A Quantstrat to Build On

THIS IS NOT INVESTMENT ADVICE.  PLEASE DO NOT TRADE THIS SYSTEM AS IT CAN LOSE SIGNIFICANT AMOUNTS OF MONEY.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES.

Some R finance powerhouses have been banging away on the quantstrat package for quite a while now with some very impressive results.  For my first quantstrat, I wanted to use some sort of really easy, but non-prebuilt ttr technical indicator, so I could learn some of the quantstrat intricacies.  I chose to enter and exit based on a sum of up (1) and down (-1) weeks over a rolling period, which I call CUD.  This specific example uses 20 weeks as the rolling period, and buys when this sum exceeds 0 and exits when the sum goes below 0.  I plan to adapt, refine, and extend this example to a much more workable system and example of quantstrat, but for now I want to put it out there for comments and criticisms as the end of the day approaches.

From TimelyPortfolio

R code:

#thanks so much to the developers of quantstrat
#99% of this code comes from the demos in the quantstrat package

#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
}     

try(rm("order_book.CUD",pos=.strategy),silent=TRUE)
try(rm("account.CUD","portfolio.CUD",pos=.blotter),silent=TRUE)
try(rm("account.st","portfolio.st","stock.str","stratCUD","initDate","initEq",'start_t','end_t'),silent=TRUE)   

# Initialize a strategy object
stratCUD <- strategy("CUD")   

# Add an indicator
stratCUD <- add.indicator(strategy = stratCUD, name = "CUD", arguments = list(price = quote(Cl(mktdata)),n=20), label="CUD")   

# enter when CUD > 0
stratCUD <- add.signal(strategy = stratCUD, name="sigThreshold",arguments = list(threshold=-0.5, column="CUD",relationship="gt", cross=TRUE),label="CUD.gteq.0")
# exit when CUD < 0
stratCUD <- add.signal(strategy = stratCUD, name="sigThreshold",arguments = list(threshold=-0.5, column="CUD",relationship="lt",cross=TRUE),label="CUD.lt.0")   

stratCUD <- add.rule(strategy = stratCUD, name='ruleSignal', arguments = list(sigcol="CUD.gteq.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)       

currency("USD")
symbol = "GSPC"
stock(symbol, currency="USD",multiplier=1)
#use paste with ^ to get index data
getSymbols(paste("^",symbol,sep=""),adjust=T,from="1900-12-31")
#I use weekly but comment this out if you want to use daily
GSPC<-to.weekly(GSPC)     

initDate='1950-12-31'
initEq=100000
port.st<-'CUD' #use a string here for easier changing of parameters and re-trying   

initPortf(port.st, symbols=symbol, initDate=initDate)
initAcct(port.st, portfolios=port.st, initDate=initDate)
initOrders(portfolio=port.st, 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)     

start_t<-Sys.time()
updatePortf(Portfolio=port.st,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'   

chart.Posn(Portfolio=port.st,Symbol=symbol,theme=themelist,log=TRUE)

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