luxor.p3_2.R

#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - June 2012
#
# Tested and found to work correctly using blotter r1082
#
# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# Paragraph 3.2: luxor without any optimizations, but with $30 tnx costs + slippage

.qty=100000
.th=0.0005
.txn=-30
#.txn=0

initDate = '2002-10-21'
#.from='2002-10-21'
.from='2002-10-21'
#.to='2008-07-04'
.to='2002-10-31'

####

p = 'forex'
a = 'IB1'

options(width = 240)
#Sys.setenv(TZ="GMT")

###

require(quantstrat)

currency(c('GBP', 'USD'))

exchange_rate(c('GBPUSD'), tick_size=0.0001)

#setSymbolLookup.FI('~/R.symbols/', 'GBPUSD')
#setSymbolLookup.FI('../sandbox/', 'GBPUSD')

###

getSymbols('GBPUSD', from=.from, to=.to, verbose=FALSE)
GBPUSD = to.minutes30(GBPUSD)
GBPUSD = align.time(to.minutes30(GBPUSD), 1800)

###

initPortf(p, symbols='GBPUSD', initDate=initDate, currency='USD')
initAcct(a, portfolios=p, initDate=initDate, currency='USD')

###

initOrders(p, initDate=initDate)

### strategy ######################################################################

s <- strategy(p)

### indicators

s <- add.indicator(s, name = "SMA",
                   arguments = list(
                     x = quote(Cl(mktdata)),
                     n = 10
                   ),
                   label="SmaFAST"
)

s <- add.indicator(s, name="SMA",
                   arguments = list(
                     x = quote(Cl(mktdata)),
                     n=30
                   ),
                   label="SmaSLOW"
)

### signals

s <- add.signal(s, 'sigCrossover',
                arguments = list(
                  columns=c("SmaFAST","SmaSLOW"),
                  relationship="gte"
                ),
                label='long'
)

s <- add.signal(s, 'sigCrossover',
                arguments = list(
                  columns=c("SmaFAST","SmaSLOW"),
                  relationship="lt"
                ),
                label='short'
)

### rules

s <- add.rule(s, 'ruleSignal',
              arguments=list(sigcol='long' , sigval=TRUE,
                             replace=TRUE,
                             orderside='short',
                             ordertype='market',
                             TxnFees=.txn,
                             orderqty='all',
                             orderset='ocoshort'
              ),
              type='exit',
              label='Exit2LONG'
)

s <- add.rule(s, 'ruleSignal',
              arguments=list(sigcol='short', sigval=TRUE,
                             replace=TRUE,
                             orderside='long' ,
                             ordertype='market',
                             TxnFees=.txn,
                             orderqty='all',
                             orderset='ocolong'
              ),
              type='exit',
              label='Exit2SHORT')

s <- add.rule(s, 'ruleSignal',
              arguments=list(sigcol='long' , sigval=TRUE,
                             replace=FALSE,
                             orderside='long' ,
                             ordertype='stoplimit',
                             prefer='High',
                             threshold=.th,
                             TxnFees=0,
                             orderqty=+.qty,
                             orderset='ocolong'
              ),
              type='enter',
              label='EnterLONG'
)

s <- add.rule(s, 'ruleSignal',
              arguments=list(sigcol='short', sigval=TRUE,
                             replace=FALSE,
                             orderside='short',
                             ordertype='stoplimit',
                             prefer='Low',
                             threshold=-.th,
                             TxnFees=0,
                             orderqty=-.qty,
                             orderset='ocoshort'
              ),
              type='enter',
              label='EnterSHORT'
)

#

###############################################################################

#applyStrategy(s, p, prefer='Open', verbose = FALSE)
applyStrategy(s, p, verbose = FALSE)

updatePortf(p, Symbols='GBPUSD', ,Dates=paste('::',as.Date(Sys.time()),sep=''), Prices=GBPUSD)

###############################################################################

chart.Posn(p, "GBPUSD")

print(getOrderBook(p))

txns <- getTxns(p, 'GBPUSD')
txns
##txns$Net 
cat('Net profit:', sum(txns$Net.Txn.Realized.PL), '\n')

tradeStats(p, 'GBPUSD')