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Another iteration of the quantstrat system but this time with a sum of standard deviations instead of simple count and then some comparison charts. Thanks for the comments and I welcome many more. In my head and it seems like in others based on comments, we should assign higher importance to extreme days, so extreme days should get a stronger vote. However, after a little experimenting, I found it very difficult to capitalize on that notion. As usual, simpler is better as suggested in all my experience and also this recent Science News article.
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| From TimelyPortfolio |
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| From TimelyPortfolio |
Unfortunately I ran out of time to add all the system comparison stats and charts, so to get a post out today, I will stop here and resume with that tomorrow.
#thanks so much to the developers of quantstrat
#99% of this code comes from the demos in the quantstrat package #in this I add a variation of the CUD portfolio
#with standard deviations and compare the CUD
#and the new CUDsd require(quantstrat) #now let's define our silly countupdown function
CUD <- function(price,n) {
#CUD takes the n-period sum of 1 (up days) and -1 (down days)
temp <- runSum(ifelse(ROC(price,1,type="discrete") > 0,1,-1),n)
colnames(temp) <- "CUD"
temp
} #since I've had some very prescient comments
#about standard deviations I'll go ahead and try an sd sum system
CUDsd <- function(price,nsd,nsum) {
#CUDsd takes the n-period sum of standard deviations
#feel free to substitute runMAD with runSD if you would like
temp <- ROC(price,1,type="discrete")/runMAD(ROC(price,1,type="discrete"),n=nsd)
#bollinger band style sum - uncomment next line
#temp <- (price-runMedian(price,n=10)-1)/runMAD(ROC(price,1,type="discrete"),n=nsd)
#doesn't help but if you want to experiment with summing only a n*sd move
#uncomment and mess with the numbers
#temp <- ifelse(abs(temp)>1,temp,0)
temp <- runSum(temp,n=nsum)
colnames(temp) <- "CUDsd"
temp
} #I added this BuyHold as an example; see previous post
#quantstrat version 4 for details
#here is the remnant function
#BuyHold <- function(price,periodtobuy) {
# #just enter true (1) the period specified as buy and hold
# #for the remainder
# temp <- as.xts(rep(0,NROW(price)),order.by=index(price))
# colnames(temp) <- "BuyHold"
# temp[periodtobuy,1]<-1
# temp
#} try(rm("order_book.CUD",pos=.strategy),silent=TRUE)
try(rm("order_book.CUDsd",pos=.strategy),silent=TRUE)
try(rm("account.CUD","portfolio.CUD",pos=.blotter),silent=TRUE)
try(rm("account.CUDsd","portfolio.CUDsd",pos=.blotter),silent=TRUE)
try(rm("port.st","port.stsd","symbols","symbol","stratCUD","stratCUDsd",
"initDate","initEq",'start_t','end_t','num_periods'),silent=TRUE) #specify this for the rolling periods to use for our signal
num_periods=50
#specify these for the CUDsd function
#I separated the sd period from the sum period
#if anyone wants to fool around with the degrees of freedom
num_periods_sd=50
num_periods_sum=50 # Initialize a strategy object
stratCUD <- strategy("CUD")
# Add an indicator
stratCUD <- add.indicator(strategy = stratCUD, name = "CUD",
arguments = list(price = quote(Cl(mktdata)),n=num_periods),
label="CUD")
# enter when CUD > 0
stratCUD <- add.signal(strategy = stratCUD, name="sigThreshold",
arguments = list(threshold=0, column="CUD",relationship="gte", cross=TRUE),
label="CUD.gte.0")
# exit when CUD < 0
stratCUD <- add.signal(strategy = stratCUD, name="sigThreshold",
arguments = list(threshold=0, column="CUD",relationship="lt",cross=TRUE),
label="CUD.lt.0")
stratCUD <- add.rule(strategy = stratCUD, name='ruleSignal',
arguments = list(sigcol="CUD.gte.0", sigval=TRUE, orderqty=1000, ordertype='market',
orderside='long', pricemethod='market', replace=FALSE), type='enter', path.dep=TRUE)
stratCUD <- add.rule(strategy = stratCUD, name='ruleSignal',
arguments = list(sigcol="CUD.lt.0", sigval=TRUE, orderqty='all',
ordertype='market', orderside='long', pricemethod='market', replace=FALSE),
type='exit', path.dep=TRUE) # Initialize a strategy object for the new CUDsd
stratCUDsd <- strategy("CUDsd")
# Add an indicator
stratCUDsd <- add.indicator(strategy = stratCUDsd, name = "CUDsd",
arguments = list(price = quote(Cl(mktdata)),nsd=num_periods_sd,nsum=num_periods_sum),
label="CUDsd")
# enter when CUDsd > 0
stratCUDsd <- add.signal(strategy = stratCUDsd, name="sigThreshold",
arguments = list(threshold=0, column="CUDsd",relationship="gte", cross=TRUE),
label="CUDsd.gte.0")
# exit when CUDsd < 0
stratCUDsd <- add.signal(strategy = stratCUDsd, name="sigThreshold",
arguments = list(threshold=0, column="CUDsd",relationship="lt",cross=TRUE),
label="CUDsd.lt.0")
stratCUDsd <- add.rule(strategy = stratCUDsd, name='ruleSignal',
arguments = list(sigcol="CUDsd.gte.0", sigval=TRUE, orderqty=1000, ordertype='market',
orderside='long', pricemethod='market', replace=FALSE), type='enter', path.dep=TRUE)
stratCUDsd <- add.rule(strategy = stratCUDsd, name='ruleSignal',
arguments = list(sigcol="CUDsd.lt.0", sigval=TRUE, orderqty='all',
ordertype='market', orderside='long', pricemethod='market', replace=FALSE),
type='exit', path.dep=TRUE) currency("USD")
symbols = c("GSPC","GDAXI")
for (symbol in symbols) {
stock(symbol, currency="USD",multiplier=1)
#use paste with ^ to get index data
getSymbols(paste("^",symbol,sep=""),adjust=T,from="1900-12-31")
assign(symbol,to.weekly(get(symbol)))
} initDate='1949-12-31'
initEq=1000000
port.st<-'CUD' #use a string here for easier changing of parameters and re-trying
port.stsd <- 'CUDsd' initPortf(port.st, symbols=symbols, initDate=initDate, initEq=initEq)
initAcct(port.st, portfolios=port.st, initDate=initDate, initEq=initEq)
initOrders(portfolio=port.st, initDate=initDate) initPortf(port.stsd, symbols=symbols, initDate=initDate)
initAcct(port.stsd, portfolios=port.stsd, initDate=initDate,, initEq=initEq)
initOrders(portfolio=port.stsd, initDate=initDate) print("setup completed") # Process the indicators and generate trades
start_t<-Sys.time()
out<-try(applyStrategy(strategy=stratCUD , portfolios=port.st ) )
end_t<-Sys.time()
print("Strategy Loop:")
print(end_t-start_t) # Process buy and hold strategy
start_t<-Sys.time()
out<-try(applyStrategy(strategy=stratCUDsd , portfolios=port.stsd ) )
end_t<-Sys.time()
print("Strategy Loop:")
print(end_t-start_t) start_t<-Sys.time()
updatePortf(Portfolio=port.st,Dates=paste('::',as.Date(Sys.time()),sep=''))
updatePortf(Portfolio=port.stsd,Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("trade blotter portfolio update:")
print(end_t-start_t) # hack for new quantmod graphics, remove later
themelist<-chart_theme()
themelist$col$up.col<-'lightgreen'
themelist$col$dn.col<-'pink' for(symbol in symbols){
# dev.new()
# chart.Posn(Portfolio=port.stsd,Symbol=symbol,theme=themelist)
# #add the CUD indicator to the bottom of the chart
# plot(add_TA(CUDsd(get(symbol)[,4],nsd=num_periods_sd,nsum=num_periods_sum)))
# plot(add_TA(CUD(get(symbol)[,4],n=num_periods),on=4,col="red"))
dev.new()
chart.Reconcile(port.stsd,port.st,symbol)
plot(add_TA(CUDsd(get(symbol)[,4],nsd=num_periods_sd,nsum=num_periods_sum)))
plot(add_TA(CUD(get(symbol)[,4],n=num_periods),on=5,col="red")) } tradeStats(port.st)
tradeStats(port.stsd)
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