R/PranaStrategiesSELL.R
In pooya1991/BillioR: Billionaire Startup
Defines functions
PranaStrategies
PranaStrategies <- function(Stg,UID,Share,Timeframe = "m30",StartDate = "2014-01-01",EndDate = Sys.Date(),Vol = 1000,MaxPos = 10,Fee = T,Over = T,ReEnterType = 0,ReEnterAmm = 0){
library(jsonlite)
library(zoo)
library(xts)
library(TTR)
library(quantmod)
library(googlesheets)
library(dplyr)
library(BoomSpikeSlab)
library(Boom)
library(MASS)
library(bsts)
# Ichimoku Indicator Function
ichimoku <- function(HLC, nFast=9, nMed=26, nSlow=52) {
turningLine <- (runMax(Hi(HLC), nFast)+runMin(Lo(HLC), nFast))/2
baseLine <- (runMax(Hi(HLC), nMed)+runMin(Lo(HLC), nMed))/2
spanA <- lag((turningLine+baseLine)/2, nMed)
spanB <- lag((runMax(Hi(HLC), nSlow)+runMin(Lo(HLC), nSlow))/2, nMed)
plotSpan <- lag(Cl(HLC), -nMed) #for plotting the original Ichimoku only
laggingSpan <- lag(Cl(HLC), nMed)
lagSpanA <- lag(spanA, nMed)
lagSpanB <- lag(spanB, nMed)
out <- cbind(turnLine=turningLine, baseLine=baseLine, spanA=spanA, spanB=spanB, plotSpan=plotSpan, laggingSpan=laggingSpan, lagSpanA, lagSpanB)
colnames(out) <- c("turnLine", "baseLine", "spanA", "spanB", "plotLagSpan", "laggingSpan", "lagSpanA","lagSpanB")
return (out)
}
# Indicators function
Indis <- function(bb,FUN,n,m,p,q){
switch(FUN,
ADX = result <- ADX(bb[,c(2,3,4)],n),
Aroon = result <- aroon(bb[,c(2,3)],n),
aroon = result <- aroon(bb[,c(2,3)],n),
ATR = result <- ATR(bb[,c(2,3,4)],n),
BBands = result <- BBands(bb[,c(2,3,4)],n = n,sd = m,maType = "SMA"),
CCI = result <- CCI(bb[,c(2,3,4)],n = n,maType = "SMA",m),
chaikinAD = result <- chaikinAD(bb[,c(2,3,4)],bb[,5]),
chaikinVolatility = result <- chaikinVolatility(bb[,c(2,3)],n),
CLV = result <- CLV(bb[,c(2,3,4)]),
CMF = result <- CMF(bb[,c(2,3,4)],bb[,5],n),
CMO = result <- CMO(bb[,4],n),
DonchianChannel = result <- DonchianChannel(bb[,c(2,3)],n),
DPO = result <- DPO(bb[,4],n,shift = m,maType = "SMA"),
DVI = result <- DVI(bb[,4],n),
EMV = result <- EMV(bb[,c(2,3)],bb[,5],n,maType = "SMA"),
ichimoku = result <- ichimoku(HLC = bb[,c(2,3,4)],nFast = n,nMed = m,nSlow = p),
KST = result <- KST(bb[,4],n = c(n,n,n,floor((3 * n) / 2)),nROC = c(n, n + floor(n/2),2 * n, 2*n + floor(n/2)),nSig = m,maType = "SMA"),
lags = result <- lag(bb[,m],n),
MACD = result <- MACD(bb[,4],n,m,p,"SMA"),
MFI = result <- MFI(bb[,c(2,3,4)],bb[,5],n),
momentum = result <- momentum(bb[,4],n),
OBV = result <- OBV(bb[,4],bb[,5]),
Pbands = result <- PBands(bb[,4],n,sd = m,maType = "SMA"),
ROC = result <- ROC(bb[,4],n),
rollSFM = result <- rollSFM(bb[,4],n),
RSI = result <- RSI(bb[,4],n,"SMA"),
SAR = result <- SAR(bb[,c(2,3)],accel = c(n,m)),
stoch = result <- stoch(bb[,c(2,3,4)],nFastK = n,nFastD = m,nSlowD = p,maType = "SMA"),
SMI = result <- SMI(HLC,n = n,nFast = m,nSlow = p,nSig = q),
TDI = result <- TDI(bb[,4],n,m),
TRIX = result <- TRIX(bb[,4],n,m,"SMA"),
ultimateOscillator = result <- ultimateOscillator(bb[,c(2,3,4)],n = c(5, 10, 20), wts = c(4, 2, 1)),
VHF = result <- VHF(bb[,4],n),
volatility = result <- volatility(bb[,c(7,2,3,4)],n),
williamsAD = result <- williamsAD(bb[,c(2,3,4)]),
WPR = result <- WPR(bb[,c(2,3,4)],n),
ZigZag <- result <- ZigZag(bb[,c(2,3)],n),
SMA = result <- SMA(bb[,4],n),
EMA = result <- EMA(bb[,4],n),
DEMA = result <- DEMA(bb[,4],n,m),
WMA = result <- WMA(bb[,4],n),
EVWMA = result <- EVWMA(bb[,4],n),
ZLEMA = result <- ZLEMA(bb[,4],n),
VWAP = result <- VWAP(bb[,4],n),
VMA = result <- VMA(bb[,4],n),
HMA = result <- HMA(bb[,4],n),
ALMA = result <- ALMA(bb[,4],n,m,p)
)
result
}
ReEnt <- function(B,bb,type,amm){
n <- nrow(B)
tar <- index(B)
nn <- -c(1:n)
pp <- as.numeric(bb[tar,4])
BB <- data.frame(Price = pp,Trade = nn)
res <- xts(BB,order.by = tar)
tar[n+1] <- Sys.time()
ta <- tar[-1]
nB <- vector()
nBp <- vector()
nBt <- vector()
k <- 0
if(type == "dec_per"){
for (i in 1:n) {
baz <- paste(tar[i],ta[i],sep = "/")
temp <- bb[baz]
np <- as.numeric(temp[tar[i],4])
m <- tar[i]
while (!is.na(m)) {
np <- floor(GeometricSequence(2,np,((100 - amm)/100))[2])
baz <- paste(m,ta[i],sep = "/")
ntemp <- temp[baz]
m <- index(ntemp[which(ntemp[,3] < np & np < ntemp[,4]),])[1]
if(!is.na(m)){
k <- k + 1
nB[k] <- as.character(m)
nBp[k] <- np
nBt[k] <- i
}
}
}
}else if(type == "dec_pri"){
for (i in 1:n) {
baz <- paste(tar[i],ta[i],sep = "/")
temp <- bb[baz]
np <- as.numeric(temp[tar[i],4])
m <- tar[i]
while (!is.na(m)) {
np <- np - amm
baz <- paste(m,ta[i],sep = "/")
ntemp <- temp[baz]
m <- index(ntemp[which(ntemp[,3] < np & np < ntemp[,4]),])[1]
if(!is.na(m)){
k <- k + 1
nB[k] <- as.character(m)
nBp[k] <- np
nBt[k] <- i
}
}
}
}else if(type == "inc_per"){
for (i in 1:n) {
baz <- paste(tar[i],ta[i],sep = "/")
temp <- bb[baz]
np <- as.numeric(temp[tar[i],4])
m <- tar[i]
while (!is.na(m)) {
np <- floor(GeometricSequence(2,np,((100 + amm)/100))[2])
baz <- paste(m,ta[i],sep = "/")
ntemp <- temp[baz]
m <- index(ntemp[which(ntemp[,4] > np & np > ntemp[,3]),])[1]
if(!is.na(m)){
k <- k + 1
nB[k] <- as.character(m)
nBp[k] <- np
nBt[k] <- i
}
}
}
}else if(type == "inc_pri"){
for (i in 1:n) {
baz <- paste(tar[i],ta[i],sep = "/")
temp <- bb[baz]
np <- as.numeric(temp[tar[i],4])
m <- tar[i]
while (!is.na(m)) {
np <- np + amm
baz <- paste(m,ta[i],sep = "/")
ntemp <- temp[baz]
m <- index(ntemp[which(ntemp[,4] > np & np > ntemp[,3]),])[1]
if(!is.na(m)){
k <- k + 1
nB[k] <- as.character(m)
nBp[k] <- np
nBt[k] <- i
}
}
}
}
BB <- data.frame(Price = nBp,Trade = nBt)
result <- xts(BB,order.by = as.POSIXct(nB))
result <- rbind(res,result)
result
}
Report <- function(Result,dd,MaxPos){
n <- nrow(Result) / 2
Trade <- rep(c(1:n),each = 2)
SuccessRate <- nrow(Result[Result[,4] > 0 & !is.na(Result[,4]),]) / n
MeanProfit <- mean(Result[Result[,4] > 0 & !is.na(Result[,4]),4])
MeanLost <- mean(Result[Result[,4] <= 0 & !is.na(Result[,4]),4])
MaxDrwDwn <- min(Result[Result[,4] <= 0 & !is.na(Result[,4]),4])
TotalRet <- cumprod(1 + Result[!is.na(Result[,4]),4])[n] - 1
TurnOver <- sum(Result[,1]) * Vol
TotalVol <- n * Vol
OpenPos <- vector()
a1 <- c(1:n)
a2 <- 2*a1
reE <- Result[a2,]
reS <- Result[a1,]
for (i in 1:n) {
ii <- (2 * i) - 1
jj <- 2 * i
t <- Result[ii,3]
tt <- Result[jj,3]
a <- which((reE[,3] <= tt) & (reE[,3] >= t))
OpenPos[i] <- length(a)
}
MaxOpenPos <- max(OpenPos)
MaxOpenPos <- min(MaxOpenPos,MaxPos)
if(MaxOpenPos == 0){
MaxOpenPos <- 1
}
temtar <- vector()
doreneg <- vector()
for (i in 1:n) {
baz <- paste(as.Date(reS[i,3]),as.Date(reE[i,3]),sep = "/")
doreneg[2*i] <- length(index(dd[baz]))
temtar <- c(temtar,index(dd[baz]))
}
m <- length(unique(temtar))
l <- nrow(dd)
AcToDeAc <- m / (l - m)
radif <- c(1:nrow(Result))
Nat <- vector()
Nat[a2] <- (Result[a2,1]-Result[a1,1])*Vol
lis <- data.frame(radif,Result[,3],Result[,2],Result[,1],rep(Vol,nrow(Result)),(Result[,1]*Vol),Nat,doreneg,Trade,Result[,4])
colnames(lis) <- c("Radif","Tarikh","Noe Moamele","Gheymat","Hajme Moamele","Arzesh","Sood ya Zian","Dore Negahdari","Shomare Radife kharid","Bazdeh")
Natije <- list(MaxOpenPos,MaxDrwDwn,AcToDeAc,SuccessRate,MeanProfit,TotalRet,TurnOver,MeanLost,TotalVol,lis)
names(Natije) <- c("MaxOpenPos","MaxDrwDwn","AcToDeAc","SuccessRate","MeanProfit","TotalRet","TurnOver","MeanLost","TotalVol","Detail")
Natije
}
Share <- as.character(Share)
db <- fromJSON(Share)
bb <- db[[1]]
bb <- xts(bb[,1:5],order.by = as.POSIXct(bb[,6]))
dd <- db[[2]]
dd <- xts(dd[,1:5],order.by = as.Date(dd[,6]))
# get the Strategy
x <- as.character(Stg)
Stg <- fromJSON(x)
if(Stg$BUY$Status == "Set"){
EnRuls <- Stg$BUY$Enter$Rulls
EnRels <- Stg$BUY$Enter$Rels
ExRuls <- Stg$BUY$Exit$Rulls
ExRels <- Stg$BUY$Exit$Rels
StpLst <- Stg$BUY$Exit$StopLost
TkPrft <- Stg$BUY$Exit$TakeProfit
n <- length(EnRuls)
for (i in 1:n) {
m <- length(EnRuls[[i]]$Indicators)
qqq <-"Ind_1"
for (j in 1:m) {
Ind <- EnRuls[[i]]$Indicators[[j]][[1]]
l <- length(EnRuls[[i]]$Indicators[[j]]$Parameters)
qq <- ""
for (t in 1:l) {
qq <- paste(qq,EnRuls[[i]]$Indicators[[j]]$Parameters[[t]][,2],sep = ",")
}
k <- which(Indo[,21] == Ind)
b <- paste("Ind_",j," <- Indis(bb = bb,FUN = Indo[k,1]",qq, ")[,Indo[k,22]]", sep = "")
eval(parse(text = b))
}
m <- m - 1
if(EnRuls[[i]]$Math[[m]] == "cross<"){
for (s in 1:m) {
qqq <- paste(qqq,EnRuls[[i]]$Math[[s]],"Ind_",s+1,sep = "")
}
a1 <- gsub("cross<",">=",qqq)
b <- paste("c1 <- ",a1,sep = "")
eval(parse(text = b))
a2 <- gsub("cross<","<",qqq)
b <- paste("c2 <- ",a2,sep = "")
eval(parse(text = b))
c2 <- lag(c2,1)
b <- paste("rull_",i," <- (c1 & c2)",sep = "")
eval(parse(text = b))
}else if(EnRuls[[i]]$Math[[m]] == "cross>"){
for (s in 1:m) {
qqq <- paste(qqq,EnRuls[[i]]$Math[[s]],"Ind_",s+1,sep = "")
}
a1 <- gsub("cross>","<=",qqq)
b <- paste("c1 <- ",a1,sep = "")
eval(parse(text = b))
a2 <- gsub("cross>",">",qqq)
b <- paste("c2 <- ",a2,sep = "")
eval(parse(text = b))
c2 <- lag(c2,1)
b <- paste("rull_",i," <- (c1 & c2)",sep = "")
eval(parse(text = b))
}else{
for (s in 1:m) {
qqq <- paste(qqq,EnRuls[[i]]$Math[[s]],"Ind_",s+1,sep = "")
}
b <- paste("rull_",i," <- (",qqq,")",sep = "")
eval(parse(text = b))
}
}
q <- "rull_1"
if(length(EnRuls) > 1){
n <- n - 1
for (s in 1:n) {
q <- paste(q,EnRels[[s]],"rull_",s+1,sep = "")
}
q <- gsub("OR", " || ", q)
q <- gsub("AND", " & ", q)
}
b <- paste("BUY_Enter <- (",q,")",sep = "")
eval(parse(text = b))
BB <- BUY_Enter[which(BUY_Enter),]
if(BB[nrow(BB),]){
if(ReEnterType != 0){
B <- ReEnt(B=BB[nrow(BB),],bb=bb,type = ReEnterType,amm = ReEnterAmm)
}
pri <- B[i,1]
if(is.null(StpLst)){
Stp <- as.numeric(pri * 1000)
}else {
if(StpLst[1,1] == "Percent"){
Stp <- as.numeric(floor(pri * ((100 - as.numeric(StpLst[1,2]))/100)))
}else if(StpLst[1,1] == "PriceTick"){
Stp <- as.numeric(pri - StpLst[1,2])
}
}
if(is.null(TkPrft)){
Prf <- as.numeric(pri * 1000)
}else {
if(TkPrft[1,1] == "Percent"){
Prf <- as.numeric(floor(pri * ((100 + as.numeric(TkPrft[1,2]))/100)))
}else if(TkPrft[1,1] == "PriceTick"){
Prf <- as.numeric(pri + TkPrft[1,2])
}
}
}
#Evaluate Exit Conditions
if(is.null(ExRuls)) {
n = 0
} else {
n <- nrow(ExRuls)
}
if(n > 0){
for (i in 1:n) {
m <- length(ExRuls[[1]][[i]]$Indicator)
qqq <-"Ind_1"
for (j in 1:m) {
Ind <- ExRuls[[1]][[i]]$Indicator[[j]]
l <- nrow(ExRuls[[1]][[i]]$Parameters[[j]])
qq <- ""
for (t in 1:l) {
qq <- paste(qq,ExRuls[[1]][[i]]$Parameters[[j]][t,2],sep = ",")
}
k <- which(Indo[,21] == Ind)
b <- paste("Ind_",j," <- Indis(bb = bb,FUN = Indo[k,1]",qq, ")[,Indo[k,22]]", sep = "")
eval(parse(text = b))
}
m <- m - 1
if(ExRuls[[2]][m] == "cross<"){
for (s in 1:m) {
qqq <- paste(qqq,ExRuls[[2]][[i]][s],"Ind_",s+1,sep = "")
}
a1 <- gsub("cross<",">=",qqq)
b <- paste("c1 <- ",a1,sep = "")
eval(parse(text = b))
a2 <- gsub("cross<","<",qqq)
b <- paste("c2 <- ",a2,sep = "")
eval(parse(text = b))
c2 <- lag(c2,1)
b <- paste("rull_",i," <- (c1 & c2)",sep = "")
eval(parse(text = b))
}else if(ExRuls[[2]][[i]][m] == "cross>"){
for (s in 1:m) {
qqq <- paste(qqq,ExRuls[[2]][[i]][s],"Ind_",s+1,sep = "")
}
a1 <- gsub("cross>","<=",qqq)
b <- paste("c1 <- ",a1,sep = "")
eval(parse(text = b))
a2 <- gsub("cross>",">",qqq)
b <- paste("c2 <- ",a2,sep = "")
eval(parse(text = b))
c2 <- lag(c2,1)
b <- paste("rull_",i," <- (c1 & c2)",sep = "")
eval(parse(text = b))
}else{
for (s in 1:m) {
qqq <- paste(qqq,ExRuls[[2]][[i]][s],"Ind_",s+1,sep = "")
}
b <- paste("rull_",i," <- (",qqq,")",sep = "")
eval(parse(text = b))
}
}
q <- "rull_1"
if(nrow(ExRuls) > 1){
n <- n - 1
for (s in 1:n) {
q <- paste(q,EnRels[s],"rull_",s+1,sep = "")
}
q <- gsub("or", " | ", q)
q <- gsub("and", " & ", q)
}
b <- paste("BUY_ExitRu <- (",q,")",sep = "")
eval(parse(text = b))
C <- BUY_ExitRu[which(BUY_ExitRu),]
}
}
repo
}
pooya1991/BillioR documentation built on Aug. 20, 2019, 11:20 a.m.
R Package Documentation
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Defines functions PranaStrategies
PranaStrategies <- function(Stg,UID,Share,Timeframe = "m30",StartDate = "2014-01-01",EndDate = Sys.Date(),Vol = 1000,MaxPos = 10,Fee = T,Over = T,ReEnterType = 0,ReEnterAmm = 0){
library(jsonlite)
library(zoo)
library(xts)
library(TTR)
library(quantmod)
library(googlesheets)
library(dplyr)
library(BoomSpikeSlab)
library(Boom)
library(MASS)
library(bsts)
# Ichimoku Indicator Function
ichimoku <- function(HLC, nFast=9, nMed=26, nSlow=52) {
turningLine <- (runMax(Hi(HLC), nFast)+runMin(Lo(HLC), nFast))/2
baseLine <- (runMax(Hi(HLC), nMed)+runMin(Lo(HLC), nMed))/2
spanA <- lag((turningLine+baseLine)/2, nMed)
spanB <- lag((runMax(Hi(HLC), nSlow)+runMin(Lo(HLC), nSlow))/2, nMed)
plotSpan <- lag(Cl(HLC), -nMed) #for plotting the original Ichimoku only
laggingSpan <- lag(Cl(HLC), nMed)
lagSpanA <- lag(spanA, nMed)
lagSpanB <- lag(spanB, nMed)
out <- cbind(turnLine=turningLine, baseLine=baseLine, spanA=spanA, spanB=spanB, plotSpan=plotSpan, laggingSpan=laggingSpan, lagSpanA, lagSpanB)
colnames(out) <- c("turnLine", "baseLine", "spanA", "spanB", "plotLagSpan", "laggingSpan", "lagSpanA","lagSpanB")
return (out)
}
# Indicators function
Indis <- function(bb,FUN,n,m,p,q){
switch(FUN,
ADX = result <- ADX(bb[,c(2,3,4)],n),
Aroon = result <- aroon(bb[,c(2,3)],n),
aroon = result <- aroon(bb[,c(2,3)],n),
ATR = result <- ATR(bb[,c(2,3,4)],n),
BBands = result <- BBands(bb[,c(2,3,4)],n = n,sd = m,maType = "SMA"),
CCI = result <- CCI(bb[,c(2,3,4)],n = n,maType = "SMA",m),
chaikinAD = result <- chaikinAD(bb[,c(2,3,4)],bb[,5]),
chaikinVolatility = result <- chaikinVolatility(bb[,c(2,3)],n),
CLV = result <- CLV(bb[,c(2,3,4)]),
CMF = result <- CMF(bb[,c(2,3,4)],bb[,5],n),
CMO = result <- CMO(bb[,4],n),
DonchianChannel = result <- DonchianChannel(bb[,c(2,3)],n),
DPO = result <- DPO(bb[,4],n,shift = m,maType = "SMA"),
DVI = result <- DVI(bb[,4],n),
EMV = result <- EMV(bb[,c(2,3)],bb[,5],n,maType = "SMA"),
ichimoku = result <- ichimoku(HLC = bb[,c(2,3,4)],nFast = n,nMed = m,nSlow = p),
KST = result <- KST(bb[,4],n = c(n,n,n,floor((3 * n) / 2)),nROC = c(n, n + floor(n/2),2 * n, 2*n + floor(n/2)),nSig = m,maType = "SMA"),
lags = result <- lag(bb[,m],n),
MACD = result <- MACD(bb[,4],n,m,p,"SMA"),
MFI = result <- MFI(bb[,c(2,3,4)],bb[,5],n),
momentum = result <- momentum(bb[,4],n),
OBV = result <- OBV(bb[,4],bb[,5]),
Pbands = result <- PBands(bb[,4],n,sd = m,maType = "SMA"),
ROC = result <- ROC(bb[,4],n),
rollSFM = result <- rollSFM(bb[,4],n),
RSI = result <- RSI(bb[,4],n,"SMA"),
SAR = result <- SAR(bb[,c(2,3)],accel = c(n,m)),
stoch = result <- stoch(bb[,c(2,3,4)],nFastK = n,nFastD = m,nSlowD = p,maType = "SMA"),
SMI = result <- SMI(HLC,n = n,nFast = m,nSlow = p,nSig = q),
TDI = result <- TDI(bb[,4],n,m),
TRIX = result <- TRIX(bb[,4],n,m,"SMA"),
ultimateOscillator = result <- ultimateOscillator(bb[,c(2,3,4)],n = c(5, 10, 20), wts = c(4, 2, 1)),
VHF = result <- VHF(bb[,4],n),
volatility = result <- volatility(bb[,c(7,2,3,4)],n),
williamsAD = result <- williamsAD(bb[,c(2,3,4)]),
WPR = result <- WPR(bb[,c(2,3,4)],n),
ZigZag <- result <- ZigZag(bb[,c(2,3)],n),
SMA = result <- SMA(bb[,4],n),
EMA = result <- EMA(bb[,4],n),
DEMA = result <- DEMA(bb[,4],n,m),
WMA = result <- WMA(bb[,4],n),
EVWMA = result <- EVWMA(bb[,4],n),
ZLEMA = result <- ZLEMA(bb[,4],n),
VWAP = result <- VWAP(bb[,4],n),
VMA = result <- VMA(bb[,4],n),
HMA = result <- HMA(bb[,4],n),
ALMA = result <- ALMA(bb[,4],n,m,p)
)
result
}
ReEnt <- function(B,bb,type,amm){
n <- nrow(B)
tar <- index(B)
nn <- -c(1:n)
pp <- as.numeric(bb[tar,4])
BB <- data.frame(Price = pp,Trade = nn)
res <- xts(BB,order.by = tar)
tar[n+1] <- Sys.time()
ta <- tar[-1]
nB <- vector()
nBp <- vector()
nBt <- vector()
k <- 0
if(type == "dec_per"){
for (i in 1:n) {
baz <- paste(tar[i],ta[i],sep = "/")
temp <- bb[baz]
np <- as.numeric(temp[tar[i],4])
m <- tar[i]
while (!is.na(m)) {
np <- floor(GeometricSequence(2,np,((100 - amm)/100))[2])
baz <- paste(m,ta[i],sep = "/")
ntemp <- temp[baz]
m <- index(ntemp[which(ntemp[,3] < np & np < ntemp[,4]),])[1]
if(!is.na(m)){
k <- k + 1
nB[k] <- as.character(m)
nBp[k] <- np
nBt[k] <- i
}
}
}
}else if(type == "dec_pri"){
for (i in 1:n) {
baz <- paste(tar[i],ta[i],sep = "/")
temp <- bb[baz]
np <- as.numeric(temp[tar[i],4])
m <- tar[i]
while (!is.na(m)) {
np <- np - amm
baz <- paste(m,ta[i],sep = "/")
ntemp <- temp[baz]
m <- index(ntemp[which(ntemp[,3] < np & np < ntemp[,4]),])[1]
if(!is.na(m)){
k <- k + 1
nB[k] <- as.character(m)
nBp[k] <- np
nBt[k] <- i
}
}
}
}else if(type == "inc_per"){
for (i in 1:n) {
baz <- paste(tar[i],ta[i],sep = "/")
temp <- bb[baz]
np <- as.numeric(temp[tar[i],4])
m <- tar[i]
while (!is.na(m)) {
np <- floor(GeometricSequence(2,np,((100 + amm)/100))[2])
baz <- paste(m,ta[i],sep = "/")
ntemp <- temp[baz]
m <- index(ntemp[which(ntemp[,4] > np & np > ntemp[,3]),])[1]
if(!is.na(m)){
k <- k + 1
nB[k] <- as.character(m)
nBp[k] <- np
nBt[k] <- i
}
}
}
}else if(type == "inc_pri"){
for (i in 1:n) {
baz <- paste(tar[i],ta[i],sep = "/")
temp <- bb[baz]
np <- as.numeric(temp[tar[i],4])
m <- tar[i]
while (!is.na(m)) {
np <- np + amm
baz <- paste(m,ta[i],sep = "/")
ntemp <- temp[baz]
m <- index(ntemp[which(ntemp[,4] > np & np > ntemp[,3]),])[1]
if(!is.na(m)){
k <- k + 1
nB[k] <- as.character(m)
nBp[k] <- np
nBt[k] <- i
}
}
}
}
BB <- data.frame(Price = nBp,Trade = nBt)
result <- xts(BB,order.by = as.POSIXct(nB))
result <- rbind(res,result)
result
}
Report <- function(Result,dd,MaxPos){
n <- nrow(Result) / 2
Trade <- rep(c(1:n),each = 2)
SuccessRate <- nrow(Result[Result[,4] > 0 & !is.na(Result[,4]),]) / n
MeanProfit <- mean(Result[Result[,4] > 0 & !is.na(Result[,4]),4])
MeanLost <- mean(Result[Result[,4] <= 0 & !is.na(Result[,4]),4])
MaxDrwDwn <- min(Result[Result[,4] <= 0 & !is.na(Result[,4]),4])
TotalRet <- cumprod(1 + Result[!is.na(Result[,4]),4])[n] - 1
TurnOver <- sum(Result[,1]) * Vol
TotalVol <- n * Vol
OpenPos <- vector()
a1 <- c(1:n)
a2 <- 2*a1
reE <- Result[a2,]
reS <- Result[a1,]
for (i in 1:n) {
ii <- (2 * i) - 1
jj <- 2 * i
t <- Result[ii,3]
tt <- Result[jj,3]
a <- which((reE[,3] <= tt) & (reE[,3] >= t))
OpenPos[i] <- length(a)
}
MaxOpenPos <- max(OpenPos)
MaxOpenPos <- min(MaxOpenPos,MaxPos)
if(MaxOpenPos == 0){
MaxOpenPos <- 1
}
temtar <- vector()
doreneg <- vector()
for (i in 1:n) {
baz <- paste(as.Date(reS[i,3]),as.Date(reE[i,3]),sep = "/")
doreneg[2*i] <- length(index(dd[baz]))
temtar <- c(temtar,index(dd[baz]))
}
m <- length(unique(temtar))
l <- nrow(dd)
AcToDeAc <- m / (l - m)
radif <- c(1:nrow(Result))
Nat <- vector()
Nat[a2] <- (Result[a2,1]-Result[a1,1])*Vol
lis <- data.frame(radif,Result[,3],Result[,2],Result[,1],rep(Vol,nrow(Result)),(Result[,1]*Vol),Nat,doreneg,Trade,Result[,4])
colnames(lis) <- c("Radif","Tarikh","Noe Moamele","Gheymat","Hajme Moamele","Arzesh","Sood ya Zian","Dore Negahdari","Shomare Radife kharid","Bazdeh")
Natije <- list(MaxOpenPos,MaxDrwDwn,AcToDeAc,SuccessRate,MeanProfit,TotalRet,TurnOver,MeanLost,TotalVol,lis)
names(Natije) <- c("MaxOpenPos","MaxDrwDwn","AcToDeAc","SuccessRate","MeanProfit","TotalRet","TurnOver","MeanLost","TotalVol","Detail")
Natije
}
Share <- as.character(Share)
db <- fromJSON(Share)
bb <- db[[1]]
bb <- xts(bb[,1:5],order.by = as.POSIXct(bb[,6]))
dd <- db[[2]]
dd <- xts(dd[,1:5],order.by = as.Date(dd[,6]))
# get the Strategy
x <- as.character(Stg)
Stg <- fromJSON(x)
if(Stg$BUY$Status == "Set"){
EnRuls <- Stg$BUY$Enter$Rulls
EnRels <- Stg$BUY$Enter$Rels
ExRuls <- Stg$BUY$Exit$Rulls
ExRels <- Stg$BUY$Exit$Rels
StpLst <- Stg$BUY$Exit$StopLost
TkPrft <- Stg$BUY$Exit$TakeProfit
n <- length(EnRuls)
for (i in 1:n) {
m <- length(EnRuls[[i]]$Indicators)
qqq <-"Ind_1"
for (j in 1:m) {
Ind <- EnRuls[[i]]$Indicators[[j]][[1]]
l <- length(EnRuls[[i]]$Indicators[[j]]$Parameters)
qq <- ""
for (t in 1:l) {
qq <- paste(qq,EnRuls[[i]]$Indicators[[j]]$Parameters[[t]][,2],sep = ",")
}
k <- which(Indo[,21] == Ind)
b <- paste("Ind_",j," <- Indis(bb = bb,FUN = Indo[k,1]",qq, ")[,Indo[k,22]]", sep = "")
eval(parse(text = b))
}
m <- m - 1
if(EnRuls[[i]]$Math[[m]] == "cross<"){
for (s in 1:m) {
qqq <- paste(qqq,EnRuls[[i]]$Math[[s]],"Ind_",s+1,sep = "")
}
a1 <- gsub("cross<",">=",qqq)
b <- paste("c1 <- ",a1,sep = "")
eval(parse(text = b))
a2 <- gsub("cross<","<",qqq)
b <- paste("c2 <- ",a2,sep = "")
eval(parse(text = b))
c2 <- lag(c2,1)
b <- paste("rull_",i," <- (c1 & c2)",sep = "")
eval(parse(text = b))
}else if(EnRuls[[i]]$Math[[m]] == "cross>"){
for (s in 1:m) {
qqq <- paste(qqq,EnRuls[[i]]$Math[[s]],"Ind_",s+1,sep = "")
}
a1 <- gsub("cross>","<=",qqq)
b <- paste("c1 <- ",a1,sep = "")
eval(parse(text = b))
a2 <- gsub("cross>",">",qqq)
b <- paste("c2 <- ",a2,sep = "")
eval(parse(text = b))
c2 <- lag(c2,1)
b <- paste("rull_",i," <- (c1 & c2)",sep = "")
eval(parse(text = b))
}else{
for (s in 1:m) {
qqq <- paste(qqq,EnRuls[[i]]$Math[[s]],"Ind_",s+1,sep = "")
}
b <- paste("rull_",i," <- (",qqq,")",sep = "")
eval(parse(text = b))
}
}
q <- "rull_1"
if(length(EnRuls) > 1){
n <- n - 1
for (s in 1:n) {
q <- paste(q,EnRels[[s]],"rull_",s+1,sep = "")
}
q <- gsub("OR", " || ", q)
q <- gsub("AND", " & ", q)
}
b <- paste("BUY_Enter <- (",q,")",sep = "")
eval(parse(text = b))
BB <- BUY_Enter[which(BUY_Enter),]
if(BB[nrow(BB),]){
if(ReEnterType != 0){
B <- ReEnt(B=BB[nrow(BB),],bb=bb,type = ReEnterType,amm = ReEnterAmm)
}
pri <- B[i,1]
if(is.null(StpLst)){
Stp <- as.numeric(pri * 1000)
}else {
if(StpLst[1,1] == "Percent"){
Stp <- as.numeric(floor(pri * ((100 - as.numeric(StpLst[1,2]))/100)))
}else if(StpLst[1,1] == "PriceTick"){
Stp <- as.numeric(pri - StpLst[1,2])
}
}
if(is.null(TkPrft)){
Prf <- as.numeric(pri * 1000)
}else {
if(TkPrft[1,1] == "Percent"){
Prf <- as.numeric(floor(pri * ((100 + as.numeric(TkPrft[1,2]))/100)))
}else if(TkPrft[1,1] == "PriceTick"){
Prf <- as.numeric(pri + TkPrft[1,2])
}
}
}
#Evaluate Exit Conditions
if(is.null(ExRuls)) {
n = 0
} else {
n <- nrow(ExRuls)
}
if(n > 0){
for (i in 1:n) {
m <- length(ExRuls[[1]][[i]]$Indicator)
qqq <-"Ind_1"
for (j in 1:m) {
Ind <- ExRuls[[1]][[i]]$Indicator[[j]]
l <- nrow(ExRuls[[1]][[i]]$Parameters[[j]])
qq <- ""
for (t in 1:l) {
qq <- paste(qq,ExRuls[[1]][[i]]$Parameters[[j]][t,2],sep = ",")
}
k <- which(Indo[,21] == Ind)
b <- paste("Ind_",j," <- Indis(bb = bb,FUN = Indo[k,1]",qq, ")[,Indo[k,22]]", sep = "")
eval(parse(text = b))
}
m <- m - 1
if(ExRuls[[2]][m] == "cross<"){
for (s in 1:m) {
qqq <- paste(qqq,ExRuls[[2]][[i]][s],"Ind_",s+1,sep = "")
}
a1 <- gsub("cross<",">=",qqq)
b <- paste("c1 <- ",a1,sep = "")
eval(parse(text = b))
a2 <- gsub("cross<","<",qqq)
b <- paste("c2 <- ",a2,sep = "")
eval(parse(text = b))
c2 <- lag(c2,1)
b <- paste("rull_",i," <- (c1 & c2)",sep = "")
eval(parse(text = b))
}else if(ExRuls[[2]][[i]][m] == "cross>"){
for (s in 1:m) {
qqq <- paste(qqq,ExRuls[[2]][[i]][s],"Ind_",s+1,sep = "")
}
a1 <- gsub("cross>","<=",qqq)
b <- paste("c1 <- ",a1,sep = "")
eval(parse(text = b))
a2 <- gsub("cross>",">",qqq)
b <- paste("c2 <- ",a2,sep = "")
eval(parse(text = b))
c2 <- lag(c2,1)
b <- paste("rull_",i," <- (c1 & c2)",sep = "")
eval(parse(text = b))
}else{
for (s in 1:m) {
qqq <- paste(qqq,ExRuls[[2]][[i]][s],"Ind_",s+1,sep = "")
}
b <- paste("rull_",i," <- (",qqq,")",sep = "")
eval(parse(text = b))
}
}
q <- "rull_1"
if(nrow(ExRuls) > 1){
n <- n - 1
for (s in 1:n) {
q <- paste(q,EnRels[s],"rull_",s+1,sep = "")
}
q <- gsub("or", " | ", q)
q <- gsub("and", " & ", q)
}
b <- paste("BUY_ExitRu <- (",q,")",sep = "")
eval(parse(text = b))
C <- BUY_ExitRu[which(BUY_ExitRu),]
}
}
repo
}
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