策略正在指标的第二个信号中执行 (Quantstrat)

Question

The strategy is based on RSI.

When RSI < 30, It's bought the instrument until RSI > 70

when RSI > 70, It's sold the instrument until RSI < 30

The strategy is configured to only take the first signal of a row of positives signals. It means that if there's 4 buying signals in a row, It only takes the first signal and waits until appears the selling signal, and the bullish position is closed and it's opened a new bearish position.

The problem is that entries are being executed only where second signal appears. Creating a gap between long and short positions.

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between lines 60-116, there are the add.rule methods used to entry in the positions. I can't find why the strategy is waiting to second signal shows up in order to gets executed.

Thank you Guys.

library(quantstrat)
library(blotter)
library(foreach)
library(quantmod)
library(PerformanceAnalytics)
library(FinancialInstrument)
library(TTR)
library(xts)
library(zoo)

symbolString <- 'USDCAD=X'
currency('USD')
stock( symbolString, currency = 'USD', multiplier = 1 )

# Load historical Data

initDate <- '2007-01-01'
startDate <- '2012-01-01'
endDate <- '2015-08-10'
init_equity <- 50000

Sys.setenv( TZ = 'UTC')
getSymbols( symbolString, from = startDate, to = endDate, adjust = TRUE, src = 'yahoo')
`USDCAD=X` <- na.omit(`USDCAD=X`)

# Define names for portfolio, account and strategy

portfolioName <- accountName <- strategyName <- 'firstPortfolio'
rm.strat(strategyName)

# Initializae portfolio and account, orderbook and strategy

initPortf( name = portfolioName, symbols = symbolString, initDate = initDate)
initAcct( name = accountName, portfolios = portfolioName, initDate = initDate, initEq = init_equity)
initOrders( portfolio = portfolioName, symbols = symbolString, initDate = initDate)
addPosLimit(strategyName, symbolString, initDate, 1000, 1)
strategy( strategyName, store = TRUE )

# Add RSI indicator
#
add.indicator( strategy = strategyName, name = 'RSI',
               arguments = list( price = quote(Cl(mktdata)), maType = "EMA"),
               label = 'RSI')

# Adding signals

# Long signal

add.signal(strategy = strategyName, name="sigThreshold",
           arguments = list(threshold=30, column="RSI",
                            relationship="lt",cross =TRUE),
           label="longSignal")

# Short signal
add.signal(strategy = strategyName, name="sigThreshold",
           arguments = list(threshold=70, column="RSI",
                            relationship="gt",cross =TRUE),
           label="shortSignal")

# Adding rules

# go Long 100 shares

add.rule( strategyName, name = 'ruleSignal',
          arguments = list( sigcol = "longSignal",
                            sigval = TRUE,
                            orderqty = 1000,
                            ordertype = "market",
                            orderside = "long",
                            osFUN = osMaxPos,
                            replace   = TRUE,
                            TxnFees   = -10),
          enabled = TRUE,
          type = 'enter',
          label = 'EnterLong')

# Close long positions

add.rule( strategyName, name = "ruleSignal",
          arguments = list( sigcol = "shortSignal",
                            sigval = TRUE,
                            orderside = "long",
                            ordertype = "market",
                            orderqty = "all",
                            TxnFees = -10,
                            replace = TRUE),
          enabled = TRUE,
          type = "exit",
          label = "ExitLong")
#
# # go short 100 shares

add.rule( strategyName, name = "ruleSignal",
          arguments = list( sigcol = "shortSignal",
                            sigval = TRUE,
                            orderqty = -1000,
                            ordertype = "market",
                            orderside = "short",
                            osFUN = osMaxPos,
                            replace = TRUE,
                            TxnFees = -10),
          type = 'enter',
          label = 'EnterShort')

# Closing short positions

add.rule( strategyName, name = "ruleSignal",
          arguments = list( sigcol = "longSignal",
                            sigval = TRUE,
                            orderside = "short",
                            ordertype = "market",
                            orderqty = "all",
                            TxnFees = -10,
                            replace = TRUE),
          type = "exit",
          label = "ExitShort")

# Applying strategy to portfolio
results <-  applyStrategy( strategy = strategyName, portfolios = portfolioName, symbols = symbolString)

# Updating portfolio

updatePortf( portfolioName)
dateRange <- time( getPortfolio(portfolioName)$summary)[-1]
updateAcct( portfolioName, dateRange)
updateEndEq(accountName)

chart.Posn( strategyName, "USDCAD=X")

Answer 1

Because you have a position limit defined with addPosLimit , you can use cross=FALSE in sigThreshold in add.signal . This way the signal will be true as long as the RSI is above/below your upper/lower threshold and not only when it crosses the threshold. However, its worth mentioning that you probably want to separate your entry signals from your exit signals. They are generally not optimal when used symmetrically. Hope this helps.