gistfile1.r

require(quantstrat)

# clean up
rm(list=ls(all=TRUE, pos=.blotter), pos=.blotter)
rm(list=ls(all=TRUE, pos=.instrument), pos=.instrument)
rm(list=ls(all=TRUE, pos=.strategy), pos=.strategy)

# set initial values
initDate <- '2011-08-05 06:00:00'
initEq   <- 10000

# set up instruments
currency('USD')
symbols <- c('SET')
stock('SET', 'USD')

# load data
SET    <- as.xts(read.zoo('SET.csv', header=TRUE, sep=',', tz=''))
SPREAD <- as.xts(read.zoo('SPREAD.csv', header=TRUE, sep=',', tz=''))

colnames(SET) <- 'SET'
colnames(SPREAD) <- 'SPREAD'

# initialize a strategy object
stratSynth <- strategy('synth')

# indicator
stratSynth <- add.indicator(strategy = stratSynth, name='merge', arguments=list(x=quote(mktdata), y=SPREAD), label='SPREAD')

# buy SET if SPREAD more than 0.5% negative
stratSynth <- add.signal(strategy = stratSynth, name='sigThreshold', arguments = list(column='SPREAD', threshold=-0.005, relationship='lt', cross=TRUE), label='buy_SET')
stratSynth <- add.rule(strategy = stratSynth, name='ruleSignal', arguments = list(sigcol='buy_SET', sigval=TRUE, symbol='SET', orderqty=100, ordertype='market', orderside='long', pricemethod='market', replace=FALSE), type='enter', path.dep=TRUE, parameters=list(symbol='SET'))

# sell SET if SPREAD more than 0.5% positive
stratSynth <- add.signal(strategy = stratSynth, name='sigThreshold', arguments = list(column='SPREAD', threshold=0.005, relationship='gt', cross=TRUE), label='sell_SET')
stratSynth <- add.rule(strategy = stratSynth, name='ruleSignal', arguments = list(sigcol='sell_SET', sigval=TRUE, symbol='SET', orderqty=100, ordertype='market', orderside='short', pricemethod='market', replace=FALSE), type='enter', path.dep=TRUE)

# close any open orders if we're in the middle
stratSynth <- add.signal(strategy = stratSynth, name='sigThreshold', arguments = list(column='SPREAD', threshold=-0.005, relationship='gte', cross=TRUE), label='close_buy_SET')
stratSynth <- add.rule(strategy = stratSynth, name='ruleSignal', arguments = list(sigcol='close_buy_SET', sigval=TRUE, symbol='SET', orderqty=100, ordertype='market', pricemethod='market', replace=FALSE), type='exit', path.dep=TRUE)
stratSynth <- add.signal(strategy = stratSynth, name='sigThreshold', arguments = list(column='SPREAD', threshold=0.005, relationship='lte', cross=TRUE), label='close_sell_SET')
stratSynth <- add.rule(strategy = stratSynth, name='ruleSignal', arguments = list(sigcol='close_sell_SET', sigval=TRUE, symbol='SET', orderqty=100, ordertype='market', pricemethod='market', replace=FALSE), type='exit', path.dep=TRUE)

portfolio.st <- 'synthPortfolio'
account.st   <- 'synthAcct'

# Initialize portfolio and account
initPortf(name=portfolio.st, symbols=symbols, initDate=initDate)
initAcct(name=account.st, portfolios=portfolio.st, initDate=initDate, initEq=initEq)
initOrders(portfolio=portfolio.st, symbols=symbols, initDate=initDate)

# process the indicators and generate trades
out <- applyStrategy(strategy=stratSynth, portfolios=portfolio.st)