sandbox/paramtest201604/processingtime_q.R

In naturalsmen/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)                               

.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
)


summary(getStrategy(strategy.st))                                             


start.t <- Sys.time()
nFast <- 9
nSlow <- 24
nSignal <- 7
longStopLossDistance <- 0.01;longTrailingStopDistance <- 0.01;longTakeProfitDistance <- 0.01
shortStopLossDistance <- 0.01;shortTrailingStopDistance <- 0.01;shortTakeProfitDistance <- 0.01

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)
finish.t <- Sys.time()
print(finish.t-start.t)