Simple MACD strategy

MACD may be used in many ways, this will demonstrate a trend indicator.

traditionally, when the MACD signal crosses zero, this indicated a establishment of a positive trend

we’ll buy on positive treshold crossover of the ‘signal’ column, and sell on negative threshold crossover

Author: brian

require(quantstrat) suppressWarnings(rm(“order_book.macd”,pos=.strategy)) suppressWarnings(rm(“account.macd”,“portfolio.macd”,pos=.blotter)) suppressWarnings(rm(“account.st”,“portfolio.st”,“stock.str”,“stratMACD”,“startDate”,“initEq”,‘start_t’,‘end_t’))

stock.str=‘AAPL’ # what are we trying it on

#MA parameters for MACD fastMA = 12 slowMA = 26 signalMA = 9 maType=“EMA”

currency(‘USD’) stock(stock.str,currency=‘USD’,multiplier=1)

#or use fake data #stock.str=‘sample_matrix’ # what are we trying it on #data(sample_matrix) # data included in package xts #sample_matrix<-as.xts(sample_matrix)

startDate=‘2006-12-31’ initEq=1000000 portfolio.st=‘macd’ account.st=‘macd’

initPortf(portfolio.st,symbols=stock.str) initAcct(account.st,portfolios=portfolio.st) initOrders(portfolio=portfolio.st)

strat.st<-portfolio.st

define the strategy

strategy(strat.st, store=TRUE)

#one indicator add.indicator(strat.st, name = “MACD”, arguments = list(x=quote(Cl(mktdata))) )

#two signals add.signal(strat.st,name=“sigThreshold”, arguments = list(column=“signal.MACD.ind”, relationship=“gt”, threshold=0, cross=TRUE), label=“signal.gt.zero”)

add.signal(strat.st,name=“sigThreshold”, arguments = list(column=“signal.MACD.ind”, relationship=“lt”, threshold=0, cross=TRUE), label=“signal.lt.zero”)

add rules

entry

add.rule(strat.st,name=‘ruleSignal’, arguments = list(sigcol=“signal.gt.zero”, sigval=TRUE, orderqty=1000000, ordertype=‘market’, orderside=‘long’, threshold=NULL, osFUN=‘osMaxPos’), type=‘enter’, label=‘enter’)

#alternatives for risk stops: # simple stoplimit order, with threshold multiplier #add.rule(strat.st,name=‘ruleSignal’, arguments = list(sigcol=“signal.gt.zero”,sigval=TRUE, orderqty=‘all’, ordertype=‘stoplimit’, orderside=‘long’, threshold=-.05,tmult=TRUE, orderset=‘exit2’),type=‘risk’,label=‘risk’,storefun=FALSE) # alternately, use a trailing order, also with a threshold multiplier #add.rule(strat.st,name=‘ruleSignal’, arguments = list(sigcol=“signal.gt.zero”,sigval=TRUE, orderqty=‘all’, ordertype=‘stoptrailing’, orderside=‘long’, threshold=-.15,tmult=TRUE, orderset=‘exit2’),type=‘risk’,label=‘trailingexit’)

exit

add.rule(strat.st,name=‘ruleSignal’, arguments = list(sigcol=“signal.lt.zero”, sigval=TRUE, orderqty=‘all’, ordertype=‘market’, orderside=‘long’, threshold=NULL, orderset=‘exit2’), type=‘exit’, label=‘exit’)

add.rule(strat.st, ‘rulePctEquity’, arguments=list(rebalance_on=‘months’, trade.percent=.02, refprice=quote(last(getPrice(mktdata)[paste(‘::’,curIndex,sep=’’)])), digits=0 ), type=‘rebalance’, label=‘rebalance’ )

#end rules ####

getSymbols(stock.str,from=startDate,src=‘yahoo’) start_t<-Sys.time() out<-applyStrategy.rebalancing(strat.st , portfolios=portfolio.st,parameters=list(nFast=fastMA, nSlow=slowMA, nSig=signalMA,maType=maType),verbose=TRUE) end_t<-Sys.time() print(end_t-start_t)

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

chart.Posn(Portfolio=portfolio.st,Symbol=stock.str) plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA,maType=“EMA”))

#look at the order book getOrderBook(‘macd’)

macdRebalancing