.summary$x.shares + dt.summary$capital
return(dt.summary)
}
#' Real Time Backtesting Function for Modeling - Benchmark
#'
#' Real time backtesting function for modeling with removed survivor biased and bias of using future elements
#'
#' @param context trading context
#' @param datasets a dataset to be used for modeling
#' @param nEval length of periods used for training
#' @param strategyFunc customised function to calculate indicator from \code{datasets}
#' @param strategyParam parameters used in \code{strategyFunc}
#' @param longTrigger a number of thresholds for going long
#' @param shortTrigger a number of thresholds for going short
#' @param exitTrigger a trigger to exit current positions
#'
#' @return A \code{data.frame} with trading activities
#'
#' @seealso \link{getUserTemplate}
#'
#' @export
BackTestingRealTimeBenchmark <- function(context, datasets, nEval = 500, longTrigger = -1, shortTrigger = 1, exitTrigger = 0, strategyFunc = NULL, strategyParam = 5){
lookback <- context$lookback
brokerage <- context$brokerage
capital <- context$capital
stoploss <- context$stoploss
in_short = FALSE
in_long = FALSE
stdat = nrow(datasets) - lookback + 1
enddat = nrow(datasets)
y = datasets$y.close
y.bid = datasets$y.bid
y.ask = datasets$y.ask
x = datasets$x.close
x.bid = datasets$x.bid
x.ask = datasets$x.ask
prices <- merge(y, y.bid, y.ask, x, x.bid, x.ask)
dt.summary <- createSummarySheet(prices, context$capital)
i = 0
for(d in stdat:enddat){
i = i + 1
cat(paste0("\nDate: ", index(datasets[d,])))
# create strategy indicator
dt = datasets[max(1, d-nEval):d, ]
half.life <- HalfLifeMeanReversion(dt$price.ratio)$half.life.round; #cat(paste0("Half-Life: ", half.life))
# skip unnecessary modeling
zc <- zscores(dt$price.ratio)
indicator <- tail(zc,1)
# calculate hedge ratio
hedgeRatio <- HedgeRatioOLS(dt[max((nrow(dt)-half.life),1):nrow(dt),2],
dt[max((nrow(dt)-half.life),1):nrow(dt),3])
if(d == enddat){
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], 0, brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], 0, brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
in_short = FALSE
in_long = FALSE
dt.summary$long.pos[i] = 0
dt.summary$short.pos[i] = 0
dt.summary$trade[i] = "Exit"
}else if((in_short & indicator < exitTrigger) | (in_long & indicator > exitTrigger)){
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], 0, brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], 0, brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
in_short = FALSE
in_long = FALSE
dt.summary$long.pos[i] = 0
dt.summary$short.pos[i] = 0
dt.summary$trade[i] = "Exit"
}else if(!in_long & indicator < longTrigger){
# Only trade if NOT already in a trade
y_target_shares = 1
x_target_shares = -hedgeRatio$beta
in_long = TRUE
in_short = FALSE
target_pct <- as.vector(computeHoldingsPct(y_target_shares,x_target_shares,y[i], x[i]))
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.ask[i], dt.summary$y.shares[i], target_pct[1], brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], target_pct[2], brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
dt.summary$long.pos[i] = 1
dt.summary$short.pos[i] = -1
dt.summary$trade[i] = "Go Long"
}else if(!in_short & indicator > shortTrigger){
# Only trade if NOT already in a trade
y_target_shares = -1
x_target_shares = hedgeRatio$beta
in_long = FALSE
in_short = TRUE
target_pct <- as.vector(computeHoldingsPct(y_target_shares,x_target_shares,y[i], x[i]))
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], target_pct[1], brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.ask[i], dt.summary$x.shares[i], target_pct[2], brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
dt.summary$long.pos[i] = -1
dt.summary$short.pos[i] = 1
dt.summary$trade[i] = "Go Short"
}else{
if(i > 1){
dt.summary$capital[i] = dt.summary$capital[i-1]
dt.summary$y.holdings[i] = dt.summary$y.holdings[i-1]
dt.summary$x.holdings[i] = dt.summary$x.holdings[i-1]
dt.summary$y.shares[i] = dt.summary$y.shares[i-1]
dt.summary$x.shares[i] = dt.summary$x.shares[i-1]
dt.summary$long.pos[i] = dt.summary$long.pos[i-1]
dt.summary$short.pos[i] = dt.summary$short.pos[i-1]
# cat("\nWhat!!!!!!!!!!!!!!!!!!!!!!!")
dt.summary$capital[i+1] = dt.summary$capital[i]
dt.summary$y.holdings[i+1] = dt.summary$y.holdings[i]
dt.summary$x.holdings[i+1] = dt.summary$x.holdings[i]
dt.summary$y.shares[i+1] = dt.summary$y.shares[i]
dt.summary$x.shares[i+1] = dt.summary$x.shares[i]
dt.summary$long.pos[i+1] = dt.summary$long.pos[i]
dt.summary$short.pos[i+1] = dt.summary$short.pos[i]
}
}
dt.summary$in_short[i] = in_short
dt.summary$in_long[i] = in_long
dt.summary$hedgeRatio[i] = hedgeRatio$beta
dt.summary$beta[i] = hedgeRatio$beta
dt.summary$alpha[i] = hedgeRatio$alpha
}
dt.summary$real.capital <- dt.summary$y.bid * dt.summary$y.shares + dt.summary$x.bid * dt.summary$x.shares + dt.summary$capital
return(dt.summary)
}
ivanliu1989/RQuantTrader documentation built on Sept. 13, 2019, 11:54 a.m.
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Defines functions BackTestingRealTime BackTestingRealTimeBenchmark
#' Real Time Backtesting Function for Modeling
#'
#' Real time backtesting function for modeling with removed survivor biased and bias of using future elements
#'
#' @param context trading context
#' @param datasets a dataset to be used for modeling
#' @param nEval length of periods used for training
#' @param strategyFunc customised function to calculate indicator from \code{datasets}
#' @param strategyParam parameters used in \code{strategyFunc}
#' @param longTrigger a number of thresholds for going long
#' @param shortTrigger a number of thresholds for going short
#' @param exitTrigger a trigger to exit current positions
#'
#' @return A \code{data.frame} with trading activities
#'
#' @seealso \link{getUserTemplate}
#'
#' @export
BackTestingRealTime <- function(context, datasets, nEval = 500, longTrigger = -1, shortTrigger = 1, exitTrigger = 0, strategyFunc = NULL, strategyParam = 5){
lookback <- context$lookback
brokerage <- context$brokerage
capital <- context$capital
stoploss <- context$stoploss
in_short = FALSE
in_long = FALSE
stdat = nrow(datasets) - lookback + 1
enddat = nrow(datasets)
y = datasets$y.close
y.bid = datasets$y.bid
y.ask = datasets$y.ask
x = datasets$x.close
x.bid = datasets$x.bid
x.ask = datasets$x.ask
prices <- merge(y, y.bid, y.ask, x, x.bid, x.ask)
dt.summary <- createSummarySheet(prices, context$capital)
i = 0
for(d in stdat:enddat){
i = i + 1
cat(paste0("\nDate: ", index(datasets[d,])))
# create strategy indicator
dt = datasets[max(1, d-nEval):d, ]
half.life <- HalfLifeMeanReversion(dt$price.ratio)$half.life.round; #cat(paste0("Half-Life: ", half.life))
# skip unnecessary modeling
zc <- zscores(dt$price.ratio)
indicator <- tail(zc,1)
# exit = ((in_short & indicator < exitTrigger) | (in_long & indicator > exitTrigger))
golong = (!in_long & indicator < longTrigger)
goshort = (!in_short & indicator > shortTrigger)
if(any(golong, goshort)){
indicator <- strategyBuilder(dt, half.life, strategyParam)
}
# calculate hedge ratio
hedgeRatio <- HedgeRatioOLS(dt[max((nrow(dt)-half.life),1):nrow(dt),2],
dt[max((nrow(dt)-half.life),1):nrow(dt),3])
if(d == enddat){
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], 0, brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], 0, brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
in_short = FALSE
in_long = FALSE
dt.summary$long.pos[i] = 0
dt.summary$short.pos[i] = 0
dt.summary$trade[i] = "Exit"
}else if((in_short & indicator < exitTrigger) | (in_long & indicator > exitTrigger)){
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], 0, brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], 0, brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
in_short = FALSE
in_long = FALSE
dt.summary$long.pos[i] = 0
dt.summary$short.pos[i] = 0
dt.summary$trade[i] = "Exit"
}else if(!in_long & indicator < longTrigger){
# Only trade if NOT already in a trade
y_target_shares = 1
x_target_shares = -hedgeRatio$beta
in_long = TRUE
in_short = FALSE
target_pct <- as.vector(computeHoldingsPct(y_target_shares,x_target_shares,y[i], x[i]))
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.ask[i], dt.summary$y.shares[i], target_pct[1], brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], target_pct[2], brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
dt.summary$long.pos[i] = 1
dt.summary$short.pos[i] = -1
dt.summary$trade[i] = "Go Long"
}else if(!in_short & indicator > shortTrigger){
# Only trade if NOT already in a trade
y_target_shares = -1
x_target_shares = hedgeRatio$beta
in_long = FALSE
in_short = TRUE
target_pct <- as.vector(computeHoldingsPct(y_target_shares,x_target_shares,y[i], x[i]))
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], target_pct[1], brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.ask[i], dt.summary$x.shares[i], target_pct[2], brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
dt.summary$long.pos[i] = -1
dt.summary$short.pos[i] = 1
dt.summary$trade[i] = "Go Short"
}else{
if(i > 1){
dt.summary$capital[i] = dt.summary$capital[i-1]
dt.summary$y.holdings[i] = dt.summary$y.holdings[i-1]
dt.summary$x.holdings[i] = dt.summary$x.holdings[i-1]
dt.summary$y.shares[i] = dt.summary$y.shares[i-1]
dt.summary$x.shares[i] = dt.summary$x.shares[i-1]
dt.summary$long.pos[i] = dt.summary$long.pos[i-1]
dt.summary$short.pos[i] = dt.summary$short.pos[i-1]
# cat("\nWhat!!!!!!!!!!!!!!!!!!!!!!!")
dt.summary$capital[i+1] = dt.summary$capital[i]
dt.summary$y.holdings[i+1] = dt.summary$y.holdings[i]
dt.summary$x.holdings[i+1] = dt.summary$x.holdings[i]
dt.summary$y.shares[i+1] = dt.summary$y.shares[i]
dt.summary$x.shares[i+1] = dt.summary$x.shares[i]
dt.summary$long.pos[i+1] = dt.summary$long.pos[i]
dt.summary$short.pos[i+1] = dt.summary$short.pos[i]
}
}
dt.summary$in_short[i] = in_short
dt.summary$in_long[i] = in_long
dt.summary$hedgeRatio[i] = hedgeRatio$beta
dt.summary$beta[i] = hedgeRatio$beta
dt.summary$alpha[i] = hedgeRatio$alpha
}
dt.summary$real.capital <- dt.summary$y.bid * dt.summary$y.shares + dt.summary$x.bid * dt.summary$x.shares + dt.summary$capital
return(dt.summary)
}
#' Real Time Backtesting Function for Modeling - Benchmark
#'
#' Real time backtesting function for modeling with removed survivor biased and bias of using future elements
#'
#' @param context trading context
#' @param datasets a dataset to be used for modeling
#' @param nEval length of periods used for training
#' @param strategyFunc customised function to calculate indicator from \code{datasets}
#' @param strategyParam parameters used in \code{strategyFunc}
#' @param longTrigger a number of thresholds for going long
#' @param shortTrigger a number of thresholds for going short
#' @param exitTrigger a trigger to exit current positions
#'
#' @return A \code{data.frame} with trading activities
#'
#' @seealso \link{getUserTemplate}
#'
#' @export
BackTestingRealTimeBenchmark <- function(context, datasets, nEval = 500, longTrigger = -1, shortTrigger = 1, exitTrigger = 0, strategyFunc = NULL, strategyParam = 5){
lookback <- context$lookback
brokerage <- context$brokerage
capital <- context$capital
stoploss <- context$stoploss
in_short = FALSE
in_long = FALSE
stdat = nrow(datasets) - lookback + 1
enddat = nrow(datasets)
y = datasets$y.close
y.bid = datasets$y.bid
y.ask = datasets$y.ask
x = datasets$x.close
x.bid = datasets$x.bid
x.ask = datasets$x.ask
prices <- merge(y, y.bid, y.ask, x, x.bid, x.ask)
dt.summary <- createSummarySheet(prices, context$capital)
i = 0
for(d in stdat:enddat){
i = i + 1
cat(paste0("\nDate: ", index(datasets[d,])))
# create strategy indicator
dt = datasets[max(1, d-nEval):d, ]
half.life <- HalfLifeMeanReversion(dt$price.ratio)$half.life.round; #cat(paste0("Half-Life: ", half.life))
# skip unnecessary modeling
zc <- zscores(dt$price.ratio)
indicator <- tail(zc,1)
# calculate hedge ratio
hedgeRatio <- HedgeRatioOLS(dt[max((nrow(dt)-half.life),1):nrow(dt),2],
dt[max((nrow(dt)-half.life),1):nrow(dt),3])
if(d == enddat){
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], 0, brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], 0, brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
in_short = FALSE
in_long = FALSE
dt.summary$long.pos[i] = 0
dt.summary$short.pos[i] = 0
dt.summary$trade[i] = "Exit"
}else if((in_short & indicator < exitTrigger) | (in_long & indicator > exitTrigger)){
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], 0, brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], 0, brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
in_short = FALSE
in_long = FALSE
dt.summary$long.pos[i] = 0
dt.summary$short.pos[i] = 0
dt.summary$trade[i] = "Exit"
}else if(!in_long & indicator < longTrigger){
# Only trade if NOT already in a trade
y_target_shares = 1
x_target_shares = -hedgeRatio$beta
in_long = TRUE
in_short = FALSE
target_pct <- as.vector(computeHoldingsPct(y_target_shares,x_target_shares,y[i], x[i]))
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.ask[i], dt.summary$y.shares[i], target_pct[1], brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.bid[i], dt.summary$x.shares[i], target_pct[2], brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
dt.summary$long.pos[i] = 1
dt.summary$short.pos[i] = -1
dt.summary$trade[i] = "Go Long"
}else if(!in_short & indicator > shortTrigger){
# Only trade if NOT already in a trade
y_target_shares = -1
x_target_shares = hedgeRatio$beta
in_long = FALSE
in_short = TRUE
target_pct <- as.vector(computeHoldingsPct(y_target_shares,x_target_shares,y[i], x[i]))
# Update numbers
y_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$y.holdings[i], dt.summary$y.bid[i], dt.summary$y.shares[i], target_pct[1], brokerage)
dt.summary$capital[i] = y_order_update$capital
dt.summary$capital[i+1] = y_order_update$capital
dt.summary$y.holdings[i] = y_order_update$holdings
dt.summary$y.shares[i] = y_order_update$shares
dt.summary$y.holdings[i+1] = y_order_update$holdings
dt.summary$y.shares[i+1] = y_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + y_order_update$brokerage
x_order_update <- make_order_pct(capital, dt.summary$capital[i], dt.summary$x.holdings[i], dt.summary$x.ask[i], dt.summary$x.shares[i], target_pct[2], brokerage)
dt.summary$capital[i] = x_order_update$capital
dt.summary$capital[i+1] = x_order_update$capital
dt.summary$x.holdings[i] = x_order_update$holdings
dt.summary$x.shares[i] = x_order_update$shares
dt.summary$x.holdings[i+1] = x_order_update$holdings
dt.summary$x.shares[i+1] = x_order_update$shares
dt.summary$brokerage[i] = as.numeric(dt.summary$brokerage[i]) + as.numeric(x_order_update$brokerage)
dt.summary$long.pos[i] = -1
dt.summary$short.pos[i] = 1
dt.summary$trade[i] = "Go Short"
}else{
if(i > 1){
dt.summary$capital[i] = dt.summary$capital[i-1]
dt.summary$y.holdings[i] = dt.summary$y.holdings[i-1]
dt.summary$x.holdings[i] = dt.summary$x.holdings[i-1]
dt.summary$y.shares[i] = dt.summary$y.shares[i-1]
dt.summary$x.shares[i] = dt.summary$x.shares[i-1]
dt.summary$long.pos[i] = dt.summary$long.pos[i-1]
dt.summary$short.pos[i] = dt.summary$short.pos[i-1]
# cat("\nWhat!!!!!!!!!!!!!!!!!!!!!!!")
dt.summary$capital[i+1] = dt.summary$capital[i]
dt.summary$y.holdings[i+1] = dt.summary$y.holdings[i]
dt.summary$x.holdings[i+1] = dt.summary$x.holdings[i]
dt.summary$y.shares[i+1] = dt.summary$y.shares[i]
dt.summary$x.shares[i+1] = dt.summary$x.shares[i]
dt.summary$long.pos[i+1] = dt.summary$long.pos[i]
dt.summary$short.pos[i+1] = dt.summary$short.pos[i]
}
}
dt.summary$in_short[i] = in_short
dt.summary$in_long[i] = in_long
dt.summary$hedgeRatio[i] = hedgeRatio$beta
dt.summary$beta[i] = hedgeRatio$beta
dt.summary$alpha[i] = hedgeRatio$alpha
}
dt.summary$real.capital <- dt.summary$y.bid * dt.summary$y.shares + dt.summary$x.bid * dt.summary$x.shares + dt.summary$capital
return(dt.summary)
}
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