# Simple MACD strategy
#
# MACD may be used in many ways, this will demonstrate a trend indicator.
#
# traditionally, when the MACD signal crosses zero, this indicated a establishment of a positive trend
#
# we'll buy on positive treshold crossover of the 'signal' column, and sell on negative threshold crossover
#
# Author: brian
###############################################################################
require(quantstrat)
suppressWarnings(rm("order_book.macd",pos=.strategy))
suppressWarnings(rm("account.macd","portfolio.macd",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACD","startDate","initEq",'start_t','end_t'))
#correct for TZ issues if they crop up
oldtz<-Sys.getenv('TZ')
if(oldtz=='') {
Sys.setenv(TZ="GMT")
}
stock.str='AAPL' # what are we trying it on
#MA parameters for MACD
fastMA = 12
slowMA = 26
signalMA = 9
maType="EMA"
currency('USD')
stock(stock.str,currency='USD',multiplier=1)
#or use fake data
#stock.str='sample_matrix' # what are we trying it on
#data(sample_matrix) # data included in package xts
#sample_matrix<-as.xts(sample_matrix)
startDate='2006-12-31'
initEq=1000000
portfolio.st='macd'
account.st='macd'
initPortf(portfolio.st,symbols=stock.str)
initAcct(account.st,portfolios=portfolio.st)
initOrders(portfolio=portfolio.st)
strat.st<-portfolio.st
# define the strategy
strategy(strat.st, store=TRUE)
#one indicator
add.indicator(strat.st, name = "MACD",
arguments = list(x=quote(Cl(mktdata)),
nFast=fastMA,
nSlow=slowMA),
label='_'
)
#two signals
add.signal(strat.st,name="sigThreshold",
arguments = list(column="signal._",
relationship="gt",
threshold=0,
cross=TRUE),
label="signal.gt.zero"
)
add.signal(strat.st,name="sigThreshold",
arguments = list(column="signal._",
relationship="lt",
threshold=0,
cross=TRUE),
label="signal.lt.zero"
)
####
# add rules
# entry
add.rule(strat.st,name='ruleSignal',
arguments = list(sigcol="signal.gt.zero",
sigval=TRUE,
orderqty=100,
ordertype='market',
orderside='long',
threshold=NULL),
type='enter',
label='enter',
storefun=FALSE
)
#alternatives for risk stops:
# simple stoplimit order, with threshold multiplier
#add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoplimit', orderside='long', threshold=-.05,tmult=TRUE, orderset='exit2'),type='chain', parent='enter', label='risk',storefun=FALSE)
# alternately, use a trailing order, also with a threshold multiplier
#add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoptrailing', orderside='long', threshold=-1,tmult=FALSE, orderset='exit2'), type='chain', parent='enter', label='trailingexit')
# exit
add.rule(strat.st,name='ruleSignal',
arguments = list(sigcol="signal.lt.zero",
sigval=TRUE,
orderqty='all',
ordertype='market',
orderside='long',
threshold=NULL,
orderset='exit2'),
type='exit',
label='exit'
)
#end rules
####
getSymbols(stock.str,from=startDate, to='2014-06-01')
start_t<-Sys.time()
out<-applyStrategy(strat.st , portfolios=portfolio.st,parameters=list(nFast=fastMA, nSlow=slowMA, nSig=signalMA,maType=maType),verbose=TRUE)
end_t<-Sys.time()
print(end_t-start_t)
start_t<-Sys.time()
updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("trade blotter portfolio update:")
print(end_t-start_t)
chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)
plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA,maType="EMA"))
#look at the order book
obook<-getOrderBook('macd')
# set tz as it was before the demo
Sys.setenv(TZ=oldtz)
###############################################################################
# R (http://r-project.org/) Quantitative Strategy Model Framework
#
# Copyright (c) 2009-2012
# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
##############################################################################
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