rocema_example.R

require(quantstrat)

rm(list=ls())
try(rm(list=ls(pos=.blotter), pos=.blotter), silent=TRUE)
try(rm(list=ls(pos=.strategy), pos=.strategy), silent=TRUE)
try(rm(list=ls(pos=.instrument), pos=.instrument), silent=TRUE)

# settings
s        <- 'SPY'
initEq   <- 100000
initDate <- '2010-01-01'

fastMA   <- 50
slowMA   <- 100

# rocema indicator
ROCEMA <- function(x, nEMA=20, nROC=10) {
    return (ROC(EMA(x, nEMA), nROC))
}

# set currency
currency('USD')

# set instrument
stock(s, currency='USD', multiplier=1)

# get data
assign(s, adjustOHLC(getSymbols(s, from=initDate, auto.assign=F), use.Adjusted=TRUE))

# init portfolio and orders
initPortf(s, symbols=s, initDate=initDate)
initOrders(portfolio=s, initDate=initDate)

# set position limits
addPosLimit(portfolio=s, timestamp=initDate, symbol=s, maxpos=100)

# set up account
initAcct(s, portfolios=s, initDate=initDate, initEq=initEq)

# set up strategy
strat <- strategy(s)

# add indicators

# rocema
strat <- add.indicator(strategy=strat, name='ROCEMA', arguments=list(x=quote(Cl(mktdata))), label='rocema')

# fast ma
strat <- add.indicator(strategy=strat, name='SMA', arguments=list(x=quote(Cl(mktdata)), n=fastMA), label='fastma')

# slow ma
strat <- add.indicator(strategy=strat, name='SMA', arguments=list(x=quote(Cl(mktdata)), n=slowMA), label='slowma')

# add signals to strategy

# long
strat <- add.signal(strategy=strat, name='sigFormula', arguments=list(formula='(rocema > 0) & (fastma > slowma)'), label='long')

# short
strat <- add.signal(strategy=strat, name='sigFormula', arguments=list(formula='(rocema < 0) & (fastma < slowma)'), label='short')

# add rules

# long
strat <- add.rule(strategy=strat, name='ruleSignal', arguments=list(sigcol='long', sigval=TRUE, symbol=s, orderqty=100, ordertype='market', orderside='long', pricemethod='market', replace=FALSE, osFUN=osMaxPos), type='enter', path.dep=TRUE) # entry
strat <- add.rule(strategy=strat, name='ruleSignal', arguments=list(sigcol='long', sigval=FALSE, symbol=s, orderqty='all', ordertype='market', orderside='long', pricemethod='market', replace=FALSE), type='exit', path.dep=TRUE) # exit

# short
strat <- add.rule(strategy=strat, name='ruleSignal', arguments=list(sigcol='short', sigval=TRUE, symbol=s, orderqty=-100, ordertype='market', orderside='short', pricemethod='market', replace=FALSE, osFUN=osMaxPos), type='enter', path.dep=TRUE) # entry
strat <- add.rule(strategy=strat, name='ruleSignal', arguments=list(sigcol='short', sigval=FALSE, symbol=s, orderqty='all', ordertype='market', orderside='short', pricemethod='market', replace=FALSE), type='exit', path.dep=TRUE) # exit

# generate trades
out <- try(applyStrategy(strategy=strat, portfolios=s))

# example info
txns <- getTxns(Portfolio=s, Symbol=s)

cat('Net profit:', sum(txns$Net.Txn.Realized.PL), '\n')