Hi and thanks.
I had noticed these but I am having difficulty in understand the
'mechanics'.
I notice the column names in mktdata are:
AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
macd signal signal.gt.zero signal.lt.zero
when I have stoplimit live. I can see where everything but 'signal'
comes from. Can anyone advise what puts it there ? I was guessing
add.signal calls did this.
macd.R attached
Stephen Choularton Ph.D., FIoD
On 23/02/2011 1:44 AM, Brian G. Peterson wrote:
On 02/22/2011 02:16 AM, Stephen Choularton wrote:
Hi
Can anyone point me to examples of using stop loss and stop trailing
with maCross?
There are examples of both 'stoplimit' and 'stoptrailing' orders in
the 'macd' demo.
require(quantstrat)
try(rm("order_book.macd",pos=.strategy),silent=TRUE)
try(rm("account.macd","portfolio.macd",pos=.blotter),silent=TRUE)
try(rm("account.st","portfolio.st","stock.str","stratMACD","initDate","initEq",'start_t','end_t'),silent=TRUE)
stock.str='AAPL' # what are we trying it on
#MA parameters for MACD
fastMA = 12
slowMA = 26
signalMA = 9
maType="EMA"
currency('USD')
stock(stock.str,currency='USD',multiplier=1)
#or use fake data
#stock.str='sample_matrix' # what are we trying it on
#data(sample_matrix) # data included in package xts
#sample_matrix<-as.xts(sample_matrix)
initDate='2009-12-31'
initEq=1000000
portfolio.st='macd'
account.st='macd'
initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
initAcct(account.st,portfolios=portfolio.st, initDate=initDate)
initOrders(portfolio=portfolio.st,initDate=initDate)
stratMACD <- strategy(portfolio.st)
stratMACD <- add.indicator(strategy = stratMACD, name = "MACD", arguments =
list(x=quote(Cl(mktdata))) )
stratMACD <- add.signal(strategy = stratMACD,name="sigThreshold",arguments =
list(column="signal",relationship="gt",threshold=0,cross=TRUE),label="signal.gt.zero")
stratMACD <- add.signal(strategy = stratMACD,name="sigThreshold",arguments =
list(column="signal",relationship="lt",threshold=0,cross=TRUE),label="signal.lt.zero")
stratMACD <- add.rule(strategy = stratMACD,name='ruleSignal', arguments =
list(sigcol="signal.gt.zero",sigval=TRUE, orderqty=100, ordertype='market',
orderside='long', threshold=NULL),type='enter')
stratMACD <- add.rule(strategy = stratMACD,name='ruleSignal', arguments =
list(sigcol="signal.gt.zero",sigval=TRUE, orderqty=-100, ordertype='stoplimit',
orderside='long', threshold=1,tmult=TRUE),type='risk')
# alternately, use a trailing order
# stratMACD <- add.rule(strategy = stratMACD,name='ruleSignal', arguments =
list(sigcol="signal.gt.zero",sigval=TRUE, orderqty=-100,
ordertype='stoptrailing', orderside='long',
threshold=.9,tmult=TRUE),type='risk')
stratMACD <- add.rule(strategy = stratMACD,name='ruleSignal', arguments =
list(sigcol="signal.lt.zero",sigval=TRUE, orderqty='all', ordertype='market',
orderside='long', threshold=NULL),type='exit')
getSymbols(stock.str,from=initDate)
start_t<-Sys.time()
out<-try(applyStrategy(strategy=stratMACD ,
portfolios=portfolio.st,parameters=list(nFast=fastMA, nSlow=slowMA,
nSig=signalMA,maType=maType)))
end_t<-Sys.time()
print(end_t-start_t)
start_t<-Sys.time()
updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("trade blotter portfolio update:")
print(end_t-start_t)
chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)
plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA,maType="EMA"))
#look at the order book
getOrderBook('macd')
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