1 min read

maCross

2015-05-12

#A simple moving average strategy to evaluate trade efficiency #checks on SMA of 50 days and SMA of 200 days #########################################################################################################################################################################

require(quantstrat)

workaround to xts Date handling, remove later

ttz<-Sys.getenv(‘TZ’) Sys.setenv(TZ=‘UTC’)

suppressWarnings(rm(“order_book.macross”,pos=.strategy)) suppressWarnings(rm(“account.macross”,“portfolio.macross”,pos=.blotter)) suppressWarnings(rm(“account.st”,“portfolio.st”,“stock.str”,“stratMACROSS”,‘start_t’,‘end_t’))

stock.str=‘AAPL’ # what are we trying it on currency(‘USD’) stock(stock.str,currency=‘USD’,multiplier=1)

startDate=“1999-12-31” initEq=1000000 portfolio.st=‘macross’ account.st=‘macross’ initPortf(portfolio.st,symbols=stock.str) initAcct(account.st,portfolios=portfolio.st, initEq=initEq) initOrders(portfolio=portfolio.st)

stratMACROSS<- strategy(portfolio.st)

stratMACROSS <- add.indicator(strategy = stratMACROSS, name = “SMA”, arguments = list(x=quote(Cl(mktdata)), n=50),label= “ma50” ) stratMACROSS <- add.indicator(strategy = stratMACROSS, name = “SMA”, arguments = list(x=quote(Cl(mktdata)[,1]), n=200),label= “ma200”)

stratMACROSS <- add.signal(strategy = stratMACROSS,name=“sigCrossover”,arguments = list(columns=c(“ma50”,“ma200”), relationship=“gte”),label=“ma50.gt.ma200”) stratMACROSS <- add.signal(strategy = stratMACROSS,name=“sigCrossover”,arguments = list(column=c(“ma50”,“ma200”),relationship=“lt”),label=“ma50.lt.ma200”)

stratMACROSS <- add.rule(strategy = stratMACROSS,name=‘ruleSignal’, arguments = list(sigcol=“ma50.gt.ma200”,sigval=TRUE, orderqty=100, ordertype=‘market’, orderside=‘long’),type=‘enter’) stratMACROSS <- add.rule(strategy = stratMACROSS,name=‘ruleSignal’, arguments = list(sigcol=“ma50.lt.ma200”,sigval=TRUE, orderqty=‘all’, ordertype=‘market’, orderside=‘long’),type=‘exit’)

if you want a long/short Stops and Reverse MA cross strategy, you’d add two more rules for the short side:

stratMACROSS <- add.rule(strategy = stratMACROSS,name=‘ruleSignal’, arguments = list(sigcol=“ma50.lt.ma200”,sigval=TRUE, orderqty=-100, ordertype=‘market’, orderside=‘short’),type=‘enter’)

stratMACROSS <- add.rule(strategy = stratMACROSS,name=‘ruleSignal’, arguments = list(sigcol=“ma50.gt.ma200”,sigval=TRUE, orderqty=100, ordertype=‘market’, orderside=‘short’),type=‘exit’)

getSymbols(stock.str,from=startDate,src=‘yahoo’) for(i in stock.str) assign(i, adjustOHLC(get(i),use.Adjusted=TRUE))

start_t<-Sys.time() out<-applyStrategy(strategy=stratMACROSS , portfolios=portfolio.st) end_t<-Sys.time() print(end_t-start_t)

start_t<-Sys.time() updatePortf(Portfolio=‘macross’,Dates=paste(‘::’,as.Date(Sys.time()),sep=’’)) end_t<-Sys.time() print(“trade blotter portfolio update:”) print(end_t-start_t)

chart.Posn(Portfolio=‘macross’,Symbol=stock.str) add_SMA(n=50 , on=1,col=‘blue’) add_SMA(n=200, on=1)

book = getOrderBook(‘macross’) stats = tradeStats(‘macross’) ptstats = perTradeStats(‘macross’) rets = PortfReturns(‘macross’) txns = getTxns(‘macross’, stock.str)

#Date workaround, remove later Sys.setenv(TZ=ttz)