quantstrat: how to create multiple indicators, sig

问题:

I want to add multiple rules based on different signals like SMA50 > SMA10 and MACD > 0. However, I am getting an error using sigComparision. Can anyone suggest a better way to do it?

回答1:

There are two obvious approaches you could use: You can build a composite signal function in add rules, or you could use sigFormula. The latter is known to be slow. For example see this thread:

https://stat.ethz.ch/pipermail/r-sig-finance/2012q1/009310.html

I highlight a key section here:

sigFormula uses an R syntax feature that allows you to use column names directly as variables in a formula. It does no partial matching, since the columns become the formula variables.

....

I will warn you that while sigFormula is very flexible, R isn't very fast using this methodology. It seems to be a side effect of the way data.frames are stored as lists, and of the way that the eval(parse(text=formula),x) syntax is managed internally by R.

For daily or lower-frequency data, that's probably fine, but for higher frequencies I usually find it makes sense to write a custom indicator of signal function for more complex comparisons.

In the following example (based off the macd.R demo in the quantstrat package) you can experiment with both approaches:

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


fastMA = 12 
slowMA = 26 
signalMA = 8
maType="EMA"

currency('USD')
stock(stock.str,currency='USD',multiplier=1)

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

getSymbols(stock.str,from=startDate)


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)),
                               nFast=fastMA, 
                               nSlow=slowMA),
              label='_' 
)

add.indicator(strat.st, name = "SMA", 
              arguments = list(x=quote(Cl(mktdata)),
                               n=10),
              label='SMA10' 
)



add.indicator(strat.st, name = "SMA", 
              arguments = list(x=quote(Cl(mktdata)),
                               n = 50),
              label='SMA50' 
)

# Create your own signal for entry:
macdSMAsig <- function(data) {
  # first condition:
  sig <- data[, "SMA.SMA50"] > data[, "SMA.SMA10"] & data[, "macd._"] > 0
  colnames(sig) <- "upSig"
  sig
}



 # Activate (uncomment) only ONE of the following signals.  Both do the same thing:

#OPTION 1 for entry signal based on combining signals:
add.signal(strat.st,name="macdSMAsig",
           arguments = list(data = quote(mktdata)),
           label="enterSig"
)

#OPTION 2 for entry signal based on combining signals:
# add.signal(strat.st, name = "sigFormula",
#            arguments = list(data = quote(mktdata),
#                             formula = "SMA.SMA50 > SMA.SMA10 & macd._ > 0"),
#            label = "upSig.enterSig"
#            )



add.signal(strat.st,name="sigThreshold",
           arguments = list(column="signal._",
                            relationship="lt",
                            threshold=0,
                            cross=TRUE),
           label="signal.lt.zero"
)

####
# add rules

# entry
add.rule(strat.st,name='ruleSignal', 
         # be careful to get the label of the signal column correct:
         arguments = list(sigcol="upSig.enterSig",
                          sigval=TRUE, 
                          orderqty=100, 
                          ordertype='market', 
                          orderside='long', 
                          threshold=NULL),
         type='enter',
         label='enter',
         storefun=FALSE
)

# 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'
)

#end rules
####


out<-applyStrategy(strat.st , portfolios=portfolio.st,verbose=TRUE)



updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep=''))

chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)

tx <- getTxns(portfolio.st, stock.str)
sum(tx$Net.Txn.Realized.PL)

回答2:

I tried your code but seems to get this error:

Error in applyRules(portfolio = portfolio, symbol = symbol, strategy = strategy, : mktdata does not contain 'sigcol': entersig

This is what I did:

    library(quantmod)
library(FinancialInstrument)
library(PerformanceAnalytics)
library(foreach)
library(blotter)
library(quantstrat)

options("getSymbols.yahoo.warning"=FALSE)
options("getSymbols.warning4.0"=FALSE)

initDate="1990-01-01"
from ="2003-01-01"
to ="2012-12-31"
symbols = c("AAPL")
currency("USD")
getSymbols(symbols, from=from, to=to, adjust=TRUE)

stock(symbols, currency="USD", multiplier=1)
initEq=1000000

strategy.st <- portfolio.st <- account.st <- "mystrat"

rm.strat("mystrat")


initPortf(name=portfolio.st,
          symbols=symbols,
          initDate=initDate,
          currency='USD')
initAcct(name=account.st,
         portfolios=portfolio.st,
         initDate=initDate,
         currency='USD',
         initEq=initEq)
initOrders(portfolio=portfolio.st,
           initDate=initDate)

strategy(strategy.st, store=TRUE)

### Add Indicators

nRSI <- 21
buyThresh <- 50
sellThresh <- 50

#Indicator for EMA long medium short

nEMAL<- 80
nEMAM<- 21
nEMAS<- 13
nEMAF<- 5

add.indicator(strategy.st, name="RSI",
              arguments=list(price=quote(Cl(mktdata)), n=nRSI),
              label="rsi")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAL),
              label="EMAL")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAM),
              label="EMAM")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAS),
              label="EMAS")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAF),
              label="EMAF")

#customsig <- function(data) {
  sig <- data[, "EMA.EMAF"] > data[, "EMA.EMAS"] & data[, "EMA.EMAF"] > data[, "EMA.EMAM"] & data[, "rsi"] >50 & data[, "EMA.EMAM"] > data[, "EMA.EMAL"] & data[, "EMA.EMAS"] > data[, "EMA.EMAL"]  
  colnames(sig) <- "upSig"
  sig
}

#downsig <- function(data) {
  sig <- data[, "EMA.EMAF"] < data[, "EMA.EMAS"] & data[, "EMA.EMAF"] < data[, "EMA.EMAM"] & data[, "rsi"] <50 & data[, "EMA.EMAM"] < data[, "EMA.EMAL"] & data[, "EMA.EMAS"] < data[, "EMA.EMAL"]  
  colnames(sig) <- "downSig"
  sig
}



### Add Signal- Enter

add.signal(strategy.st, name="customsig",
           arguments=list(data = quote(mktdata)),
           label = "entersig")

add.signal(strategy.st, name="downsig",
           arguments=list(data = quote(mktdata)),
           label = "downsig.exitsig")

### Add rule - Enter

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="entersig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          threshold=NULL),
         type='enter',
         path.dep=TRUE)


### Add rule- Exit

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="downsig.exitsig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          pricemethod='market',
                          replace=FALSE),
         type='exit',
         path.dep=TRUE)

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


updatePortf(portfolio.st)
updateAcct(portfolio.st)
updateEndEq(account.st)

for(symbol in symbols) {
  chart.Posn(
    Portfolio=portfolio.st,
    Symbol=symbol,
    log=TRUE)
}