#Kindly contributed to quantstrat by Garrett See
#code borrowed heavily from existing quantstrat demos
# This is a simple pairs trading example intended to illustrate how you can
# extend existing quantstrat functionality. It uses addPosLimits to specify
# levels and position limits, and shows how to pass a custom order sizing
# function to osFUN
# Note that it would be easier to build a spread first and treat it as a single
# instrument instead of dealing with a portfolio of stocks.
## given 2 stocks, calculate the ratio of their notional values. If the ratio
# falls below it's 2 stdev band, then when it crosses back above it, buy stock 1
# and sell stock 2. If the ratio rises above it's 2 stdev band, then when it
# crosses back below it, sell stock 1 and buy stock 2. If the ratio crosses
# its moving average, then flatten any open positions.
# The Qty of Stock A that it buys (sells) = MaxPos / lvls
# The Qty of Stock B that is sells (buys) = MaxPos * Ratio / lvls
require(quantstrat)
suppressWarnings(rm("order_book.pair1",pos=.strategy))
suppressWarnings(rm("account.pairs", "portfolio.pair1", pos=.blotter))
suppressWarnings(rm("startDate", "endDate", "startDate", "initEq", "SD", "N",
"symb1", "symb2", "portfolio1.st", "account.st",
"pairStrat", "out1"))
startDate <- '2009-01-01'
endDate <- '2011-05-01'
startDate <- '2009-01-02'
initEq <- 100000
SD <- 2
N <- 20
MaxPos <- 1500 #max position in stockA;
# max position in stock B will be max * ratio, i.e. no hard position limit in
# Stock B
lvls <- 3 #how many times to fade; Each order's qty will = MaxPos/lvls
symb1 <- 'SPY' #change these to try other pairs
symb2 <- 'DIA' #if you change them, make sure position limits still make sense
portfolio1.st <- 'pair1'
account.st <- 'pairs'
getSymbols(c(symb1, symb2), from=startDate, to=endDate, adjust=TRUE)
# The following function is used to make sure the timestamps of all symbols are
# the same deletes rows where one of the stocks is missing data
alignSymbols <- function(symbols, env=.GlobalEnv) {
# This is a simplified version of qmao::alignSymbols()
if (length(symbols) < 2)
stop("Must provide at least 2 symbols")
if (any(!is.character(symbols)))
stop("Symbols must be vector of character strings.")
ff <- get(symbols[1],env=env)
for (sym in symbols[-1]) {
tmp.sym <- get(sym,env=env)
ff <- merge(ff, tmp.sym, all=FALSE)
}
for (sym in symbols) {
assign(sym,ff[,grep(sym, colnames(ff))], env=env)
}
symbols
}
alignSymbols(c(symb1, symb2))
# Define Instruments
currency("USD")
stock(symb1, currency="USD", multiplier=1)
stock(symb2, currency="USD", multiplier=1)
# Initialize Portfolio, Account, and Orders
initPortf(name=portfolio1.st, c(symb1,symb2))
initAcct(account.st, portfolios=portfolio1.st, initEq=initEq)
initOrders(portfolio=portfolio1.st)
# osFUN will need to know which symbol is leg 1 and which is leg 2 as well as
# what the values are for MaxPos and lvls. So, create a slot in portfolio to
# hold this info.
pair <- c(1, 2, MaxPos, lvls)
names(pair) <- c(symb1, symb2, "MaxPos", "lvls")
.blotter[[paste('portfolio', portfolio1.st, sep='.')]]$pair <- pair
# Create initial position limits and levels by symbol
# allow 3 entries for long and short if lvls=3.
addPosLimit(portfolio=portfolio1.st, timestamp=startDate, symbol=symb1,
maxpos=MaxPos, longlevels=lvls, minpos=-MaxPos, shortlevels=lvls)
addPosLimit(portfolio=portfolio1.st, timestamp=startDate, symbol=symb2,
maxpos=MaxPos, longlevels=lvls, minpos=-MaxPos, shortlevels=lvls)
# Create a strategy object
pairStrat <- strategy('pairStrat')
# Indicator function
calcRatio <- function(x) {
#returns the ratio of notional close prices for 2 symbols
x1 <- get(x[1])
x2 <- get(x[2])
mult1 <- getInstrument(x[1])$multiplier
mult2 <- getInstrument(x[2])$multiplier
rat <- (mult1 * Cl(x1)) / (mult2 * Cl(x2))
colnames(rat) <- 'Ratio'
rat
}
# Indicator used for determining entry/exits
Ratio <- calcRatio(c(symb1[1], symb2[1]))
# Store hedge ratio in portfolio so that it's available for order sizing
# function. In this example, the hedge ratio happens to be the same as the
# Ratio indicator.
.blotter[[paste('portfolio',portfolio1.st,sep='.')]]$HedgeRatio <- Ratio
#and make a function to get the most recent HedgeRatio
getHedgeRatio <- function(portfolio, timestamp) {
portf <- getPortfolio(portfolio)
timestamp <- format(timestamp,"%Y-%m-%d %H:%M:%S")
# above line ensures you don't get last value of next day if using intraday
# data and timestamp=midnight
toDate <- paste("::", timestamp, sep="")
Ratio <- last(portf$HedgeRatio[toDate])
as.numeric(Ratio)
}
# Create an indicator - BBands on the Ratio
pairStrat <- add.indicator(strategy=pairStrat, name = "calcRatio",
arguments=list(x=c(symb1,symb2)))
pairStrat <- add.indicator(strategy=pairStrat, name = "BBands",
arguments=list(HLC=quote(Ratio), sd=SD, n=N,
maType='SMA'))
#applyIndicators(strategy=pairStrat,mktdata=get(symb1[1])) #for debugging
# Create signals - buy when crossing lower band from below, sell when crossing
# upper band from above, flatten when crossing mavg from above or from below
pairStrat <- add.signal(strategy=pairStrat, name="sigCrossover",
arguments=list(columns=c("Ratio","up"),
relationship="lt"),
label="cross.up")
pairStrat <- add.signal(strategy=pairStrat, name="sigCrossover",
arguments=list(columns=c("Ratio","dn"),
relationship="gt"),
label="cross.dn")
pairStrat <- add.signal(strategy=pairStrat, name="sigCrossover",
arguments=list(columns=c("Ratio","mavg"),
relationship="lt"),
label="cross.mid.fa")
pairStrat <- add.signal(strategy=pairStrat, name="sigCrossover",
arguments=list(columns=c("Ratio","mavg"),
relationship="gt"),
label="cross.mid.fb")
# make an order sizing function
#######################_ORDER SIZING FUNCTION_##################################
# check to see which stock it is. If it's the second stock, reverse orderqty and
# orderside
osSpreadMaxPos <- function (data, timestamp, orderqty, ordertype, orderside,
portfolio, symbol, ruletype, ..., orderprice) {
portf <- getPortfolio(portfolio)
#check to make sure pair slot has the things needed for this function
if (!any(portf$pair == 1) && !(any(portf$pair == 2)))
stop('pair must contain both values 1 and 2')
if (!any(names(portf$pair) == "MaxPos") || !any(names(portf$pair) == "lvls"))
stop('pair must contain MaxPos and lvls')
if (portf$pair[symbol] == 1) legside <- "long"
if (portf$pair[symbol] == 2) legside <- "short"
MaxPos <- portf$pair["MaxPos"]
lvls <- portf$pair["lvls"]
ratio <- getHedgeRatio(portfolio, timestamp)
pos <- getPosQty(portfolio, symbol, timestamp)
PosLimit <- getPosLimit(portfolio, symbol, timestamp)
qty <- orderqty
if (legside == "short") {#symbol is 2nd leg
## Comment out next line to use equal ordersizes for each stock.
addPosLimit(portfolio=portfolio, timestamp=timestamp, symbol=symbol,
maxpos=round(MaxPos*ratio,0), longlevels=lvls,
minpos=round(-MaxPos*ratio,0), shortlevels=lvls)
##
qty <- -orderqty #switch orderqty for Stock B
}
if (qty > 0) orderside = 'long'
if (qty < 0) orderside = 'short'
orderqty <- osMaxPos(data=data,timestamp=timestamp, orderqty=qty,
ordertype=ordertype, orderside=orderside,
portfolio=portfolio, symbol=symbol, ruletype=ruletype,
...)
#Add the order here instead of in the ruleSignal function
if (!is.null(orderqty) & !orderqty == 0 & !is.null(orderprice)) {
addOrder(portfolio=portfolio, symbol=symbol,
timestamp=timestamp, qty=orderqty, price=as.numeric(orderprice),
ordertype=ordertype, side=orderside, replace=FALSE,
status="open", ...=...)
}
return(0) #so that ruleSignal function doesn't also try to place an order
}
################################################################################
# Create entry and exit rules for longs and for shorts. Both symbols will get
# the same buy/sell signals, but osMaxPos will reverse those for the second
# symbol.
# orderqty's are bigger than PosLimits allow. osMaxPos will adjust the orderqty
# down to 1/3 the max allowed. (1/3 is because we are using 3 levels in
# PosLimit)
pairStrat <- add.rule(strategy=pairStrat, name='ruleSignal',
arguments=list(sigcol="cross.dn", sigval=TRUE,
orderqty=1e6, ordertype='market',
orderside=NULL, osFUN='osSpreadMaxPos'),
type='enter')
pairStrat <- add.rule(strategy=pairStrat, name='ruleSignal',
arguments=list(sigcol="cross.up", sigval=TRUE,
orderqty=-1e6, ordertype='market',
orderside=NULL, osFUN='osSpreadMaxPos'),
type='enter')
pairStrat <- add.rule(strategy=pairStrat, name='ruleSignal',
arguments=list(sigcol="cross.mid.fb", sigval=TRUE,
orderqty='all', ordertype='market',
orderside=NULL),
type='exit')
pairStrat <- add.rule(strategy=pairStrat, name='ruleSignal',
arguments=list(sigcol="cross.mid.fa", sigval=TRUE,
orderqty='all', ordertype='market',
orderside=NULL),
type='exit')
## for debugging
# applySignals(strategy=pairStrat,
# mktdata=applyIndicators(strategy=pairStrat, mktdata=get(symb1)))
##
out1<-applyStrategy(strategy=pairStrat, portfolios=portfolio1.st)
updatePortf(Portfolio=portfolio1.st,
Dates=paste("::", as.Date(Sys.time()), sep=''))
updateAcct(account.st, Dates=paste(startDate, endDate, sep="::"))
updateEndEq(account.st, Dates=paste(startDate, endDate, sep="::"))
getEndEq(account.st, Sys.time())
dev.new()
chart.Posn(Portfolio=portfolio1.st, Symbol=symb1)
dev.new()
chart.Posn(Portfolio=portfolio1.st, Symbol=symb2)
dev.new()
chartSeries(Cl(get(symb1))/Cl(get(symb2)), TA="addBBands(n=N,sd=SD)")
ret1 <- PortfReturns(account.st)
ret1$total <- rowSums(ret1)
#ret1
if("package:PerformanceAnalytics" %in% search() ||
require("PerformanceAnalytics",quietly=TRUE)) {
# getSymbols("SPY", from='1999-01-01')
# SPY.ret <- Return.calculate(SPY$SPY.Close)
# tmp <- merge(SPY.ret,ret1$total,all=FALSE)
dev.new()
charts.PerformanceSummary(ret1$total, geometric=FALSE, wealth.index=TRUE)
}
###############################################################################
# R (http://r-project.org/) Quantitative Strategy Model Framework
#
# Package 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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