library(quantmod)
library(quantstrat)
Sys.setenv(TZ="UTC")
currency('USD')
init.date <- "2010-01-01"
start.date <- "2010-01-01"
end.date <- "2017-09-30"
init.equity <- 1e4 # $10,000
adjustment <- TRUE
basic_symbols <- function() {
symbols <- c(
"SPY",
"QQQ",
"XLRN" # SPDR S&P 500 ETF Trust
)
}
symbols <- basic_symbols()
getSymbols(Symbols = symbols,
index.class = "POSIXct",
from = start.date,
to = end.date,
adjust = adjustment)
stock(symbols,
currency = "USD",
multiplier = 1)
rm.strat(portfolio.st)
rm.strat(account.st)
portfolio.st <- "Port.Luxor"
account.st <- "Acct.Luxor"
strategy.st <- "Strat.Luxor"
initPortf(name = portfolio.st,
symbols = symbols,
initDate = init.date)
initAcct(name = account.st,
portfolios = portfolio.st,
initDate = init.date,
initEq = init.equity)
initOrders(portfolio = portfolio.st,
symbols = symbols,
initDate = init.date)
strategy(strategy.st, store = TRUE)
add.indicator(strategy = strategy.st,
name = "SMA",
arguments = list(x = quote(Cl(mktdata)),
n = 10),
label = "nFast")
add.indicator(strategy = strategy.st,
name = "SMA",
arguments = list(x = quote(Cl(mktdata)),
n = 30),
label = "nSlow")
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "gte"),
label = "long")
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "lt"),
label = "short")
add.rule(strategy = strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderqty = 50,
ordertype = "stoplimit",
orderside = "long",
threshold = 0.0005,
prefer = "High",
TxnFees = 0,
replace = FALSE),
type = "enter",
label = "EnterLONG")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderqty = -100,
ordertype = "stoplimit",
threshold = -0.005,
orderside = "short",
replace = FALSE,
TxnFees = 0,
prefer = "Low"),
type = "enter",
label = "EnterSHORT")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderside = "long",
ordertype = "market",
orderqty = "all",
TxnFees = 0,
replace = TRUE),
type = "exit",
label = "Exit2SHORT")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderside = "short",
ordertype = "market",
orderqty = "all",
TxnFees = 0,
replace = TRUE),
type = "exit",
label = "Exit2LONG")
results <- applyStrategy(strategy.st, portfolios = portfolio.st)
updatePortf(portfolio.st)
updateAcct(account.st)
updateEndEq(account.st)
a <- getAccount(account.st)
equity <- a$summary$End.Eq
plot(equity, main = "Equity Curve")