[英]R: Quantstrat how to make a transaction for complete equity in portfolio?
我還在玩Guy Yollins quantstrat的例子。 在這個例子中,當他超過10天MA時,他購買了1000股SPY。 既然我們定義了初始股權,是否有可能總是購買整個投資組合金額而不僅僅是900股? 'all'不適用於入口,只是出口..
if (!exists('.blotter')) .blotter <- new.env()
if (!exists('.strategy')) .strategy <- new.env()
if (!exists('.instrument')) .instrument <- new.env()
currency("USD")
stock("SPY",currency="USD",multiplier=1)
ls(envir=FinancialInstrument:::.instrument)
initDate <- '1997-12-31'
startDate <- '1998-01-01'
endDate <- '2013-07-31'
initEq <- 1e6
Sys.setenv(TZ="UTC")
getSymbols('SPY', from=startDate, to=endDate, adjust=T)
SPY=to.monthly(SPY, indexAt='endof')
SPY$SMA10m <- SMA(Cl(SPY), 10)
# inz portfolio, account
qs.strategy <- "qsFaber"
rm.strat(qs.strategy) # remove strategy etc. if this is a re-run
initPortf(qs.strategy,'SPY', initDate=initDate)
initAcct(qs.strategy,portfolios=qs.strategy, initDate=initDate, initEq=initEq)
initOrders(portfolio=qs.strategy,initDate=initDate)
# instantiate a new strategy object
strategy(qs.strategy,store=TRUE)
add.indicator(strategy = qs.strategy, name = "SMA",
arguments = list(x = quote(Cl(mktdata)), n=10), label="SMA10")
add.signal(qs.strategy,name="sigCrossover",
arguments = list(columns=c("Close","SMA10"),relationship="gt"),
label="Cl.gt.SMA")
add.signal(qs.strategy,name="sigCrossover",
arguments = list(columns=c("Close","SMA10"),relationship="lt"),
label="Cl.lt.SMA")
add.rule(qs.strategy, name='ruleSignal',
arguments = list(sigcol="Cl.gt.SMA", sigval=TRUE, orderqty=900,
ordertype='market', orderside='long', pricemethod='market'),
type='enter', path.dep=TRUE)
add.rule(qs.strategy, name='ruleSignal',
arguments = list(sigcol="Cl.lt.SMA", sigval=TRUE, orderqty='all',
ordertype='market', orderside='long', pricemethod='market'),
type='exit', path.dep=TRUE)
out <- applyStrategy(strategy=qs.strategy , portfolios=qs.strategy)
updatePortf(qs.strategy)
updateAcct(qs.strategy)
updateEndEq(qs.strategy)
myTheme<-chart_theme()
myTheme$col$dn.col<-'lightblue'
myTheme$col$dn.border <- 'lightgray'
myTheme$col$up.border <- 'lightgray'
# plot performance
chart.Posn(qs.strategy, Symbol = 'SPY', Dates = '1998::',theme=myTheme)
plot(add_SMA(n=10,col=4, on=1, lwd=2))
您不能在條目上使用orderqty="all"
,因為"all"
指的是當前位置大小(即,當您想要退出整個位置時)。
可以購買等於總可用組合權益的金額,但您必須定義自定義訂單大小調整功能。 並且該功能必須標記該書(使用updatePortf
)以確定可用權益的數量。
我知道這個問題很久以前就已發布,但請查看包“IKTrading”和訂單大小調整功能“osMaxDollar”。 這是關於該主題的博客文章; 當您使用此訂單大小調整功能時,您可以設置每筆交易的美元價值和總頭寸。
這是一個實現你想要的玩具示例。
您需要引入訂單大小調整功能。
看一下函數ruleSignal
的參數(例如formals(ruleSignal)
和?ruleSignal
)。
您將看到有一個參數osFUN
,您可以在其中編寫自定義函數,以確定您如何訂購大小。
您可以在add.rule
修改相應的參數以引入訂單化(在進場交易中)。
osFUN_all_eq <- function (data, timestamp, orderqty, ordertype, orderside, equity, portfolio, symbol, ruletype, ..., initEq) {
datePos <- format(timestamp,"%Y-%m-%d")
updatePortf(Portfolio = portfolio, Symbol = symbol, Dates = paste0(start(data), "/", datePos))
trading_pl <- sum(.getPortfolio(portfolio)$summary$Net.Trading.PL)
# The total equity in the strategy for this symbol (and this symbol only in isolation always, as this is how quantstrat by default works with applyStrategy)
equity <- initEq + trading_pl
ClosePrice <- getPrice(data, prefer = "Close")[datePos]
UnitSize <- as.numeric(trunc(equity / ClosePrice))
UnitSize <- osMaxPos(data, timestamp, UnitSize, ordertype, orderside, portfolio, symbol, ruletype, digits=0)
UnitSize
}
library(quantstrat)
currency("USD")
stock("SPY",currency="USD",multiplier=1)
initDate <- '1997-12-31'
startDate <- '1998-01-01'
endDate <- '2013-07-31'
initEq <- 1e6
Sys.setenv(TZ="UTC")
getSymbols('SPY', from=startDate, to=endDate, adjust=T)
SPY=to.monthly(SPY, indexAt='endof')
SPY$SMA10m <- SMA(Cl(SPY), 10)
qs.strategy <- "qsFaber"
rm.strat(qs.strategy) # remove strategy etc. if this is a re-run
initPortf(qs.strategy,'SPY', initDate=initDate)
initAcct(qs.strategy,portfolios=qs.strategy, initDate=initDate, initEq=initEq)
initOrders(portfolio=qs.strategy,initDate=initDate)
# instantiate a new strategy object
strategy(qs.strategy,store=TRUE)
# Specify the max quantity you could hold in the SPY instrument. Here we simply assume 1e5 units. You could reduce this number to limit the exposure
max_qty_traded <- 1e5
addPosLimit(qs.strategy, "SPY", timestamp = startDate, maxpos = max_qty_traded)
add.indicator(strategy = qs.strategy, name = "SMA",
arguments = list(x = quote(Cl(mktdata)), n=10), label="SMA10")
add.signal(qs.strategy,name="sigCrossover",
arguments = list(columns=c("Close","SMA10"),relationship="gt"),
label="Cl.gt.SMA")
add.signal(qs.strategy,name="sigCrossover",
arguments = list(columns=c("Close","SMA10"),relationship="lt"),
label="Cl.lt.SMA")
add.rule(qs.strategy, name='ruleSignal',
arguments = list(sigcol="Cl.gt.SMA",
sigval=TRUE,
orderqty = 1, # the acutal orderqty size becomes redundant when supplying a function to the argument `osFUN`
osFUN = osFUN_all_eq,
ordertype='market', orderside='long', pricemethod='market'),
type='enter', path.dep=TRUE)
add.rule(qs.strategy, name='ruleSignal',
arguments = list(sigcol="Cl.lt.SMA",
sigval=TRUE,
orderqty='all', # flatten all open long positions
ordertype='market',
orderside='long',
pricemethod='market'),
type='exit',
path.dep=TRUE)
# supply initEq parameter and its value, which pass through to `osFUN`
out <- applyStrategy(strategy=qs.strategy , portfolios=qs.strategy, initEq=initEq)
updatePortf(qs.strategy)
updateAcct(qs.strategy)
updateEndEq(qs.strategy)
myTheme<-chart_theme()
myTheme$col$dn.col<-'lightblue'
myTheme$col$dn.border <- 'lightgray'
myTheme$col$up.border <- 'lightgray'
# plot performance
chart.Posn(qs.strategy, Symbol = 'SPY', Dates = '1998::',theme=myTheme)
plot(add_SMA(n=10,col=4, on=1, lwd=2))
在訂單大小調整功能中,您應該考慮以下幾點:
1)如果您已經開倉,您是否希望允許特定一側的“堆疊”/金字塔形位置? 例如,如果你想只有一個位置,你沒有進一步貢獻,你可以在getPosQty(qs.strategy, "SPY", timestamp)
包含getPosQty(qs.strategy, "SPY", timestamp)
,如果當前持有的位置不是0 0。
2)您想要最大交易量嗎? 這可以使用addPosLimit()
來處理,如上面的示例所示。
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