demo/SIROC_short_fail.R

In pdrano/IKTrading: Custom indicators, signals, and rules

require(IKTrading)
require(quantstrat)
require(PerformanceAnalytics)

initDate="1990-01-01"
from="2003-01-01"
to=as.character(Sys.Date())
options(width=70)
verose=TRUE

source("demoData.R")

#trade sizing and initial equity settings
tradeSize <- -100000
initEq <- -tradeSize*length(symbols)

strategy.st <- portfolio.st <- account.st <- "SIROC_I_short"
rm.strat(portfolio.st)
rm.strat(strategy.st)
initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)

#parameters

n1=10
n2=5
n3=4
entryThresh=70
exitThresh=30

nSMA1=1
nSMA2=200

period=10
pctATR=.02

#indicators
add.indicator(strategy.st, name="SIROC",
              arguments=list(x=quote(Cl(mktdata)), n1=n1, 
                             n2=n2, n3=n3),
              label="siroc")

add.indicator(strategy.st, name="SMA",
              arguments=list(x=quote(Cl(mktdata)), n=nSMA1),
              label="sma1")

add.indicator(strategy.st, name="SMA",
              arguments=list(x=quote(Cl(mktdata)), n=nSMA2),
              label="sma2")


add.indicator(strategy.st, name="lagATR", 
              arguments=list(HLC=quote(HLC(mktdata)), n=period), 
              label="atrX")

#signals
add.signal(strategy.st, name="sigComparison",
           arguments=list(columns=c("SMA.sma1", "SMA.sma2"), relationship="lt"), 
           label="downTrend")

add.signal(strategy.st, name="sigThreshold",
           arguments=list(column="SIROC.siroc", threshold=entryThresh, 
                          relationship="gt", cross=FALSE),
           label="SIROCgtThresh")

add.signal(strategy.st, name="sigAND",
           arguments=list(columns=c("downTrend", "SIROCgtThresh"), cross=TRUE),
           label="shortEntry")

add.signal(strategy.st, name="sigThreshold",
           arguments=list(column="SIROC.siroc", threshold=exitThresh,
                          relationship="lt", cross=TRUE),
           label="shortExit")

add.signal(strategy.st, name="sigCrossover",
           arguments=list(columns=c("SMA.sma1", "SMA.sma2"), relationship="gt"),
           label="SMAexitShort")

add.rule(strategy.st, name="ruleSignal", 
         arguments=list(sigcol="shortEntry", sigval=TRUE, ordertype="market", 
                        orderside="short", replace=FALSE, prefer="Open", osFUN=osDollarATR,
                        tradeSize=tradeSize, pctATR=pctATR, atrMod="X"), 
         type="enter", path.dep=TRUE)

add.rule(strategy.st, name="ruleSignal", 
         arguments=list(sigcol="shortExit", sigval=TRUE, orderqty="all", ordertype="market", 
                        orderside="short", replace=FALSE, prefer="Open"), 
         type="exit", path.dep=TRUE)

add.rule(strategy.st, name="ruleSignal", 
         arguments=list(sigcol="SMAexitShort", sigval=TRUE, orderqty="all", ordertype="market", 
                        orderside="short", replace=FALSE, prefer="Open"), 
         type="exit", path.dep=TRUE)

#apply strategy
t1 <- Sys.time()
out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
t2 <- Sys.time()
print(t2-t1)


#set up analytics
updatePortf(portfolio.st)
dateRange <- time(getPortfolio(portfolio.st)$summary)[-1]
updateAcct(portfolio.st,dateRange)
updateEndEq(account.st)

#trade statistics
tStats <- tradeStats(Portfolios = portfolio.st, use="trades", inclZeroDays=FALSE)
tStats[,4:ncol(tStats)] <- round(tStats[,4:ncol(tStats)], 2)
print(data.frame(t(tStats[,-c(1,2)])))
(aggPF <- sum(tStats$Gross.Profits)/-sum(tStats$Gross.Losses))
(aggCorrect <- mean(tStats$Percent.Positive))
(numTrades <- sum(tStats$Num.Trades))
(meanAvgWLR <- mean(tStats$Avg.WinLoss.Ratio[tStats$Avg.WinLoss.Ratio < Inf], na.rm=TRUE))

#daily and duration statistics
dStats <- dailyStats(Portfolios = portfolio.st, use="Equity")
rownames(dStats) <- gsub(".DailyEndEq","", rownames(dStats))
print(data.frame(t(dStats)))
durStats <- durationStatistics(Portfolio=portfolio.st, Symbols=sort(symbols))
indivDurStats <- durationStatistics(Portfolio=portfolio.st, Symbols=sort(symbols), aggregate=FALSE)
print(t(durStats))
print(t(indivDurStats))

#market exposure
tmp <- list()
length(tmp) <- length(symbols)
for(i in 1:nrow(dStats)) {
  totalDays <- nrow(get(rownames(dStats)[i]))
  mktExposure <- dStats$Total.Days[i]/totalDays
  tmp[[i]] <- c(rownames(dStats)[i], round(mktExposure, 3))
}
mktExposure <- data.frame(do.call(rbind, tmp))
colnames(mktExposure) <- c("Symbol","MktExposure")
print(mktExposure)
print(mean(as.numeric(as.character(mktExposure$MktExposure))))

#portfolio cash PL
portString <- paste0("portfolio.", portfolio.st)
portPL <- .blotter[[portString]]$summary$Net.Trading.PL

#Cash Sharpe
(SharpeRatio.annualized(portPL, geometric=FALSE))

#Portfolio comparisons to SPY
instRets <- PortfReturns(account.st)

#Correlations
instCors <- cor(instRets)
diag(instRets) <- NA
corMeans <- rowMeans(instCors, na.rm=TRUE)
names(corMeans) <- gsub(".DailyEndEq", "", names(corMeans))
print(round(corMeans,3))
mean(corMeans)

portfRets <- xts(rowMeans(instRets)*ncol(instRets), order.by=index(instRets))
portfRets <- portfRets[!is.na(portfRets)]
cumPortfRets <- cumprod(1+portfRets)
firstNonZeroDay <- as.character(index(portfRets)[min(which(portfRets!=0))])
getSymbols("SPY", from=firstNonZeroDay, to=to)
SPYrets <- diff(log(Cl(SPY)))[-1]
cumSPYrets <- cumprod(1+SPYrets)
comparison <- cbind(cumPortfRets, cumSPYrets)
colnames(comparison)  <- c("strategy", "SPY")
chart.TimeSeries(comparison, legend.loc = "topleft",
                 colors=c("green","red"))
chart.RelativePerformance(portfRets,SPYrets)

SharpeRatio.annualized(portfRets)
Return.annualized(portfRets)
maxDrawdown(portfRets)

dailyRetComparison <- cbind(portfRets, SPYrets)
colnames(dailyRetComparison)  <- c("strategy", "SPY")
round(apply.yearly(dailyRetComparison, Return.cumulative),3)
round(apply.yearly(dailyRetComparison, SharpeRatio.annualized),3)
round(apply.yearly(dailyRetComparison, maxDrawdown),3)