结合闪亮与Quantstrat回测
我正试图制作一个使用Quantstrat的Web应用程序。但是，我很难将两者整合在一起。没有相关文档，因此很难找到起点。这是我现在拥有的代码。如果您能让我知道我做错了，将不胜感激。谢谢
library(shiny)
library(devtools)
library(quantmod)
library(quantstrat)
library(TTR)
library(png)
library(dplyr)
Sys.setenv(TZ = "UTC")
currency('USD')
ui <- fluidPage(
# Application title
titlePanel("myfirst"),
sidebarLayout(
sidebarPanel(
selectInput(
"stocks", label = "chose stock", choices =
c("AAPL", "CAT")
),
dateInput("init_date", "chose init date",
value = Sys.Date() -100),
dateInput("start_date", "chose start date",
value = Sys.Date() - 99),
dateInput("end_date", "chose end date",
value = Sys.Date()),
selectInput("init_equity", "starting
equity", choices = c(1000, 50000))
),
mainPanel(
plotOutput("plot"),
textOutput("text")
)
)
)
server <- function(input, output) {
init_date = reactive({
input$init_date
})
start_date = reactive({
input$start_date
})
end_date = reactive({
input$end_date
})
init_equity = reactive({
input$init_equity
})
V = reactive({
getSymbols(input$stocks, from = start_date(),
to = end_date(), index.class = "POSIXct",
adjust = T)
})
observe({
stock(input$stocks, currency = "USD", multiplier
= 1)
})
portfolio.st = account.st = strategy.st =
"my.first"
rm.strat(portfolio.st)
rm.strat(account.st)
observe({
initPortf(name = portfolio.st,
symbols = "V",
initDate = init_date())
initAcct(name = account.st,
portfolios = portfolio.st,
initDate = init_date(),
initEq = init_equity())
initOrders(portfolio = portfolio.st,
symbols = "V",
initDate = init_date()
)
strategy(strategy.st, store = T)
})
observe({ add.indicator(strategy = strategy.st,
name = "SMA",
arguments = list(x =
quote(Cl(mktdata)),
n = 10),
label = "nFast")
add.indicator(strategy = strategy.st,
name = "SMA",
arguments = list(x =
quote(Cl(mktdata)),
n = 30),
label = "nSlow")
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "gte"),
label = "long")
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "lt"),
label = "short")
add.rule(strategy = strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderqty = 100,
ordertype = "stoplimit",
orderside = "long",
threshold = 0.0005,
prefer = "High",
TxnFees = -10,
replace = FALSE),
type = "enter",
label = "EnterLONG")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderqty = -100,
ordertype = "stoplimit",
threshold = -0.005,
orderside = "short",
replace = FALSE,
TxnFees = -10,
prefer = "Low"),
type = "enter",
label = "EnterSHORT")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderside = "long",
ordertype = "market",
orderqty = "all",
TxnFees = -10,
replace = TRUE),
type = "exit",
label = "Exit2SHORT")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderside = "short",
ordertype = "market",
orderqty = "all",
TxnFees = -10,
replace = TRUE),
type = "exit",
label = "Exit2LONG")
applyStrategy(strategy.st, portfolios = portfolio.st)
updatePortf(portfolio.st)
updateAcct(account.st)
updateEndEq(account.st)
})
output$plot = reactive(
chart.Posn(portfolio.st, Symbol = "V")
)
}
# Run the application
shinyApp(ui = ui, server = server)
1 个答案:
答案 0 :(得分：2)
有趣的想法。由于所交易产品的市场数据如何存储在本地环境中的变量名称与其代码/交易代码相同的性质，您要尝试的操作有点挑战。
此外，您的闪亮应用程序还具有一些独特之处；请注意如何使用reactive({，isolate({和其他服务器组件。例如，当您拥有
start_date = reactive({
input$start_date
})`
那是多余的。
这里是一个示例，它可以实现您想要实现的目标。我尽力使变量名与您的示例保持一致。
您可能想重新考虑您的工作流程：我认为您应该在quantstrat中独立于闪亮运行大量仿真，然后将结果保存到磁盘。然后，在启动Shiny应用程序时从磁盘加载这些结果。尽管如此，该示例还是有望解决您所遇到的任何困惑。
此外，您应该注意通过getSymbols向yahoo请求数据的频率。我下面要做的是仅在应用程序首次启动时请求一次数据，并将市场数据存储在名为rawdata的环境中的符号中。然后，如果停止并再次重新启动应用程序，则不会继续向yahoo请求数据（这可能会在一段时间内限制您可以下载的数量，从而给您带来错误）。
# Could put these in global.R, these global variables are "hard coded" ----------------
min_date_barrier <- "2012-01-01"
max_date_barrier <- "2019-04-17"
stock_universe <- c("AAPL", "CAT", "BB")
# These variables won't change when the app launches, so hard code them too:
Sys.setenv(TZ = "UTC")
currency('USD')
stock(stock_universe, currency = "USD", multiplier = 1)
portfolio.st <- account.st <- strategy.st <- "my.first"
# In here, store the original market data which contains your full range of possible values for the market data:
# Don't keep requesting data frequently otherwise you won't be able to download the data temporarily.
if (!exists("rawdata")) {
rawdata <- new.env()
assign("rawdata", rawdata, envir = .GlobalEnv)
lapply(stock_universe, function(sym) {
# if (exists(sym, envir = rawdata)) {
# message("Have already downloaded data for ", sym)
# return()
# } else {
getSymbols(stock_universe,
env = rawdata, # important to specify environment
from = min_date_barrier,
to = max_date_barrier,
adjust = T, auto.assign = TRUE)
#}
return()
})
}
# UI ----------------------------------------------------------------------
ui <- fluidPage(
# Application title
titlePanel("myfirst"),
sidebarLayout(
sidebarPanel(
selectInput(
"stock", label = "Choose stock", choices = stock_universe
),
dateInput("start_date", "Choose start date",
value = "2018-02-03"),
dateInput("end_date", "Choose end date",
value = "2019-04-10"),
selectInput("init_equity", "starting
equity", choices = c(1000, 50000))
),
mainPanel(
plotOutput("plot_backtest"),
verbatimTextOutput("results")
)
)
)
# server ------------------------------------------------------------------
server <- function(input, output, session) {
# all your reactives don't make sense -- only use the inputs when you need them on the server side
backtest_setup <- reactive({
# need these input variables in this reactive to avoid bugs in the app when you change the time range:
input$start_date
input$end_date
rm.strat(portfolio.st, silent = FALSE)
initPortf(name = portfolio.st,
symbols = input$stock, #------------------------ correct way to apply the "stock" input
initDate = "2000-01-01")
initAcct(name = account.st,
portfolios = portfolio.st,
initDate = "2000-01-01",
initEq = as.numeric(input$init_equity)) # convert equity to numeric from string
initOrders(portfolio = portfolio.st,
symbols = input$stock, # ----------------------------------
initDate = "2000-01-01"
)
strategy(strategy.st, store = T)
add.indicator(strategy = strategy.st,
name = "SMA",
arguments = list(x =
quote(Cl(mktdata)),
n = 10),
label = "nFast")
add.indicator(strategy = strategy.st,
name = "SMA",
arguments = list(x =
quote(Cl(mktdata)),
n = 30),
label = "nSlow")
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "gte"),
label = "long")
add.signal(strategy = strategy.st,
name="sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "lt"),
label = "short")
add.rule(strategy = strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderqty = 100,
ordertype = "stoplimit",
orderside = "long",
threshold = 0.0005,
prefer = "High",
TxnFees = -10,
replace = FALSE),
type = "enter",
label = "EnterLONG")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderqty = -100,
ordertype = "stoplimit",
threshold = -0.005,
orderside = "short",
replace = FALSE,
TxnFees = -10,
prefer = "Low"),
type = "enter",
label = "EnterSHORT")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "short",
sigval = TRUE,
orderside = "long",
ordertype = "market",
orderqty = "all",
TxnFees = -10,
replace = TRUE),
type = "exit",
label = "Exit2SHORT")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "long",
sigval = TRUE,
orderside = "short",
ordertype = "market",
orderqty = "all",
TxnFees = -10,
replace = TRUE),
type = "exit",
label = "Exit2LONG")
})
V <- reactive({
validate(need(input$start_date >= as.Date(min_date_barrier), "start date cannot be less than hard coded min_date_barrier"))
validate(need(input$end_date <= as.Date(max_date_barrier), "end date cannot be greater than hard coded max_date_barrier"))
validate(need(as.Date(input$start_date) < as.Date(input$end_date), "start date must be less than end date."))
# assign symbol market data to the global environment for the range of dates you want:
time_rng <- paste0(input$start_date, "/", input$end_date)
mdata <- get(input$stock, envir = rawdata)
mdata <- mdata[time_rng]
validate(need(NROW(mdata) > 0, "no data available, choose an appropriate time range"))
mdata
})
backtest_results <- reactive({
backtest_setup()
mdata <- V()
assign(input$stock, mdata, envir = .GlobalEnv)
# not supplying mktdata as a parameter, so look in global environment for objects with the symbol names (which will exist because V assigns to .GlobalEnv):
applyStrategy(strategy.st, portfolios = portfolio.st)
# alternatively you could pass in the data directly to apply strategy if you're just using one symbol of data in the applyStrategy call, instead of having applyStrategy directly search in the .GlobalEnv for the symbol name
#applyStrategy(strategy.st, portfolios = portfolio.st, mktdata = mdata)
updatePortf(portfolio.st)
updateAcct(account.st)
updateEndEq(account.st)
})
output$plot_backtest = renderPlot({
backtest_results()
chart.Posn(portfolio.st, Symbol = input$stock)
})
output$results = renderPrint({
backtest_setup()
tmpdata <- V() # need this here so that any changes to the inputs will reprint the trade stats table
print(tradeStats(portfolio.st))
})
}
# Run the application
shinyApp(ui = ui, server = server)
该应用将如下所示：
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