Торговая стратегия в R с использованием канала Дончиан - PullRequest
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Торговая стратегия в R с использованием канала Дончиан

0 голосов
/ 06 мая 2018

Я хочу настроить торговую стратегию, используя quantstrat. Это следует сравнить, если цена закрытия выше максимума канала Дончианна. Я хотел бы создать Longsignal, если: Closeprice > 0.85 * Donchianchannel high. 

library(quantstrat)
Sys.setenv(TZ = "UTC")
currency(USD)

init_date <- "2014-12-31"
start_date <- "2015-01-01"
end_date <- "2017-12-31"
init_equity <- 100000
adjustment <- TRUE
getSymbols(Symbols = "QQQ", 
           src = "yahoo", index.class = "POSIXct",
           from = start_date, 
           to = end_date, 
           adjust = adjustment)

QQQ=na.omit(QQQ)
stock("QQQ",currency="USD",multiplier = 1)

> head(QQQ)
            QQQ.Open  QQQ.High  QQQ.Low QQQ.Close QQQ.Volume QQQ.Adjusted
2015-01-02 100.66108 101.09768 99.39009  99.87520   31148800     99.71343
2015-01-05  99.44830  99.55502 98.12879  98.41016   36521300     98.25075
2015-01-06  98.55569  98.72063 96.65405  97.09065   66205500     96.93339
2015-01-07  97.74070  98.57509 97.49814  98.34224   37577400     98.18295
2015-01-08  99.20574 100.41853 99.06991 100.22448   40212600    100.06215
2015-01-09 100.53496 100.56406 98.98259  99.56473   41401300     99.40346


strategy.st<-"basic_strat"
portfolio.st<-"basic_portfolio"
account.st<-"basic_account"
rm.strat(portfolio.st)
rm.strat(account.st)
initPortf(name = portfolio.st,symbols = "QQQ",initDate = init_date)

initAcct(name = account.st,portfolios = portfolio.st,initDate = init_date,initEq = init_equity)

initOrders(portfolio = portfolio.st,symbols = "QQQ",initDate = init_date)
strategy(strategy.st, store = TRUE)

add.indicator(strategy = strategy.st, 
      name = "Donchianchannel",
              arguments = list(price = quote(Cl(mktdata)), 
                               n = 260),
              label = "DCH")

mktdata_ind <- applyIndicators(strategy=strategy.st,mktdata=NSEI) Этот шаг не работает:

Ошибка в .xts (e, .index (e2), .indexCLASS = indexClass (e2), .indexFORMAT = indexFormat (e2),: длина индекса должна соответствовать номеру наблюдений) 

mktdata_ind[is.na(mktdata_ind)]=0
knitr::kable(tail(mktdata_ind))

Может кто-нибудь определить проблему и помочь мне?

Сигнал должен выглядеть следующим образом: 

add.signal(strategy.st, name = "sigCrossover", arguments = list(columns = c("DHC.high*0.85","Close"),relationship="gt"), label = "Close_gt_DHC.high")

Большое спасибо за помощь!

1 Ответ

0 голосов
/ 13 мая 2018

Вот полностью воспроизводимый пример для длинных сделок. Надеюсь, вы можете исправить это для короткой стороны и любых настроек, которые вы хотите.

В вашем примере кода было несколько ошибок, которые я также исправил: 

library(quantstrat)
Sys.setenv(TZ = "UTC")
# The currency argument should be a character vector, not an expression without quotes:
currency("USD")

# You you're using Donchian channel with 260 look back period, you need a much larger data period to get meaningful results as you'll lose the first 259 rows of data:
start_date <- "2007-01-01"
end_date <- "2017-12-31"
init_equity <- 100000
adjustment <- TRUE
getSymbols(Symbols = "QQQ",
           src = "yahoo", index.class = "POSIXct",
           from = start_date,
           to = end_date)
#saveRDS(QQQ, "QQQ.rds")
#QQQ <- readRDS("QQQ.rds")

QQQ=na.omit(QQQ)
symbols <- "QQQ"
stock(symbols,currency="USD",multiplier = 1)

strategy.st<-"basic_strat"
portfolio.st<-"basic_portfolio"
account.st<-"basic_account"

LongEnabled <- TRUE
ShortEnabled <- TRUE

rm.strat(strategy.st)
rm.strat(portfolio.st)
rm.strat(account.st)
initPortf(name = portfolio.st,symbols = "QQQ")
# You don't need to set init date, it will be figured out automatically.
initAcct(name = account.st,portfolios = portfolio.st, initEq = init_equity)

initOrders(portfolio = portfolio.st,symbols = "QQQ")
strategy(strategy.st, store = TRUE)

txfeeFUN <- function(TxnQty, TxnPrice, Symbol, fee.rate = 0.005) {
  fees <- -abs(TxnQty) * fee.rate * TxnPrice
  if (fees > 0)
    stop("Fees must be a negative number.")
  fees
}


# restrict to 1 entry per side.
tradeSize <- 100
for (sym in symbols) {
  addPosLimit(portfolio.st, sym, start(get(sym)), tradeSize)
}


add.indicator(strategy = strategy.st, 
              # correct name of function:
              name = "DonchianChannel",
              arguments = list(HL = quote(HLC(mktdata)[, 1:2]), 
                               # you will lose 260 rows of data in setting up the donchian channel with just 
                               #        n = 260),
                               n = 100),
              label = "DCH")

ratioPriceSeries <- function(x, 
                             multiplier = 0.85,
                             col = "high.DCH") {
  x$ratioLvl <- multiplier * x[, col]
  x[, "ratioLvl"]
}


add.indicator(strategy = strategy.st, 
              # correct name of function:
              name = "ratioPriceSeries",
              arguments = list(x = quote(mktdata), 
                               multiplier = 0.85,
                               col = "high.DCH"),
              label = "Lratio")





res <- applyIndicators(strategy.st, mktdata = QQQ)

add.signal(strategy.st, name = "sigCrossover",
           arguments = list(
             label = "co",
             data = quote(mktdata),
             columns = c("Close", "Lratio"),
             relation = "gt"
           ),
           label = "enterL")

add.signal(strategy.st, name = "sigCrossover",
           arguments = list(
             label = "co",
             data = quote(mktdata),
             columns = c("Close", "Lratio"),
             relation = "lt"
           ),
           label = "exitL")

res <- applySignals(strategy.st, res)

# debug, check signal counts:
#sum(res[, "enterL"] == 1,na.rm = TRUE)
#sum(res[, "exitL"] == 1,na.rm = TRUE)


add.rule(strategy.st,name='ruleSignal2',
         arguments = list(sigcol="enterL",
                          sigval=TRUE,
                          orderqty=100,
                          ordertype='market',
                          orderside='long',
                          osFUN=osMaxPos,
                          threshold=NULL,
                          TxnFees = "txfeeFUN",
                          # change this to prefer = "Open" if you wish:
                          prefer = "Close"),
         type='enter',
         label='enterLong',
         storefun=FALSE,
         enabled = LongEnabled
)

add.rule(strategy.st,name='ruleSignal',
         arguments = list(sigcol="exitL",
                          sigval=TRUE,
                          orderqty='all',
                          ordertype='market',
                          orderside='long',
                          orderset='DC.set',
                          TxnFees = "txfeeFUN",
                          prefer = "Close"),
         type='exit',
         label='exitLong',
         enabled = LongEnabled
)


applyStrategy(strategy.st, portfolio= portfolio.st)
updatePortf(Portfolio = portfolio.st)

ob <- getOrderBook(portfolio.st)


getTxns(portfolio.st, "QQQ")
# Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
# 1950-01-01       0      0.00    0.000         0         0.00              0.0000
# 2008-04-04     100     45.86  -22.930      4586        45.86            -22.9300
# 2008-04-10    -100     45.54  -22.770     -4554        45.54            -54.7700
# 2008-04-11     100     44.28  -22.140      4428        44.28            -22.1400
# 2008-04-14    -100     44.08  -22.040     -4408        44.08            -42.0397
# 2008-04-17     100     45.27  -22.635      4527        45.27            -22.6350
# 2008-09-10    -100     42.80  -21.400     -4280        42.80           -268.4001
# 2008-09-12     100     43.43  -21.715      4343        43.43            -21.7150
# 2008-09-16    -100     42.41  -21.205     -4241        42.41           -123.2050
# 2009-03-18     100     29.70  -14.850      2970        29.70            -14.8500
# 2010-07-01    -100     42.59  -21.295     -4259        42.59           1267.7049
# 2010-07-08     100     44.20  -22.100      4420        44.20            -22.1000
# 2011-08-09    -100     53.03  -26.515     -5303        53.03            856.4848
# 2011-08-10     100     50.86  -25.430      5086        50.86            -25.4300
# 2011-08-22    -100     50.21  -25.105     -5021        50.21            -90.1052
# 2011-08-24     100     52.69  -26.345      5269        52.69            -26.3450
# 2016-02-08    -100     96.62  -48.310     -9662        96.62           4344.6904
# 2016-02-17     100    102.50  -51.250     10250       102.50            -51.2500

tradeStats(portfolio.st, Symbols = "QQQ")
# Portfolio Symbol Num.Txns Num.Trades Net.Trading.PL Avg.Trade.PL Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits Gross.Losses Std.Dev.Trade.PL
# QQQ basic_portfolio    QQQ       17          8       10986.96      736.295    -48.40485        4344.69     -268.4001       6468.88      -578.52         1557.472
# Std.Err.Trade.PL Percent.Positive Percent.Negative Profit.Factor Avg.Win.Trade Med.Win.Trade Avg.Losing.Trade Med.Losing.Trade Avg.Daily.PL Med.Daily.PL
# QQQ         550.6496             37.5             62.5      11.18177      2156.293      1267.705         -115.704         -90.1052      736.295    -48.40485
# Std.Dev.Daily.PL Std.Err.Daily.PL Ann.Sharpe Max.Drawdown Profit.To.Max.Draw Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity Min.Equity End.Equity
# QQQ         1557.472         550.6496   7.504674     -2070.56           5.306277          18.63629          14.06916   11274.96  -644.6849   10986.96

mktdata["2008-04"]
# QQQ.Open QQQ.High QQQ.Low QQQ.Close QQQ.Volume QQQ.Adjusted high.DCH mid.DCH low.DCH ratioLvl.Lratio enterL exitL
# 2008-04-01    44.42    45.61   44.41     45.59  137494400     41.33453    54.69  47.870   41.05         46.4865     NA    NA
# 2008-04-02    45.70    46.02   45.17     45.49  132486800     41.24388    54.58  47.815   41.05         46.3930     NA    NA
# 2008-04-03    45.29    45.91   45.14     45.59  140033800     41.33453    53.33  47.190   41.05         45.3305      1    NA
# 2008-04-04    45.77    46.35   45.40     45.86  139261000     41.57934    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-07    46.14    46.41   45.65     45.76  102297100     41.48867    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-08    45.41    45.72   45.18     45.41   97435200     41.17133    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-09    45.47    45.49   44.63     44.90  127182300     40.70894    52.84  46.945   41.05         44.9140     NA     1
# 2008-04-10    44.93    45.84   44.93     45.54  112773800     41.28919    52.84  46.945   41.05         44.9140      1    NA
# 2008-04-11    45.02    45.10   44.12     44.28  120135400     40.14681    52.84  46.945   41.05         44.9140     NA     1
# 2008-04-14    44.21    44.48   43.95     44.08   89274600     39.96547    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-15    44.24    44.35   43.68     44.14  124232300     40.01989    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-16    44.69    45.48   44.65     45.37  134027900     41.13506    52.84  46.945   41.05         44.9140      1    NA
# 2008-04-17    45.42    45.47   44.98     45.27  124953100     41.04440    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-18    46.47    46.93   46.22     46.71  133022500     42.34999    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-21    46.62    47.08   46.49     47.04   83303200     42.64919    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-22    46.75    46.77   45.93     46.34  104689600     42.01453    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-23    46.68    47.06   46.27     46.85  131086200     42.47692    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-24    46.87    47.79   46.39     47.27  166509000     42.85772    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-25    47.32    47.35   46.57     47.15  121945400     42.74891    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-28    47.26    47.62   47.13     47.24   71244000     42.83052    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-29    47.15    47.76   47.06     47.60   91270600     43.15691    52.84  46.945   41.05         44.9140     NA    NA
# 2008-04-30    47.70    48.06   47.03     47.21  132152700     42.80332    52.84  46.945   41.05         44.9140     NA    NA
...