Hi Brian
Thanks for that.
Still trying to make sure I have a handle on this. I am working on the
macd.R demo example but have started from 31/12/2010 to make the data
easier to eyeball.
Obviously I am trying to see the stop work and I notice that a 95%
threshold should do this in August when it produces a stop figure of
$255.30375 and it can be seen below the closing price falls below this
on 2010-08-11
2010-08-02 260.44 262.59 259.62 261.85 15287700
261.85 0.33850430
2010-08-03 261.01 263.26 259.42 261.93 14916200
261.93 0.42744640
2010-08-04 262.84 264.28 260.31 262.98 15013400
262.98 0.52431485
2010-08-05 261.73 263.18 260.55 261.70 10324900
261.70 0.55460413
2010-08-06 259.78 261.49 257.63 260.09 15889200
260.09 0.52246936
2010-08-09 261.48 262.15 259.57 261.75 10826000
261.75 0.54227647
2010-08-10 259.85 260.45 257.55 259.41 16140000
259.41 0.47975631
2010-08-11 255.40 255.69 249.81 250.19 22144800
250.19 0.14151831
2010-08-12 246.69 253.10 246.12 251.79 19104300
251.79 -0.07671837
2010-08-13 251.65 251.88 249.09 249.10 12673900
249.10 -0.33112468
2010-08-16 247.58 250.01 246.62 247.64 11372500
247.64 -0.57338811
The order book looks like this:
> getOrderBook(portfolio.st)
$macd
$macd$AAPL
Order.Qty Order.Price Order.Type Order.Side Order.Threshold
2009-12-31 "0" NA "init" "long" "0"
2010-03-08 "-100" "213.603" "stoplimit" "long" "0.975"
2010-03-08 "100" "219.08" "market" "long" NA
2010-07-15 "-100" "251.45" "market" "long" NA
2010-08-02 "-100" "255.30375" "stoplimit" "long" "0.975"
2010-08-02 "100" "261.85" "market" "long" NA
2010-08-16 "-100" "247.64" "market" "long" NA
2010-09-14 "-100" "261.3585" "stoplimit" "long" "0.975"
2010-09-14 "100" "268.06" "market" "long" NA
Order.Status Order.StatusTime Order.Set Txn.Fees
2009-12-31 "closed" "2009-12-31" "1" "0"
2010-03-08 "replaced" "2010-08-02" NA "0"
2010-03-08 "closed" "2010-03-09" NA "0"
2010-07-15 "closed" "2010-07-16" NA "0"
2010-08-02 "replaced" "2010-09-14" NA "0"
2010-08-02 "closed" "2010-08-03" NA "0"
2010-08-16 "closed" "2010-08-17" NA "0"
2010-09-14 "open" NA NA "0"
2010-09-14 "closed" "2010-09-15" NA "0"
but the actual transactions like this:
> getTxns(Portfolio=portfolio.st, Symbol=stock.str)
Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost
2009-12-31 0 0.00 0 0 0.00
2010-03-08 100 219.08 0 21908 219.08
2010-07-15 -100 251.45 0 -25145 251.45
2010-08-02 100 261.85 0 26185 261.85
2010-08-16 -100 247.64 0 -24764 247.64
2010-09-14 100 268.06 0 26806 268.06
Net.Txn.Realized.PL
2009-12-31 0
2010-03-08 0
2010-07-15 3237
2010-08-02 0
2010-08-16 -1421
2010-09-14
Can anyone tell me what I am doing wrong?
Stephen Choularton Ph.D., FIoD
On 24/02/2011 9:55 PM, Brian G. Peterson wrote:
On 02/24/2011 03:31 AM, Stephen Choularton wrote:
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.
It would be more appropriate to say that these columns are added when
applySignals is called inside applyStrategy, and in turn executes the
signal function sigThreshold. For porting to a moving average
strategy, you'd probably want to use sigCrossover-based signals
instead, because the value of the MA is not known beforehand.
As should be obvious from the demo code and the documentation, the
columns you asked about are are the label= parameters from your signals.
In the indicator function, we do not specify a label, because the
MACD() function from TTR adds the labels 'macd' and 'signal' to its
output.
In the signal generators, we specify a label as 'signal.gt.zero' and
'signal.lt.zero' when we define the signals with add.signal so that we
know what the 'sigcol' will be for our later rules. These labels aer
arbitrary, and were chosen to indicate what the signal stands for, but
could just as easily have been called 'blue' and 'brown'.
As the documents describe, what you are doing up front with all the
add.* functions is just building the strategy object, nothing is
'added to mktdata' until you've called applyStrategy on a portfolio
(which in turn calls applyIndicators and applySignals in a vectorized
way and applyRules in a path-dependent manner).
- Brian
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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)
# indicator
stratMACD <- add.indicator(strategy = stratMACD, name = "MACD", arguments =
list(x=quote(Cl(mktdata))) )
# signal
stratMACD <- add.signal(strategy = stratMACD,name="sigThreshold",arguments =
list(column="signal",relationship="gt",threshold=0,cross=TRUE),label="signal.gt.zero")
# signal
stratMACD <- add.signal(strategy = stratMACD,name="sigThreshold",arguments =
list(column="signal",relationship="lt",threshold=0,cross=TRUE),label="signal.lt.zero")
# opening rule
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')
# stoplimit rule
stratMACD <- add.rule(strategy = stratMACD,name='ruleSignal', arguments =
list(sigcol="signal.gt.zero",sigval=TRUE, orderqty=-100, ordertype='stoplimit',
orderside='long', threshold=.975,tmult=TRUE),type='risk')
# alternately, use a trailing order rule
# 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')
# closing rule
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"))
#get/save some data
write.table(mktdata, 'c:/r/logs/mktdata.tbl', col.name=TRUE)
print ('order book')
getOrderBook(portfolio.st)
print('transactions')
getTxns(Portfolio=portfolio.st, Symbol=stock.str)
print('account')
getAccount(portfolio.st)
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