我是quantstrat的新手，我想用它来模拟我的策略，即基本上是布林带。当高级越过平均时，我的代码无法关闭未结头寸。
定义策略（信号/规则）的算法逻辑是：
我的xts 观察包含将要使用的所有系列： Observed.Close ， Premium ， Up < / strong>， Dwn ，平均。
观察数据和我的代码：
> Observed
Observed.Close Premium Up Dwn Avg
2015-06-26 3.1293 1.965206103 2.0527059 -1.5056387 0.2735335950
2015-06-29 3.1176 1.474362061 2.1247886 -1.4171072 0.3538407214
2015-06-30 3.1030 1.011736997 2.1689062 -1.3967265 0.3860898669
2015-07-01 3.1492 1.711709129 2.2667986 -1.3371877 0.4648054514
2015-07-02 3.0967 0.481718930 2.2727613 -1.3274414 0.4726599480
2015-07-03 3.1341 1.249455394 2.2682612 -1.3261065 0.4710773679
2015-07-06 3.1376 0.642722112 2.2174802 -1.3210587 0.4482107662
2015-07-07 3.1863 0.553009282 2.1123671 -1.2940353 0.4091659066
2015-07-08 3.2353 1.115494115 2.1592003 -1.2834765 0.4378618993
2015-07-09 3.2130 0.952882431 2.1922315 -1.2485792 0.4718261388
2015-07-10 3.1599 0.665690890 2.2048896 -1.2356460 0.4846218201
2015-07-13 3.1344 0.060862823 2.2047372 -1.2400712 0.4823329800
2015-07-14 3.1393 0.321069026 2.2023548 -1.1986208 0.5018670111
2015-07-15 3.1401 -0.236291845 2.1784579 -1.1417133 0.5183722920
2015-07-16 3.1568 0.139251221 2.0806787 -0.9452963 0.5676911948
2015-07-17 3.1881 0.620612235 1.9791898 -0.7194874 0.6298511901
2015-07-20 3.1958 0.189529583 1.9001714 -0.5685196 0.6658259294
2015-07-21 3.1716 -0.281733702 1.9072905 -0.5828426 0.6622239760
2015-07-22 3.2231 0.377200258 1.9024721 -0.5963551 0.6530584968
2015-07-23 3.2854 0.869682711 1.8167342 -0.3926226 0.7120558074
2015-07-24 3.3554 0.763388365 1.8161428 -0.3930004 0.7115711720
2015-07-27 3.3637 -0.149080328 1.8204624 -0.4690792 0.6756915849
2015-07-28 3.3567 0.637889087 1.8201526 -0.4694712 0.6753407023
2015-07-29 3.3314 -0.045153506 1.8164318 -0.4614529 0.6774894519
2015-07-30 3.3713 1.862338163 1.9326375 -0.4607578 0.7359398900
2015-07-31 3.4211 1.480222141 1.9896962 -0.4637566 0.7629698082
2015-08-03 3.4508 0.495918663 1.9781690 -0.4800864 0.7490412905
2015-08-04 3.4711 2.140586835 2.1054125 -0.5412551 0.7820787099
2015-08-05 3.4851 2.187488885 2.2239655 -0.5971571 0.8134042173
2015-08-06 3.5363 1.774638281 2.2836179 -0.6147908 0.8344135447
2015-08-07 3.5071 0.149059477 2.1786688 -0.6309181 0.7738753238
2015-08-10 3.4404 0.412479597 2.1236127 -0.6466542 0.7384792417
2015-08-11 3.4745 0.527214988 2.1055755 -0.6609185 0.7223285080
2015-08-12 3.4807 0.396682496 2.0145450 -0.6575564 0.6784942870
2015-08-13 3.5187 1.064117266 2.0390422 -0.6432271 0.6979075648
2015-08-14 3.4820 -0.247016300 2.0153374 -0.7192870 0.6480251750
2015-08-17 3.4810 -1.184774093 2.1094473 -0.9352301 0.5871086349
2015-08-18 3.4681 -1.212364308 2.1864729 -1.1299472 0.5282628485
2015-08-19 3.4926 -2.540271699 2.3911950 -1.5783870 0.4064039880
2015-08-20 3.4579 -1.968362932 2.4623598 -1.8443015 0.3090291426
2015-08-21 3.4998 -1.885025633 2.5160255 -2.0680150 0.2240052585
2015-08-24 3.5524 -1.918249920 2.5797446 -2.2636749 0.1580348337
2015-08-25 3.6172 -0.073792880 2.5672080 -2.2774624 0.1448727701
2015-08-26 3.5968 -0.654065425 2.5671136 -2.3052196 0.1309469841
2015-08-27 3.5526 -0.610844638 2.5571085 -2.3452209 0.1059437888
2015-08-28 3.5819 2.068485500 2.7023988 -2.3939864 0.1542062310
2015-08-31 3.6198 3.276461295 3.0488630 -2.5346551 0.2571039547
2015-09-01 3.6977 3.012968160 3.3252241 -2.5913694 0.3669273501
2015-09-02 3.7609 1.319458889 3.3770219 -2.5803500 0.3983359711
2015-09-03 3.7397 1.222954220 3.3992829 -2.5790596 0.4101116881
2015-09-04 3.8430 1.388474585 3.4389640 -2.5770682 0.4309478954
2015-09-07 3.8430 2.375363664 3.5963196 -2.5661276 0.5150960285
2015-09-08 3.8203 1.260535328 3.6288627 -2.5571609 0.5358509032
2015-09-09 3.7792 -0.913740775 3.6384359 -2.6246399 0.5068979942
2015-09-10 3.8499 -1.208280022 3.5534391 -2.7443510 0.4045440547
2015-09-11 3.8735 0.304095228 3.4879948 -2.7573152 0.3653398243
2015-09-14 3.8156 -0.824477698 3.4734482 -2.8307950 0.3213266123
2015-09-15 3.8625 1.928794976 3.4504366 -2.8219029 0.3142668836
2015-09-16 3.8286 2.441458663 3.4811182 -2.8356531 0.3227325429
2015-09-17 3.8986 3.571472359 3.7181269 -2.9528729 0.3826270121
2015-09-18 3.9446 3.297716378 3.9868045 -3.0116400 0.4875822422
2015-09-21 3.9851 2.407020170 4.1224922 -3.0143584 0.5540669280
2015-09-22 4.0504 2.445625463 4.2525916 -3.0165638 0.6180139438
2015-09-23 4.1790 1.414947088 4.2969844 -2.9930722 0.6519560969
2015-09-24 3.9370 0.142556643 4.2674254 -3.0249506 0.6212374095
2015-09-25 3.9765 0.543916266 4.2792205 -2.9840168 0.6476018283
2015-09-28 4.1106 1.102622777 4.2917663 -2.8440695 0.7238483906
2015-09-29 4.0608 3.146668217 4.4657099 -2.7274110 0.8691494748
2015-09-30 3.9471 1.002501203 4.3453160 -2.3708322 0.9872419049
2015-10-01 4.0098 0.207299529 4.2431416 -2.1236136 1.0597639869
2015-10-02 3.9325 0.257836640 4.1320883 -1.8697028 1.1311927293
2015-10-05 3.9115 -0.259679877 4.0108231 -1.6378663 1.1864783975
2015-10-06 3.8548 -0.229135670 4.0157575 -1.6531568 1.1813003044
2015-10-07 3.8857 -1.008262382 4.0383275 -1.6993401 1.1694937392
2015-10-08 3.7840 -0.827853080 4.0506966 -1.7261764 1.1622601245
2015-10-09 3.7662 -1.549022902 4.0721157 -1.9887627 1.0416765111
2015-10-12 3.7662 -1.182302729 3.9072692 -2.1211672 0.8930510436
2015-10-13 3.8931 -0.151540748 3.7150419 -2.1399071 0.7875674134
2015-10-14 3.8126 -1.394567527 3.7226588 -2.3284591 0.6970998662
2015-10-15 3.7994 -0.765332852 3.6955723 -2.4339250 0.6308236304
2015-10-16 3.9253 1.755707483 3.7232303 -2.4371008 0.6430647271
2015-10-19 3.8864 -0.005412208 3.5812295 -2.4538185 0.5637055313
2015-10-20 3.9053 1.240222611 3.5799145 -2.4538576 0.5630284407
2015-10-21 3.9399 0.481642094 3.5747994 -2.3557170 0.6095412030
2015-10-22 3.9070 0.595954568 3.5544745 -2.2151098 0.6696823560
2015-10-23 3.8771 -0.696022671 3.5614526 -2.2887624 0.6363450928
2015-10-26 3.9067 -0.097939430 3.5474039 -2.2262779 0.6605630350
2015-10-27 3.8884 -0.179690333 3.4519132 -2.2713528 0.5902801914
2015-10-28 3.9048 1.082021586 3.3272540 -2.2373228 0.5449656222
2015-10-29 3.8489 -0.227289592 2.9665999 -2.1299195 0.4183402238
2015-10-30 3.8568 0.272833919 2.6220541 -1.9870325 0.3175108085
2015-11-02 3.8568 0.300689669 2.4125588 -1.9179592 0.2472997918
2015-11-03 3.7694 -1.042205419 2.1792576 -1.9171801 0.1310387624
2015-11-04 3.8009 -0.700582164 2.0711547 -1.9501124 0.0605211207
2015-11-05 3.7802 -1.534101153 2.0973647 -2.0880996 0.0046325274
2015-11-06 3.7692 -1.330570385 2.0797085 -2.1954092 -0.0578503609
2015-11-09 3.7993 -0.612073064 1.9855301 -2.2155439 -0.1150068889
2015-11-10 3.7476 -1.570361354 1.4982723 -2.0427547 -0.2722412080
2015-11-11 3.7609 -0.918237575 1.3816348 -2.0541665 -0.3362658339
2015-11-12 3.7710 -0.360032867 1.3504101 -2.0607640 -0.3551769137
2015-11-13 3.8494 0.843071163 1.4118037 -2.0831419 -0.3356690963
2015-11-16 3.8190 -0.015521438 1.4236770 -2.0787380 -0.3275304817
2015-11-17 3.8138 -0.178323100 1.4258628 -2.0775363 -0.3258367293
2015-11-18 3.7648 -1.143696894 1.4293059 -2.0900083 -0.3303512130
2015-11-19 3.7177 -1.970379298 1.4828464 -2.2197173 -0.3684354203
2015-11-20 3.7080 -1.981097208 1.5126446 -2.2783204 -0.3828378971
2015-11-23 3.7323 -1.167446302 1.5122831 -2.2769685 -0.3823426829
2015-11-24 3.6990 -0.878883592 1.4944213 -2.3075962 -0.4065874444
2015-11-25 3.7450 -0.525190572 1.4872415 -2.2424579 -0.3776082126
2015-11-26 3.7430 -1.572016300 1.5061858 -2.3151811 -0.4044976608
2015-11-27 3.8467 0.413647231 1.3089202 -2.2073862 -0.4492330026
2015-11-30 3.8685 -0.446457318 1.2862198 -2.2140888 -0.4639345063
2015-12-01 3.8500 -0.700495892 1.1001380 -2.1573883 -0.5286251230
2015-12-02 3.8366 -0.420377493 1.0255951 -2.1429800 -0.5586924426
2015-12-03 3.7592 -2.162425617 0.9759674 -2.2772443 -0.6506384488
2015-12-04 3.7524 -1.897908529 0.9985287 -2.3799313 -0.6907013108
2015-12-07 3.7680 -0.268156500 0.9857446 -2.3784951 -0.6963752131
2015-12-08 3.7950 0.555521511 1.0620267 -2.4057630 -0.6718681516
2015-12-09 3.7502 -0.023184365 0.9144126 -2.3318293 -0.7087083500
2015-12-10 3.8134 0.280148176 0.9623660 -2.3459535 -0.6917937577
2015-12-11 3.8739 1.567306950 1.1690821 -2.4663714 -0.6486446567
2015-12-14 3.8733 -0.730348778 1.0990804 -2.4651056 -0.6830126049
2015-12-15 3.8710 0.857622984 1.2428005 -2.4821705 -0.6196849915
2015-12-16 3.8816 -1.199396846 1.2380302 -2.5106545 -0.6363121475
2015-12-17 3.8776 0.698808726 1.3420427 -2.4658063 -0.5618818182
2015-12-18 3.9833 1.647828074 1.5809573 -2.5061611 -0.4626018696
2015-12-21 4.0112 1.467803100 1.7670880 -2.5536334 -0.3932726642
2015-12-22 3.9886 1.320477177 1.9037072 -2.4975299 -0.2969113798
2015-12-23 3.9412 1.515472405 2.0679174 -2.4994928 -0.2157877138
2015-12-24 3.9420 1.716289282 2.2424613 -2.5356152 -0.1465769755
2015-12-25 3.9420 1.688648523 2.3379650 -2.5747472 -0.1183910635
2015-12-28 3.8594 -0.997041641 2.3256400 -2.6278568 -0.1511084036
2015-12-29 3.8649 0.188089543 2.3409104 -2.6186997 -0.1388946488
2015-12-30 3.9582 2.046467674 2.5407912 -2.6059028 -0.0325558299
2015-12-31 3.9640 2.582933285 2.7559608 -2.5175183 0.1192212562
2016-01-01 3.9640 2.121572573 2.8674074 -2.3554536 0.2559769155
2016-01-04 4.0391 2.152289688 3.0096318 -2.2763622 0.3666347819
2016-01-05 4.0084 0.971572282 3.0371844 -2.1805511 0.4283166444
2016-01-06 4.0295 1.853863615 3.1410698 -2.1258329 0.5076184506
2016-01-07 4.0441 1.363761742 3.1353008 -1.9243454 0.6054777187
2016-01-08 4.0248 0.890529765 3.1522020 -1.9094544 0.6213738032
2016-01-11 4.0534 -0.078758449 3.1465578 -1.8792969 0.6336304322
2016-01-12 4.0280 -1.184617382 3.1717497 -1.9367636 0.6174930492
2016-01-13 4.0152 -1.383070217 3.2166435 -2.0458369 0.5854032917
2016-01-14 3.9997 -0.606174520 3.1003405 -1.8257838 0.6372783283
2016-01-15 4.0483 -0.481316516 2.9961055 -1.6271094 0.6844980621
2016-01-18 4.0333 -0.880923406 3.0208986 -1.6927537 0.6640724986
2016-01-19 4.0643 -0.447985905 3.0220549 -1.7608104 0.6306222513
2016-01-20 4.0975 -0.728037769 3.0386534 -1.8243991 0.6071271379
2016-01-21 4.1548 0.286489957 3.0387483 -1.8240712 0.6073385306
2016-01-22 4.0934 -0.520269076 2.9749615 -1.8994562 0.5377526630
2016-01-25 4.0892 -0.620436957 2.9710559 -1.8882231 0.5414163904
2016-01-26 4.0514 -1.272880026 2.9848601 -2.0440609 0.4703996234
2016-01-27 4.1104 0.529935516 2.9621082 -1.9060201 0.5280440354
2016-01-28 4.0695 -0.365788116 2.9472741 -1.9621591 0.4925574740
2016-01-29 3.9991 -0.888213736 2.8727627 -2.0567172 0.4080227471
2016-02-01 3.9646 -0.318356773 2.7935068 -2.0965386 0.3484840846
2016-02-02 3.9910 -0.051768597 2.7237469 -2.1182617 0.3027425588
2016-02-03 3.8960 -1.151537473 2.6464162 -2.2187317 0.2138422296
2016-02-04 3.8899 -1.307516034 2.5385930 -2.3124955 0.1130487190
2016-02-05 3.9066 -1.256526416 2.4148118 -2.3850593 0.0148762211
2016-02-08 3.9066 -1.476647149 2.4328659 -2.4350872 -0.0011106292
2016-02-09 3.9066 -1.692138415 2.4456920 -2.5732618 -0.0637848945
2016-02-10 3.9295 -1.081713189 2.2363498 -2.5724650 -0.1680575899
2016-02-11 3.9925 0.316242386 1.9349288 -2.4221567 -0.2436139532
2016-02-12 4.0017 0.804481727 1.7417660 -2.3168000 -0.2875169814
2016-02-15 3.9973 0.596191436 1.5027630 -2.1815368 -0.3393869232
2016-02-16 4.0680 1.653877540 1.6075031 -2.2407900 -0.3166434146
2016-02-17 3.9895 -0.543827126 1.3450478 -2.1381807 -0.3965664393
2016-02-18 4.0294 0.704174652 1.2460574 -2.0831628 -0.4185526757
2016-02-19 4.0219 0.375323631 1.1829967 -2.0544492 -0.4357262135
2016-02-22 3.9459 -1.349452836 1.1682534 -2.1244187 -0.4780826930
2016-02-23 3.9586 -1.076238560 1.1659155 -2.1148556 -0.4744700656
2016-02-24 3.9577 -0.197325598 1.1716429 -2.0415333 -0.4349452450
2016-02-25 3.9565 -0.357598879 1.1788381 -2.0321569 -0.4266593903
2016-02-26 4.0007 -0.053616639 1.1986726 -2.0234781 -0.4124027277
2016-02-29 4.0163 0.173727893 1.2375459 -1.9920413 -0.3772476844
2016-03-01 3.9335 -2.093237169 1.3001281 -2.1643069 -0.4320893932
2016-03-02 3.8945 -2.571784512 1.4049666 -2.3920618 -0.4935476180
2016-03-03 3.7984 -3.290751806 1.5181302 -2.7437082 -0.6127890101
2016-03-04 3.7516 -3.126932239 1.6198580 -3.0192136 -0.6996777821
2016-03-07 3.7850 -2.557596088 1.6519965 -3.1804960 -0.7642497532
2016-03-08 3.7545 -0.586914375 1.6679179 -3.1506863 -0.7413842315
2016-03-09 3.6885 -3.361097208 1.6703319 -3.4125025 -0.8710853223
2016-03-10 3.6271 -2.079012644 1.6430604 -3.4994460 -0.9281928066
2016-03-11 3.5855 -0.526200873 1.6592984 -3.4915498 -0.9161257111
2016-03-14 3.6617 -1.163611935 1.6225427 -3.5111445 -0.9443008832
2016-03-15 3.7674 0.203375949 1.6449376 -3.5165298 -0.9357960650
2016-03-16 3.7422 -0.123362083 1.6946173 -3.4976644 -0.9015235520
2016-03-17 3.6276 -1.615663900 1.6934150 -3.5170053 -0.9117951476
2016-03-18 3.6248 -2.154775060 1.7002553 -3.5837288 -0.9417367690
2016-03-21 3.6182 -2.382728840 1.7156783 -3.6595573 -0.9719394920
2016-03-22 3.5803 -2.011436432 1.7193276 -3.6844931 -0.9825827593
2016-03-23 3.6854 -1.039122091 1.7205765 -3.6829026 -0.9811630560
2016-03-24 3.6771 -0.850682876 1.6376283 -3.6777495 -1.0200605647
2016-03-25 3.6771 -0.499577480 1.5120661 -3.6391245 -1.0635292049
2016-03-28 3.6280 -0.903713591 1.3858570 -3.6129091 -1.1135260391
2016-03-29 3.6383 -0.869539387 1.0760140 -3.4712939 -1.1976399367
2016-03-30 3.6065 -2.522360424 1.0460833 -3.5732654 -1.2635910466
2016-03-31 3.5928 -2.489158382 0.8572505 -3.5973214 -1.3700354811
代码：
library(quantstrat)
library(quantmod)
library(TTR)
library(PerformanceAnalytics)
library(tidyverse)
library(xts)
library(zoo)
###################################### Initial Setup ######################################
initDate <- '2015-06-28'
from <- '2015-06-29'
to <- '2016-03-31'
currency('USD')
Sys.setenv(TZ = 'UTC')
symbols <- "Observed"
stock(symbols, currency = 'USD', multiplier = 1)
Observed <- merge(DfDygraphPredictionObservedComps$Observed, DfDygraphPremium) %>% na.exclude(.)
Observed <- xts(x = Observed, order.by = as.POSIXct(index(Observed)))
Observed <- Observed[2451:nrow(Observed),]
colnames(Observed) <- c("Observed.Close","Premium","Up","Dwn","Avg")
###################################### Initial Setup Backtest ###############################
strat.name <- "FactorModelBT"
portfolio.st <- "FactorModelBT"
account.st <- "FactorModelBT"
rm.strat(strat.name)
rm.strat(portfolio.st)
initPortf(portfolio.st,
symbols = symbols,
initDate = initDate,
currency = 'USD')
initAcct(account.st,
portfolios = portfolio.st,
initDate = initDate,
currency = 'USD')
initOrders(portfolio.st,
initDate = initDate)
strategy(strat.name, store = TRUE)
###################################### Signals ##############################################
# Open Short
add.signal(strat.name,
name = "sigCrossover",
arguments = list(columns = c("Premium", "Up"), relationship = "gt"),
label = "Premium.gt.Upper.Band")
# Close Short
add.signal(strat.name,
name = "sigCrossover",
arguments = list(columns = c("Premium", "Avg"), relationship = "lte"),
label = "Premium.lte.Avg")
# Open Long
add.signal(strat.name,
name = "sigCrossover",
arguments = list(columns = c("Premium", "Dwn"), relationship = "lt"),
label = "Premium.lt.Lower.Band")
# Close Long
add.signal(strat.name,
name = "sigCrossover",
arguments = list(columns = c("Premium", "Avg"), relationship = "gte"),
label = "Premium.gte.Avg")
tmp <- applySignals(strategy = strat.name, mktdata = Observed)
################################ Trading Rules - Actions ###################################
# Open short Position
add.rule(strat.name,
name = "ruleSignal",
arguments = list(sigcol = "Premium.gt.Upper.Band",
sigval = TRUE,
orderqty = -1000,
ordertype = "market",
orderside = NULL,
threshold = NULL),
type = "enter",
label = "OpenShort",
path.dep = TRUE)
# Close short Position
add.rule(strat.name,
name = "ruleSignal",
arguments = list(sigcol = "Premium.lte.Avg",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "short",
replace = TRUE),
type = "exit",
label = "CloseShort",
path.dep = TRUE)
# Open Long Position
add.rule(strat.name,
name = "ruleSignal",
arguments = list(sigcol = "Premium.lt.Lower.Band",
sigval = TRUE,
orderqty = 1000,
ordertype = "market",
orderside = NULL,
threshold = NULL),
type = "enter",
label = "OpenLong",
path.dep = TRUE)
# Close Long Position
add.rule(strat.name,
name = "ruleSignal",
arguments = list(sigcol = "Premium.gte.Avg",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "long",
replace = TRUE),
type = "exit",
label = "CloseLong",
path.dep = TRUE)
################################ Apply Strategy ############################
out <- applyStrategy(strategy = strat.name, portfolios = portfolio.st)
#set up analytics
updatePortf(portfolio.st)
dateRange <- time(getPortfolio(portfolio.st)$summary)[-1]
updateAcct(portfolio.st,dateRange)
updateEndEq(account.st)
chart.Posn(portfolio.st, 'Observed')
任何帮助都会很棒!! ：）
答案 0 :(得分：3)
您的代码/策略没有严格的错误。您可以将输入规则中的orderside指定为“长”或“短”作为良好做法/可读性。
查看getOrderBook(portfolio.st)作为支票，显示输入/退出的多头和空头头寸。
更新
完全可重复的示例，在任何给定时间只能打开多头或空头头寸 - 不会将额外交易堆叠到现有头寸。
library(quantstrat)
library(quantmod)
library(TTR)
library(PerformanceAnalytics)
library(tidyverse)
library(xts)
library(zoo)
###################################### Initial Setup ######################################
initDate <- '2015-06-28'
from <- '2015-06-29'
to <- '2016-03-31'
currency('USD')
Sys.setenv(TZ = 'UTC')
symbols <- "Observed"
stock(symbols, currency = 'USD', multiplier = 1)
x <- read.table(text = "Observed.Close Premium Up Dwn Avg
2015-06-26 3.1293 1.965206103 2.0527059 -1.5056387 0.2735335950
2015-06-29 3.1176 1.474362061 2.1247886 -1.4171072 0.3538407214
2015-06-30 3.1030 1.011736997 2.1689062 -1.3967265 0.3860898669
2015-07-01 3.1492 1.711709129 2.2667986 -1.3371877 0.4648054514
2015-07-02 3.0967 0.481718930 2.2727613 -1.3274414 0.4726599480
2015-07-03 3.1341 1.249455394 2.2682612 -1.3261065 0.4710773679
2015-07-06 3.1376 0.642722112 2.2174802 -1.3210587 0.4482107662
2015-07-07 3.1863 0.553009282 2.1123671 -1.2940353 0.4091659066
2015-07-08 3.2353 1.115494115 2.1592003 -1.2834765 0.4378618993
2015-07-09 3.2130 0.952882431 2.1922315 -1.2485792 0.4718261388
2015-07-10 3.1599 0.665690890 2.2048896 -1.2356460 0.4846218201
2015-07-13 3.1344 0.060862823 2.2047372 -1.2400712 0.4823329800
2015-07-14 3.1393 0.321069026 2.2023548 -1.1986208 0.5018670111
2015-07-15 3.1401 -0.236291845 2.1784579 -1.1417133 0.5183722920
2015-07-16 3.1568 0.139251221 2.0806787 -0.9452963 0.5676911948
2015-07-17 3.1881 0.620612235 1.9791898 -0.7194874 0.6298511901
2015-07-20 3.1958 0.189529583 1.9001714 -0.5685196 0.6658259294
2015-07-21 3.1716 -0.281733702 1.9072905 -0.5828426 0.6622239760
2015-07-22 3.2231 0.377200258 1.9024721 -0.5963551 0.6530584968
2015-07-23 3.2854 0.869682711 1.8167342 -0.3926226 0.7120558074
2015-07-24 3.3554 0.763388365 1.8161428 -0.3930004 0.7115711720
2015-07-27 3.3637 -0.149080328 1.8204624 -0.4690792 0.6756915849
2015-07-28 3.3567 0.637889087 1.8201526 -0.4694712 0.6753407023
2015-07-29 3.3314 -0.045153506 1.8164318 -0.4614529 0.6774894519
2015-07-30 3.3713 1.862338163 1.9326375 -0.4607578 0.7359398900
2015-07-31 3.4211 1.480222141 1.9896962 -0.4637566 0.7629698082
2015-08-03 3.4508 0.495918663 1.9781690 -0.4800864 0.7490412905
2015-08-04 3.4711 2.140586835 2.1054125 -0.5412551 0.7820787099
2015-08-05 3.4851 2.187488885 2.2239655 -0.5971571 0.8134042173
2015-08-06 3.5363 1.774638281 2.2836179 -0.6147908 0.8344135447
2015-08-07 3.5071 0.149059477 2.1786688 -0.6309181 0.7738753238
2015-08-10 3.4404 0.412479597 2.1236127 -0.6466542 0.7384792417
2015-08-11 3.4745 0.527214988 2.1055755 -0.6609185 0.7223285080
2015-08-12 3.4807 0.396682496 2.0145450 -0.6575564 0.6784942870
2015-08-13 3.5187 1.064117266 2.0390422 -0.6432271 0.6979075648
2015-08-14 3.4820 -0.247016300 2.0153374 -0.7192870 0.6480251750
2015-08-17 3.4810 -1.184774093 2.1094473 -0.9352301 0.5871086349
2015-08-18 3.4681 -1.212364308 2.1864729 -1.1299472 0.5282628485
2015-08-19 3.4926 -2.540271699 2.3911950 -1.5783870 0.4064039880
2015-08-20 3.4579 -1.968362932 2.4623598 -1.8443015 0.3090291426
2015-08-21 3.4998 -1.885025633 2.5160255 -2.0680150 0.2240052585
2015-08-24 3.5524 -1.918249920 2.5797446 -2.2636749 0.1580348337
2015-08-25 3.6172 -0.073792880 2.5672080 -2.2774624 0.1448727701
2015-08-26 3.5968 -0.654065425 2.5671136 -2.3052196 0.1309469841
2015-08-27 3.5526 -0.610844638 2.5571085 -2.3452209 0.1059437888
2015-08-28 3.5819 2.068485500 2.7023988 -2.3939864 0.1542062310
2015-08-31 3.6198 3.276461295 3.0488630 -2.5346551 0.2571039547
2015-09-01 3.6977 3.012968160 3.3252241 -2.5913694 0.3669273501
2015-09-02 3.7609 1.319458889 3.3770219 -2.5803500 0.3983359711
2015-09-03 3.7397 1.222954220 3.3992829 -2.5790596 0.4101116881
2015-09-04 3.8430 1.388474585 3.4389640 -2.5770682 0.4309478954
2015-09-07 3.8430 2.375363664 3.5963196 -2.5661276 0.5150960285
2015-09-08 3.8203 1.260535328 3.6288627 -2.5571609 0.5358509032
2015-09-09 3.7792 -0.913740775 3.6384359 -2.6246399 0.5068979942
2015-09-10 3.8499 -1.208280022 3.5534391 -2.7443510 0.4045440547
2015-09-11 3.8735 0.304095228 3.4879948 -2.7573152 0.3653398243
2015-09-14 3.8156 -0.824477698 3.4734482 -2.8307950 0.3213266123
2015-09-15 3.8625 1.928794976 3.4504366 -2.8219029 0.3142668836
2015-09-16 3.8286 2.441458663 3.4811182 -2.8356531 0.3227325429
2015-09-17 3.8986 3.571472359 3.7181269 -2.9528729 0.3826270121
2015-09-18 3.9446 3.297716378 3.9868045 -3.0116400 0.4875822422
2015-09-21 3.9851 2.407020170 4.1224922 -3.0143584 0.5540669280
2015-09-22 4.0504 2.445625463 4.2525916 -3.0165638 0.6180139438
2015-09-23 4.1790 1.414947088 4.2969844 -2.9930722 0.6519560969
2015-09-24 3.9370 0.142556643 4.2674254 -3.0249506 0.6212374095
2015-09-25 3.9765 0.543916266 4.2792205 -2.9840168 0.6476018283
2015-09-28 4.1106 1.102622777 4.2917663 -2.8440695 0.7238483906
2015-09-29 4.0608 3.146668217 4.4657099 -2.7274110 0.8691494748
2015-09-30 3.9471 1.002501203 4.3453160 -2.3708322 0.9872419049
2015-10-01 4.0098 0.207299529 4.2431416 -2.1236136 1.0597639869
2015-10-02 3.9325 0.257836640 4.1320883 -1.8697028 1.1311927293
2015-10-05 3.9115 -0.259679877 4.0108231 -1.6378663 1.1864783975
2015-10-06 3.8548 -0.229135670 4.0157575 -1.6531568 1.1813003044
2015-10-07 3.8857 -1.008262382 4.0383275 -1.6993401 1.1694937392
2015-10-08 3.7840 -0.827853080 4.0506966 -1.7261764 1.1622601245
2015-10-09 3.7662 -1.549022902 4.0721157 -1.9887627 1.0416765111
2015-10-12 3.7662 -1.182302729 3.9072692 -2.1211672 0.8930510436
2015-10-13 3.8931 -0.151540748 3.7150419 -2.1399071 0.7875674134
2015-10-14 3.8126 -1.394567527 3.7226588 -2.3284591 0.6970998662
2015-10-15 3.7994 -0.765332852 3.6955723 -2.4339250 0.6308236304
2015-10-16 3.9253 1.755707483 3.7232303 -2.4371008 0.6430647271
2015-10-19 3.8864 -0.005412208 3.5812295 -2.4538185 0.5637055313
2015-10-20 3.9053 1.240222611 3.5799145 -2.4538576 0.5630284407
2015-10-21 3.9399 0.481642094 3.5747994 -2.3557170 0.6095412030
2015-10-22 3.9070 0.595954568 3.5544745 -2.2151098 0.6696823560
2015-10-23 3.8771 -0.696022671 3.5614526 -2.2887624 0.6363450928
2015-10-26 3.9067 -0.097939430 3.5474039 -2.2262779 0.6605630350
2015-10-27 3.8884 -0.179690333 3.4519132 -2.2713528 0.5902801914
2015-10-28 3.9048 1.082021586 3.3272540 -2.2373228 0.5449656222
2015-10-29 3.8489 -0.227289592 2.9665999 -2.1299195 0.4183402238
2015-10-30 3.8568 0.272833919 2.6220541 -1.9870325 0.3175108085
2015-11-02 3.8568 0.300689669 2.4125588 -1.9179592 0.2472997918
2015-11-03 3.7694 -1.042205419 2.1792576 -1.9171801 0.1310387624
2015-11-04 3.8009 -0.700582164 2.0711547 -1.9501124 0.0605211207
2015-11-05 3.7802 -1.534101153 2.0973647 -2.0880996 0.0046325274
2015-11-06 3.7692 -1.330570385 2.0797085 -2.1954092 -0.0578503609
2015-11-09 3.7993 -0.612073064 1.9855301 -2.2155439 -0.1150068889
2015-11-10 3.7476 -1.570361354 1.4982723 -2.0427547 -0.2722412080
2015-11-11 3.7609 -0.918237575 1.3816348 -2.0541665 -0.3362658339
2015-11-12 3.7710 -0.360032867 1.3504101 -2.0607640 -0.3551769137
2015-11-13 3.8494 0.843071163 1.4118037 -2.0831419 -0.3356690963
2015-11-16 3.8190 -0.015521438 1.4236770 -2.0787380 -0.3275304817
2015-11-17 3.8138 -0.178323100 1.4258628 -2.0775363 -0.3258367293
2015-11-18 3.7648 -1.143696894 1.4293059 -2.0900083 -0.3303512130
2015-11-19 3.7177 -1.970379298 1.4828464 -2.2197173 -0.3684354203
2015-11-20 3.7080 -1.981097208 1.5126446 -2.2783204 -0.3828378971
2015-11-23 3.7323 -1.167446302 1.5122831 -2.2769685 -0.3823426829
2015-11-24 3.6990 -0.878883592 1.4944213 -2.3075962 -0.4065874444
2015-11-25 3.7450 -0.525190572 1.4872415 -2.2424579 -0.3776082126
2015-11-26 3.7430 -1.572016300 1.5061858 -2.3151811 -0.4044976608
2015-11-27 3.8467 0.413647231 1.3089202 -2.2073862 -0.4492330026
2015-11-30 3.8685 -0.446457318 1.2862198 -2.2140888 -0.4639345063
2015-12-01 3.8500 -0.700495892 1.1001380 -2.1573883 -0.5286251230
2015-12-02 3.8366 -0.420377493 1.0255951 -2.1429800 -0.5586924426
2015-12-03 3.7592 -2.162425617 0.9759674 -2.2772443 -0.6506384488
2015-12-04 3.7524 -1.897908529 0.9985287 -2.3799313 -0.6907013108
2015-12-07 3.7680 -0.268156500 0.9857446 -2.3784951 -0.6963752131
2015-12-08 3.7950 0.555521511 1.0620267 -2.4057630 -0.6718681516
2015-12-09 3.7502 -0.023184365 0.9144126 -2.3318293 -0.7087083500
2015-12-10 3.8134 0.280148176 0.9623660 -2.3459535 -0.6917937577
2015-12-11 3.8739 1.567306950 1.1690821 -2.4663714 -0.6486446567
2015-12-14 3.8733 -0.730348778 1.0990804 -2.4651056 -0.6830126049
2015-12-15 3.8710 0.857622984 1.2428005 -2.4821705 -0.6196849915
2015-12-16 3.8816 -1.199396846 1.2380302 -2.5106545 -0.6363121475
2015-12-17 3.8776 0.698808726 1.3420427 -2.4658063 -0.5618818182
2015-12-18 3.9833 1.647828074 1.5809573 -2.5061611 -0.4626018696
2015-12-21 4.0112 1.467803100 1.7670880 -2.5536334 -0.3932726642
2015-12-22 3.9886 1.320477177 1.9037072 -2.4975299 -0.2969113798
2015-12-23 3.9412 1.515472405 2.0679174 -2.4994928 -0.2157877138
2015-12-24 3.9420 1.716289282 2.2424613 -2.5356152 -0.1465769755
2015-12-25 3.9420 1.688648523 2.3379650 -2.5747472 -0.1183910635
2015-12-28 3.8594 -0.997041641 2.3256400 -2.6278568 -0.1511084036
2015-12-29 3.8649 0.188089543 2.3409104 -2.6186997 -0.1388946488
2015-12-30 3.9582 2.046467674 2.5407912 -2.6059028 -0.0325558299
2015-12-31 3.9640 2.582933285 2.7559608 -2.5175183 0.1192212562
2016-01-01 3.9640 2.121572573 2.8674074 -2.3554536 0.2559769155
2016-01-04 4.0391 2.152289688 3.0096318 -2.2763622 0.3666347819
2016-01-05 4.0084 0.971572282 3.0371844 -2.1805511 0.4283166444
2016-01-06 4.0295 1.853863615 3.1410698 -2.1258329 0.5076184506
2016-01-07 4.0441 1.363761742 3.1353008 -1.9243454 0.6054777187
2016-01-08 4.0248 0.890529765 3.1522020 -1.9094544 0.6213738032
2016-01-11 4.0534 -0.078758449 3.1465578 -1.8792969 0.6336304322
2016-01-12 4.0280 -1.184617382 3.1717497 -1.9367636 0.6174930492
2016-01-13 4.0152 -1.383070217 3.2166435 -2.0458369 0.5854032917
2016-01-14 3.9997 -0.606174520 3.1003405 -1.8257838 0.6372783283
2016-01-15 4.0483 -0.481316516 2.9961055 -1.6271094 0.6844980621
2016-01-18 4.0333 -0.880923406 3.0208986 -1.6927537 0.6640724986
2016-01-19 4.0643 -0.447985905 3.0220549 -1.7608104 0.6306222513
2016-01-20 4.0975 -0.728037769 3.0386534 -1.8243991 0.6071271379
2016-01-21 4.1548 0.286489957 3.0387483 -1.8240712 0.6073385306
2016-01-22 4.0934 -0.520269076 2.9749615 -1.8994562 0.5377526630
2016-01-25 4.0892 -0.620436957 2.9710559 -1.8882231 0.5414163904
2016-01-26 4.0514 -1.272880026 2.9848601 -2.0440609 0.4703996234
2016-01-27 4.1104 0.529935516 2.9621082 -1.9060201 0.5280440354
2016-01-28 4.0695 -0.365788116 2.9472741 -1.9621591 0.4925574740
2016-01-29 3.9991 -0.888213736 2.8727627 -2.0567172 0.4080227471
2016-02-01 3.9646 -0.318356773 2.7935068 -2.0965386 0.3484840846
2016-02-02 3.9910 -0.051768597 2.7237469 -2.1182617 0.3027425588
2016-02-03 3.8960 -1.151537473 2.6464162 -2.2187317 0.2138422296
2016-02-04 3.8899 -1.307516034 2.5385930 -2.3124955 0.1130487190
2016-02-05 3.9066 -1.256526416 2.4148118 -2.3850593 0.0148762211
2016-02-08 3.9066 -1.476647149 2.4328659 -2.4350872 -0.0011106292
2016-02-09 3.9066 -1.692138415 2.4456920 -2.5732618 -0.0637848945
2016-02-10 3.9295 -1.081713189 2.2363498 -2.5724650 -0.1680575899
2016-02-11 3.9925 0.316242386 1.9349288 -2.4221567 -0.2436139532
2016-02-12 4.0017 0.804481727 1.7417660 -2.3168000 -0.2875169814
2016-02-15 3.9973 0.596191436 1.5027630 -2.1815368 -0.3393869232
2016-02-16 4.0680 1.653877540 1.6075031 -2.2407900 -0.3166434146
2016-02-17 3.9895 -0.543827126 1.3450478 -2.1381807 -0.3965664393
2016-02-18 4.0294 0.704174652 1.2460574 -2.0831628 -0.4185526757
2016-02-19 4.0219 0.375323631 1.1829967 -2.0544492 -0.4357262135
2016-02-22 3.9459 -1.349452836 1.1682534 -2.1244187 -0.4780826930
2016-02-23 3.9586 -1.076238560 1.1659155 -2.1148556 -0.4744700656
2016-02-24 3.9577 -0.197325598 1.1716429 -2.0415333 -0.4349452450
2016-02-25 3.9565 -0.357598879 1.1788381 -2.0321569 -0.4266593903
2016-02-26 4.0007 -0.053616639 1.1986726 -2.0234781 -0.4124027277
2016-02-29 4.0163 0.173727893 1.2375459 -1.9920413 -0.3772476844
2016-03-01 3.9335 -2.093237169 1.3001281 -2.1643069 -0.4320893932
2016-03-02 3.8945 -2.571784512 1.4049666 -2.3920618 -0.4935476180
2016-03-03 3.7984 -3.290751806 1.5181302 -2.7437082 -0.6127890101
2016-03-04 3.7516 -3.126932239 1.6198580 -3.0192136 -0.6996777821
2016-03-07 3.7850 -2.557596088 1.6519965 -3.1804960 -0.7642497532
2016-03-08 3.7545 -0.586914375 1.6679179 -3.1506863 -0.7413842315
2016-03-09 3.6885 -3.361097208 1.6703319 -3.4125025 -0.8710853223
2016-03-10 3.6271 -2.079012644 1.6430604 -3.4994460 -0.9281928066
2016-03-11 3.5855 -0.526200873 1.6592984 -3.4915498 -0.9161257111
2016-03-14 3.6617 -1.163611935 1.6225427 -3.5111445 -0.9443008832
2016-03-15 3.7674 0.203375949 1.6449376 -3.5165298 -0.9357960650
2016-03-16 3.7422 -0.123362083 1.6946173 -3.4976644 -0.9015235520
2016-03-17 3.6276 -1.615663900 1.6934150 -3.5170053 -0.9117951476
2016-03-18 3.6248 -2.154775060 1.7002553 -3.5837288 -0.9417367690
2016-03-21 3.6182 -2.382728840 1.7156783 -3.6595573 -0.9719394920
2016-03-22 3.5803 -2.011436432 1.7193276 -3.6844931 -0.9825827593
2016-03-23 3.6854 -1.039122091 1.7205765 -3.6829026 -0.9811630560
2016-03-24 3.6771 -0.850682876 1.6376283 -3.6777495 -1.0200605647
2016-03-25 3.6771 -0.499577480 1.5120661 -3.6391245 -1.0635292049
2016-03-28 3.6280 -0.903713591 1.3858570 -3.6129091 -1.1135260391
2016-03-29 3.6383 -0.869539387 1.0760140 -3.4712939 -1.1976399367
2016-03-30 3.6065 -2.522360424 1.0460833 -3.5732654 -1.2635910466
2016-03-31 3.5928 -2.489158382 0.8572505 -3.5973214 -1.3700354811")
Observed <- as.xts(x, dateFormat = "Date")
strat.name <- "FactorModelBT"
portfolio.st <- "FactorModelBT"
account.st <- "FactorModelBT"
rm.strat(strat.name)
rm.strat(portfolio.st)
initPortf(portfolio.st,
symbols = symbols,
initDate = initDate,
currency = 'USD')
initAcct(account.st,
portfolios = portfolio.st,
initDate = initDate,
currency = 'USD')
initOrders(portfolio.st,
initDate = initDate)
strategy(strat.name, store = TRUE)
###################################### Signals ##############################################
# Add position constraints for all symbols traded
for (sym in symbols)
addPosLimit(portfolio.st, sym, start(Observed), 30)
# Open Short
add.signal(strat.name,
name = "sigCrossover",
arguments = list(columns = c("Premium", "Up"), relationship = "gt"),
label = "Premium.gt.Upper.Band")
# Close Short
add.signal(strat.name,
name = "sigCrossover",
arguments = list(columns = c("Premium", "Avg"), relationship = "lte"),
label = "Premium.lte.Avg")
# Open Long
add.signal(strat.name,
name = "sigCrossover",
arguments = list(columns = c("Premium", "Dwn"), relationship = "lt"),
label = "Premium.lt.Lower.Band")
# Close Long
add.signal(strat.name,
name = "sigCrossover",
arguments = list(columns = c("Premium", "Avg"), relationship = "gte"),
label = "Premium.gte.Avg")
tmp <- applySignals(strategy = strat.name, mktdata = Observed)
################################ Trading Rules - Actions ###################################
# Open short Position
add.rule(strat.name,
name = "ruleSignal",
arguments = list(sigcol = "Premium.gt.Upper.Band",
sigval = TRUE,
orderqty = -1000,
ordertype = "market",
orderside = NULL,
osFUN = osMaxPos, # Add position sizing function here
threshold = NULL),
type = "enter",
label = "OpenShort",
path.dep = TRUE)
# Close short Position
add.rule(strat.name,
name = "ruleSignal",
arguments = list(sigcol = "Premium.lte.Avg",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "short",
replace = TRUE),
type = "exit",
label = "CloseShort",
path.dep = TRUE)
# Open Long Position
add.rule(strat.name,
name = "ruleSignal",
arguments = list(sigcol = "Premium.lt.Lower.Band",
sigval = TRUE,
orderqty = 1000,
ordertype = "market",
orderside = NULL,
osFUN = osMaxPos, # Add position sizing function here
threshold = NULL),
type = "enter",
label = "OpenLong",
path.dep = TRUE)
# Close Long Position
add.rule(strat.name,
name = "ruleSignal",
arguments = list(sigcol = "Premium.gte.Avg",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "long",
replace = TRUE),
type = "exit",
label = "CloseLong",
path.dep = TRUE)
################################ Apply Strategy ############################
out <- applyStrategy(strategy = strat.name, portfolios = portfolio.st)
#set up analytics
updatePortf(portfolio.st)
dateRange <- time(getPortfolio(portfolio.st)$summary)[-1]
updateAcct(portfolio.st,dateRange)
updateEndEq(account.st)
chart.Posn(portfolio.st, 'Observed')