library(quantstrat)

init_date <- “2017-01-01” start_date <- “2017-01-01” end_date <- “2018-12-31” init_equity <- 1e4 # $10,000 .orderqty <- 100 Sys.setenv(TZ = “UTC”) fast <- 5 slow <- 75 symbols <- symbol <- “AAPL” tradesize = 1e4 currency(‘USD’) # getSymbols.rda(“AAPL”, dir=“quantstrat/data/AAPL.rda”) data(AAPL) # getSymbols(symbol,from=start_date, to = end_date, auto.assign = T, index.class = “POSIXct”, src = ‘yahoo’) # for(i in symbols) # assign(i, adjustOHLC(get(i),use.Adjusted=TRUE))

stock(symbols, currency = “USD”, multiplier = 1)

portfolio.st <- “Port.Luxor” account.st <- “Acct.Luxor” strategy.st <- “Strat.Luxor”

rm.strat(strategy.st) rm.strat(portfolio.st) rm.strat(account.st)

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 = fast), label = “nFast”)

add.indicator(strategy = strategy.st, name = “SMA”, arguments = list(x = quote(Cl(mktdata)), n = slow), label = “nSlow”)

add.signal(strategy.st, name = “sigCrossover”, arguments = list(column = c(“nFast”, “nSlow”), relationship = “gt”), label = “LONG”)

add.signal(strategy.st, name = “sigCrossover”, arguments = list(column = c(“nFast”, “nSlow”), relationship = “lt”), label = “SHORT”)

add.rule(strategy.st, name = “ruleSignal”, arguments = list(sigcol = “LONG”, sigval = TRUE, orderside = “long”, ordertype = “limit”, #market/ limit threshold = 1/100, # time.in.force= 246060*2, tmult = T, orderqty = 1000, prefer = “Open”, TxnFees = -10, orderset = “ocolong”, replace = F), type = “enter”, enabled = T, label = “EnterLONG”)

add.rule(strategy = strategy.st, name = “ruleSignal”, arguments = list(sigcol = “SHORT”, sigval = TRUE, orderqty = ‘all’, orderside = ‘long’, ordertype = “market”, prefer = “Open”, TxnFees = -10, orderset = “ocolong”, replace = F), type = “exit”, enabled = T, parent = “EnterLONG”, label = “Exit2SHORT”)

add.rule(strategy.st, name = “ruleSignal”, arguments = list(sigcol = “LONG”, sigval = TRUE, orderside = “long”, ordertype = “stoptrailing”, orderqty = “all”, prefer = “Close”, threshold = 2/100, # time.in.force= 246060*1, tmult = T, TxnFees = -10, orderset = “ocolong”, replace = F), type = “chain”, parent = “EnterLONG”, enabled = T, label = “StopTrailingLONG”)

applyStrategy(strategy = strategy.st, portfolios = portfolio.st) updatePortf(portfolio.st) daterange <- time(getPortfolio(portfolio.st)$summary)[-1] updateAcct(account.st, daterange) updateEndEq(account.st) tstats <- t(tradeStats(Portfolios = portfolio.st)) chart.Posn(Portfolio = portfolio.st, Symbol = “AAPL”, TA= c(“add_SMA(n=fast, col=‘blue’)”, “add_SMA(n=slow, col=‘red’)”))

#look at the order book obook<-getOrderBook(‘Port.Luxor’)