demo/luxor.1.strategy.basic.R

In quantstrat: Quantitative Strategy Model Framework

#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
# Tested and found to work correctly using blotter r1457
#
# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# Paragraph 3.2: luxor with slippage and transaction costs

require(quantstrat)

source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
.fast = 10
.slow = 30

source(paste0(path.package("quantstrat"),"/demo/luxor.getSymbols.R"))

### blotter

initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
initAcct(account.st, portfolios=portfolio.st, currency='USD')

### quantstrat

initOrders(portfolio.st)

### define strategy

strategy(strategy.st, store=TRUE)

### indicators

add.indicator(strategy.st, name = "SMA",
	arguments = list(
		x = quote(Cl(mktdata)[,1]),
		n = .fast
	),
	label="nFast"
)

add.indicator(strategy.st, name="SMA",
	arguments = list(
		x = quote(Cl(mktdata)[,1]),
		n = .slow
	),
	label="nSlow"
)

### signals

add.signal(strategy.st, name='sigCrossover',
	arguments = list(
		columns=c("nFast","nSlow"),
		relationship="gte"
	),
	label='long'
)

add.signal(strategy.st, name='sigCrossover',
	arguments = list(
		columns=c("nFast","nSlow"),
		relationship="lt"
	),
	label='short'
)

### rules

add.rule(strategy.st, name='ruleSignal',
	arguments=list(sigcol='long' , sigval=TRUE,
		orderside='short',
		ordertype='market',
		orderqty='all',
		TxnFees=.txnfees,
		replace=TRUE
	),
	type='exit',
	label='Exit2LONG'
)

add.rule(strategy.st, name='ruleSignal',
	arguments=list(sigcol='short', sigval=TRUE,
		orderside='long' ,
		ordertype='market',
		orderqty='all',
		TxnFees=.txnfees,
		replace=TRUE
	),
	type='exit',
	label='Exit2SHORT'
)

add.rule(strategy.st, name='ruleSignal',
	arguments=list(sigcol='long' , sigval=TRUE,
		orderside='long' ,
		ordertype='stoplimit', prefer='High', threshold=.threshold,
		orderqty=+.orderqty,
		replace=FALSE
	),
	type='enter',
	label='EnterLONG'
)

add.rule(strategy.st, name='ruleSignal',
	arguments=list(sigcol='short', sigval=TRUE,
		orderside='short',
		ordertype='stoplimit', prefer='Low', threshold=-.threshold,
		orderqty=-.orderqty,
		replace=FALSE
	),
	type='enter',
	label='EnterSHORT'
)

###############################################################################

applyStrategy(strategy.st, portfolio.st)

print(getOrderBook(portfolio.st)[[portfolio.st]]$GBPUSD)

###############################################################################

updatePortf(portfolio.st, Symbols='GBPUSD', Dates=paste('::',as.Date(Sys.time()),sep=''))

chart.Posn(portfolio.st, "GBPUSD")

###############################################################################

print(t(tradeStats(portfolio.st, 'GBPUSD')))

###############################################################################

# save the strategy in an .RData object for later retrieval

save.strategy(strategy.st)