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WFA.R
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## ----echo=FALSE----------------------------------------------------------
#########################################################################
# Copyright (C) 2011-2014 Guy Yollin #
# License: http://www.gnu.org/licenses/gpl.html GPL version 2 or higher #
#########################################################################
## ----include=FALSE-------------------------------------------------------
library(knitr)
opts_chunk$set(tidy=FALSE,cache=FALSE,size='scriptsize',
fig.path='figures/',fig.show='hide',fig.keep='last',
fig.align='center', fig.width=7, fig.height=5,
message=FALSE,warning=FALSE)
## ----echo=FALSE,cache=FALSE----------------------------------------------
options(width=79,continue=" ",digits=8)
## ----results='hide'------------------------------------------------------
library(quantstrat)
library(xtsExtra)
## ----results='hide'------------------------------------------------------
stock.st = c("USO")
currency("USD")
stock(stock.st, currency="USD",multiplier=1)
Sys.setenv(TZ="UTC") # set time zone
initDate = '2006-12-31'
startDate = '2007-01-01'
endDate = '2013-12-31'
initEq=1e6
tradeSize = initEq/10
getSymbols(stock.st,from=startDate,to=endDate,index.class="POSIXct",adjust=T)
## ----USOPLOT,cache=FALSE-------------------------------------------------
myTheme<-chart_theme()
myTheme$col$dn.col <-'lightblue'
myTheme$col$dn.border <- 'lightgray'
myTheme$col$up.border <- 'lightgray'
chart_Series(get(stock.st),name=stock.st,theme=myTheme)
## ----results='hide'------------------------------------------------------
osFixedDollar <- function(timestamp, orderqty, portfolio, symbol, ruletype, ...)
{
pos <- getPosQty(portfolio, symbol, timestamp)
if( isTRUE(all.equal(pos,0)) )
{
ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
orderqty <- sign(orderqty)*round(tradeSize/ClosePrice,-2)
} else {
orderqty <- 0
}
return(orderqty)
}
## ----results='hide'------------------------------------------------------
strat.st <- "bbands"
rm.strat(strat.st)
strategy(strat.st, store=TRUE)
add.indicator(strat.st, name = "BBands",
arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'), label='BBands')
add.signal(strat.st, name="sigCrossover",
arguments=list(columns=c("Close","up"),relationship="gt"),
label="Cl.gt.UpperBand")
add.signal(strat.st, name="sigCrossover",
arguments=list(columns=c("Close","dn"),relationship="lt"),
label="Cl.lt.LowerBand")
add.signal(strat.st, name="sigCrossover",
arguments=list(columns=c("High","Low","mavg"),relationship="op"),
label="Cross.Mid")
## ----results='hide'------------------------------------------------------
add.rule(strat.st, name='ruleSignal',
arguments=list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100,
ordertype='market', orderside=NULL, threshold=NULL, osFUN=osFixedDollar,
orderset='ocoshort'),
type='enter',label="SE")
add.rule(strat.st, name='ruleSignal',
arguments=list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100,
ordertype='market', orderside=NULL, threshold=NULL, osFUN=osFixedDollar,
orderset='ocolong'),
type='enter',label="LE")
add.rule(strat.st, name='ruleSignal',
arguments=list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all',
ordertype='market', orderside=NULL, threshold=NULL),
type='exit')
## ----results='hide'------------------------------------------------------
add.distribution(strat.st,
paramset.label = 'BBOPT',
component.type = 'indicator',
component.label = 'BBands',
variable = list(n = seq(10,30,by=5)),
label = 'n'
)
add.distribution(strat.st,
paramset.label = 'BBOPT',
component.type = 'indicator',
component.label = 'BBands',
variable = list(sd = seq(1,3,by=0.5)),
label = 'sd'
)
## ----echo=FALSE,results='hide'-------------------------------------------
library(quantstrat)
## ------------------------------------------------------------------------
args(walk.forward)
## ------------------------------------------------------------------------
if( Sys.info()['sysname'] == "Windows" )
{
library(doParallel)
# uncomment line below when combine function bug is fixed for Windows
#registerDoParallel(cores=detectCores())
} else {
library(doMC)
registerDoMC(cores=detectCores())
}
## ----results='hide'------------------------------------------------------
rm.strat("opt")
initPortf(name="opt", stock.st, initDate=initDate)
initAcct(name="opt", portfolios="opt",
initDate=initDate, initEq=initEq)
initOrders(portfolio="opt", initDate=initDate)
## ----echo=FALSE,results='hide'-------------------------------------------
if( !file.exists("saveEnvironment.RData") )
{
results <- walk.forward(
strategy.st=strat.st,
paramset.label='BBOPT',
portfolio.st="opt",
account.st="opt",
period='years',
k.training=4,
k.testing=1,
nsamples=0,
audit.prefix='wfa',
anchored=FALSE,
verbose=TRUE
)
save(list=c("results",".strategy",".blotter"),file="saveEnvironment.RData")
} else {
load("saveEnvironment.RData")
}
## ----eval=FALSE----------------------------------------------------------
## results <- walk.forward(
## strategy.st=strat.st,
## paramset.label='BBOPT',
## portfolio.st="opt",
## account.st="opt",
## period='years',
## k.training=4,
## k.testing=1,
## nsamples=0,
## audit.prefix='wfa',
## anchored=FALSE,
## verbose=TRUE
## )
## ----eval=FALSE----------------------------------------------------------
## [1] "=== training BBOPT on 2007-01-03/2010-12-31"
##
## [1] "=== testing param.combo 11 on 2011-01-03/2011-12-30"
## n sd
## 11 10 2
##
##
## [1] "=== training BBOPT on 2008-01-02/2011-12-30"
##
## [1] "=== testing param.combo 11 on 2012-01-03/2012-12-31"
## n sd
## 11 10 2
##
##
## [1] "=== training BBOPT on 2009-01-02/2012-12-31"
##
## [1] "=== testing param.combo 19 on 2013-01-02/2013-12-31"
## n sd
## 19 25 2.5
## ----TRADESTATS,results='hide'-------------------------------------------
PerformanceAnalytics:::textplot(t(tradeStats("opt")))
## ----TRANS1,results='hide',fig.width=8,fig.height=2----------------------
txns <- getTxns("opt",stock.st)
txns$Net.Txn.Realized.PL <- round(txns$Net.Txn.Realized.PL)
PerformanceAnalytics:::textplot(head(txns))
## ----TRANS2,results='hide',fig.width=8,fig.height=2----------------------
PerformanceAnalytics:::textplot(tail(txns))
## ----NETPL,cache=FALSE---------------------------------------------------
plot(getPortfolio("opt")$summary$Net.Trading.PL,minor.ticks=FALSE,type="h",col=4)
## ----CHARTPOSN,cache=FALSE-----------------------------------------------
chart.Posn("opt",stock.st)
## ----size='tiny'---------------------------------------------------------
names(results)
names(results[[1]])
results[[1]]$training.timespan
results[[1]]$testing.timespan
names(results[[1]]$apply.paramset)
## ------------------------------------------------------------------------
idx <- which.max(results[[1]]$apply.paramset$tradeStats$Net.Trading.PL)
results[[1]]$apply.paramset$tradeStats[idx,1:7]
idx <- which.max(results[[2]]$apply.paramset$tradeStats$Net.Trading.PL)
results[[2]]$apply.paramset$tradeStats[idx,1:7]
idx <- which.max(results[[3]]$apply.paramset$tradeStats$Net.Trading.PL)
results[[3]]$apply.paramset$tradeStats[idx,1:7]
## ----echo=FALSE----------------------------------------------------------
options(width=60)
## ------------------------------------------------------------------------
list.files(pattern="^wfa.*\\.RData$")
## ----echo=FALSE----------------------------------------------------------
options(width=79)
## ----eval=FALSE,size='tiny'----------------------------------------------
## > load("~/RProjects/UW/CFRM551/WFA/wfa.USO.2007-01-03.2010-12-31.RData")
##
## > ls(all=TRUE)
## [1] ".audit" ".blotter" ".Random.seed" ".strategy"
##
## > ls(.audit)
## [1] "constraints" "distributions" "obj.func" "order_book.opt.1" "order_book.opt.10"
## [6] "order_book.opt.11" "order_book.opt.12" "order_book.opt.13" "order_book.opt.14" "order_book.opt.15"
## [11] "order_book.opt.16" "order_book.opt.17" "order_book.opt.18" "order_book.opt.19" "order_book.opt.2"
## [16] "order_book.opt.20" "order_book.opt.21" "order_book.opt.22" "order_book.opt.23" "order_book.opt.24"
## [21] "order_book.opt.25" "order_book.opt.3" "order_book.opt.4" "order_book.opt.5" "order_book.opt.6"
## [26] "order_book.opt.7" "order_book.opt.8" "order_book.opt.9" "param.combo" "param.combo.idx"
## [31] "param.combo.nr" "param.combos" "paramset.label" "portfolio.opt.1" "portfolio.opt.10"
## [36] "portfolio.opt.11" "portfolio.opt.12" "portfolio.opt.13" "portfolio.opt.14" "portfolio.opt.15"
## [41] "portfolio.opt.16" "portfolio.opt.17" "portfolio.opt.18" "portfolio.opt.19" "portfolio.opt.2"
## [46] "portfolio.opt.20" "portfolio.opt.21" "portfolio.opt.22" "portfolio.opt.23" "portfolio.opt.24"
## [51] "portfolio.opt.25" "portfolio.opt.3" "portfolio.opt.4" "portfolio.opt.5" "portfolio.opt.6"
## [56] "portfolio.opt.7" "portfolio.opt.8" "portfolio.opt.9" "tradeStats" "training.timespan"
## [61] "user.func"
## >
## ----eval=FALSE,size='tiny'----------------------------------------------
## > load("~/RProjects/UW/CFRM551/WFA/wfa.results.RData")
##
## > ls(all=TRUE)
## [1] ".audit" ".blotter" ".Random.seed" ".strategy"
##
## > ls(.audit)
## [1] "account.opt" "constraints" "distributions" "order_book.opt" "order_book.opt.1"
## [6] "order_book.opt.10" "order_book.opt.11" "order_book.opt.12" "order_book.opt.13" "order_book.opt.14"
## [11] "order_book.opt.15" "order_book.opt.16" "order_book.opt.17" "order_book.opt.18" "order_book.opt.19"
## [16] "order_book.opt.2" "order_book.opt.20" "order_book.opt.21" "order_book.opt.22" "order_book.opt.23"
## [21] "order_book.opt.24" "order_book.opt.25" "order_book.opt.3" "order_book.opt.4" "order_book.opt.5"
## [26] "order_book.opt.6" "order_book.opt.7" "order_book.opt.8" "order_book.opt.9" "param.combos"
## [31] "paramset.label" "portfolio.opt" "portfolio.opt.1" "portfolio.opt.10" "portfolio.opt.11"
## [36] "portfolio.opt.12" "portfolio.opt.13" "portfolio.opt.14" "portfolio.opt.15" "portfolio.opt.16"
## [41] "portfolio.opt.17" "portfolio.opt.18" "portfolio.opt.19" "portfolio.opt.2" "portfolio.opt.20"
## [46] "portfolio.opt.21" "portfolio.opt.22" "portfolio.opt.23" "portfolio.opt.24" "portfolio.opt.25"
## [51] "portfolio.opt.3" "portfolio.opt.4" "portfolio.opt.5" "portfolio.opt.6" "portfolio.opt.7"
## [56] "portfolio.opt.8" "portfolio.opt.9" "tradeStats" "user.func"
## >
## ----eval=FALSE----------------------------------------------------------
## chart.forward.training(audit.filename)
## chart.forward(audit.filename)
## ----TRAIN20072010-------------------------------------------------------
chart.forward.training("wfa.USO.2007-01-03.2010-12-31.RData")
## ----TRAIN20082011-------------------------------------------------------
chart.forward.training("wfa.USO.2008-01-02.2011-12-30.RData")
## ----TRAIN20092012-------------------------------------------------------
chart.forward.training("wfa.USO.2009-01-02.2012-12-31.RData")
## ----TESTOPT-------------------------------------------------------------
chart.forward("wfa.results.RData")