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I noticed that Quantstrat typically takes indicators that are based on price. However, I would like to load several indicators that have been externally calculated along with the price data. For instance, I have 2 extra columns in a csv file that contain my indicators (numbered 1-9). I want to generate a signal based on the numbers in these columns.
Thus far, I have been unable to get Quantstrat to read the columns in the csv file. I've attached my code below:
library(quantmod)
library(quantstrat)
library(PerformanceAnalytics)
library(foreach)
library(FinancialInstrument)
getSymbols("SPY", from = "2015-12-21", to = "2016-12-20", src = "yahoo", adjust =TRUE)
read.csv("/Users/tylerdrust/Downloads/2016 Demark Indicators.csv",
stringsAsFactors = FALSE)
Date Open High Low Close Volume Adj.Close TD.Sell.Count TD.Buy.Count
1 12/21/15 201.41 201.88 200.09 201.67 99094300 197.43 0 0
2 12/22/15 202.72 203.85 201.55 203.50 111026200 199.22 0 0
3 12/23/15 204.69 206.07 204.58 206.02 110987200 201.69 0 0
4 12/24/15 205.72 206.33 205.42 205.68 48539600 201.36 0 0
5 12/28/15 204.86 205.26 203.94 205.21 65899900 200.90 1 0
6 12/29/15 206.51 207.79 206.47 207.40 92640700 203.04 2 0
7 12/30/15 207.11 207.21 205.76 205.93 63317700 201.60 0 1
8 12/31/15 205.13 205.89 203.87 203.87 102929500 199.58 0 2
9 1/4/16 200.49 201.03 198.59 201.02 222353500 196.79 0 3
10 1/5/16 201.40 201.90 200.05 201.36 110845800 197.13 0 4
11 1/6/16 198.34 200.06 197.60 198.82 152112600 194.64 0 5
12 1/7/16 195.33 197.44 193.59 194.05 213436100 189.97 0 6
13 1/8/16 195.19 195.85 191.58 191.92 209817200 187.89 0 7
14 1/11/16 193.01 193.41 189.82 192.11 187941300 188.07 0 8
15 1/12/16 193.82 194.55 191.14 193.66 172330500 189.59 0 9
16 1/13/16 194.45 194.86 188.38 188.83 221168900 184.86 0 10
17 1/14/16 189.55 193.26 187.66 191.93 240795600 187.90 1 0
18 1/15/16 186.77 188.76 185.52 187.81 314240200 183.86 0 1
19 1/19/16 189.96 190.11 186.20 188.06 195244400 184.11 0 2
20 1/20/16 185.03 187.50 181.02 185.65 286547800 181.75 0 3
21 1/21/16 186.21 188.87 184.64 186.69 195772900 182.77 0 4
22 1/22/16 189.78 190.76 188.88 190.52 168319600 186.51 1 0
23 1/25/16 189.92 190.15 187.41 187.64 130371700 183.70 0 1
24 1/26/16 188.42 190.53 188.02 190.20 141036800 186.20 1 0
25 1/27/16 189.58 191.56 187.06 188.13 185681700 184.18 2 0
26 1/28/16 189.96 190.20 187.16 189.11 143798800 185.13 0 1
27 1/29/16 190.02 193.88 189.88 193.72 210529300 189.65 1 0
28 2/1/16 192.53 194.58 191.84 193.65 136061600 189.58 2 0
29 2/2/16 191.96 191.97 189.54 190.16 182564900 186.16 3 0
30 2/3/16 191.41 191.78 187.10 191.30 205054900 187.28 4 0
31 2/4/16 190.71 192.75 189.96 191.60 139531800 187.57 0 1
32 2/5/16 190.99 191.67 187.20 187.95 180788300 184.00 0 2
33 2/8/16 185.77 186.12 182.80 185.42 191526700 181.52 0 3
34 2/9/16 183.36 186.94 183.20 185.43 184513100 181.53 0 4
35 2/10/16 186.41 188.34 185.12 185.27 148214100 181.38 0 5
36 2/11/16 182.34 184.10 181.09 182.86 219058900 179.02 0 6
37 2/12/16 184.96 186.65 183.96 186.63 127632400 182.71 1 0
38 2/16/16 188.77 189.81 187.63 189.78 120250700 185.79 2 0
39 2/17/16 191.16 193.32 191.01 192.88 136009500 188.83 3 0
40 2/18/16 193.20 193.27 191.72 192.09 102343000 188.05 4 0
41 2/19/16 191.17 192.18 190.45 192.00 114793000 187.96 5 0
42 2/22/16 193.87 194.95 193.79 194.78 103640300 190.69 6 0
43 2/23/16 194.00 194.32 192.18 192.32 111455300 188.28 0 1
44 2/24/16 190.63 193.53 189.32 193.20 150812200 189.14 1 0
45 2/25/16 193.73 195.55 192.83 195.54 110728300 191.43 2 0
46 2/26/16 196.57 196.68 194.90 195.09 129833700 190.99 3 0
47 2/29/16 195.11 196.23 193.33 193.56 125918100 189.49 4 0
48 3/1/16 195.01 198.21 194.45 198.11 141799700 193.95 5 0
49 3/2/16 197.74 199.06 197.25 199.00 102415000 194.82 6 0
50 3/3/16 198.79 199.80 198.11 199.78 95172200 195.58 7 0
51 3/4/16 200.01 201.35 199.03 200.43 129293600 196.22 8 0
52 3/7/16 199.34 201.07 199.25 200.59 100219000 196.37 9 0
# Create initdate, from, and to charater strings
initdate <- "2015-12-21"
from <- "2015-12-22"
to <- "2016-12-20"
# Set the timezone to UTC
Sys.setenv(TZ = "UTC")
# Set the currency to USD
currency("USD")
stock("SPY", currency = "USD")
# Define your trade size and initial equity
tradesize <- 100000
initeq <- 100000
# Define the names of your strategy, portfolio and account
strategy.st <- "firststrat"
portfolio.st <- "firststrat"
account.st <- "firststrat"
# Remove the existing strategy if it exists
rm.strat(strategy.st)
# initialize the portfolio
initPortf(portfolio.st, symbols = "SPY", initDate = initdate, currency = "USD")
# initialize the account
initAcct(account.st, portfolios = portfolio.st, initDate = initdate, currency = "USD", initEq = initeq)
# initialize the orders
initOrders(portfolio.st, initDate = initdate)
# store the strategy
strategy(strategy.st, store = TRUE)
add.signal(strategy.st, name = "sigThreshold", arguments = list(column ="TD.Buy.Count",
threshold = 8, relationship = "gt", cross = TRUE), label = "thresholdentry")
[1] "firststrat"
add.signal(strategy.st, name = "sigThreshold", arguments = list(column ="TD.Sell.Count",
threshold = 8, relationship = "gt", cross = TRUE), label = "thresholdexit")
[1] "firststrat"
add.rule(strategy.st, name = "ruleSignal", arguments = list(sigcol = "thresholdentry",
sigval = TRUE, ordertype = "market", orderside = "long", replace = FALSE, prefer = "Open", osFUN = osMaxPos, tradeSize = tradesize, maxSize = tradesize), type = "enter")
[1] "firststrat"
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "thresholdexit", sigval = TRUE, orderqty = "all", ordertype = "market", orderside = "long", replace = FALSE, prefer = "Open"), type = "exit")
Any assistance that you can provide would be most appreciated.
439
You need to read the file into an xts object. You can do this with read.zoo and as.xts.
library(quantstrat)
# read indicators data
indicators <- read.zoo(header = TRUE, as.is = TRUE,
index.column = 1, format = "%m/%d/%y", text = "
Date Open High Low Close Volume Adj.Close TD.Sell.Count TD.Buy.Count
1 12/21/15 201.41 201.88 200.09 201.67 99094300 197.43 0 0
2 12/22/15 202.72 203.85 201.55 203.50 111026200 199.22 0 0
3 12/23/15 204.69 206.07 204.58 206.02 110987200 201.69 0 0
4 12/24/15 205.72 206.33 205.42 205.68 48539600 201.36 0 0
5 12/28/15 204.86 205.26 203.94 205.21 65899900 200.90 1 0
6 12/29/15 206.51 207.79 206.47 207.40 92640700 203.04 2 0
7 12/30/15 207.11 207.21 205.76 205.93 63317700 201.60 0 1
8 12/31/15 205.13 205.89 203.87 203.87 102929500 199.58 0 2
9 1/4/16 200.49 201.03 198.59 201.02 222353500 196.79 0 3
10 1/5/16 201.40 201.90 200.05 201.36 110845800 197.13 0 4
11 1/6/16 198.34 200.06 197.60 198.82 152112600 194.64 0 5
12 1/7/16 195.33 197.44 193.59 194.05 213436100 189.97 0 6
13 1/8/16 195.19 195.85 191.58 191.92 209817200 187.89 0 7
14 1/11/16 193.01 193.41 189.82 192.11 187941300 188.07 0 8
15 1/12/16 193.82 194.55 191.14 193.66 172330500 189.59 0 9
16 1/13/16 194.45 194.86 188.38 188.83 221168900 184.86 0 10
17 1/14/16 189.55 193.26 187.66 191.93 240795600 187.90 1 0
18 1/15/16 186.77 188.76 185.52 187.81 314240200 183.86 0 1
19 1/19/16 189.96 190.11 186.20 188.06 195244400 184.11 0 2
20 1/20/16 185.03 187.50 181.02 185.65 286547800 181.75 0 3
21 1/21/16 186.21 188.87 184.64 186.69 195772900 182.77 0 4
22 1/22/16 189.78 190.76 188.88 190.52 168319600 186.51 1 0
23 1/25/16 189.92 190.15 187.41 187.64 130371700 183.70 0 1
24 1/26/16 188.42 190.53 188.02 190.20 141036800 186.20 1 0
25 1/27/16 189.58 191.56 187.06 188.13 185681700 184.18 2 0
26 1/28/16 189.96 190.20 187.16 189.11 143798800 185.13 0 1
27 1/29/16 190.02 193.88 189.88 193.72 210529300 189.65 1 0
28 2/1/16 192.53 194.58 191.84 193.65 136061600 189.58 2 0
29 2/2/16 191.96 191.97 189.54 190.16 182564900 186.16 3 0
30 2/3/16 191.41 191.78 187.10 191.30 205054900 187.28 4 0
31 2/4/16 190.71 192.75 189.96 191.60 139531800 187.57 0 1
32 2/5/16 190.99 191.67 187.20 187.95 180788300 184.00 0 2
33 2/8/16 185.77 186.12 182.80 185.42 191526700 181.52 0 3
34 2/9/16 183.36 186.94 183.20 185.43 184513100 181.53 0 4
35 2/10/16 186.41 188.34 185.12 185.27 148214100 181.38 0 5
36 2/11/16 182.34 184.10 181.09 182.86 219058900 179.02 0 6
37 2/12/16 184.96 186.65 183.96 186.63 127632400 182.71 1 0
38 2/16/16 188.77 189.81 187.63 189.78 120250700 185.79 2 0
39 2/17/16 191.16 193.32 191.01 192.88 136009500 188.83 3 0
40 2/18/16 193.20 193.27 191.72 192.09 102343000 188.05 4 0
41 2/19/16 191.17 192.18 190.45 192.00 114793000 187.96 5 0
42 2/22/16 193.87 194.95 193.79 194.78 103640300 190.69 6 0
43 2/23/16 194.00 194.32 192.18 192.32 111455300 188.28 0 1
44 2/24/16 190.63 193.53 189.32 193.20 150812200 189.14 1 0
45 2/25/16 193.73 195.55 192.83 195.54 110728300 191.43 2 0
46 2/26/16 196.57 196.68 194.90 195.09 129833700 190.99 3 0
47 2/29/16 195.11 196.23 193.33 193.56 125918100 189.49 4 0
48 3/1/16 195.01 198.21 194.45 198.11 141799700 193.95 5 0
49 3/2/16 197.74 199.06 197.25 199.00 102415000 194.82 6 0
50 3/3/16 198.79 199.80 198.11 199.78 95172200 195.58 7 0
51 3/4/16 200.01 201.35 199.03 200.43 129293600 196.22 8 0
52 3/7/16 199.34 201.07 199.25 200.59 100219000 196.37 9 0
")
indicators <- as.xts(indicators)
Then the easiest thing to do is merge the indicator data with your market price data.
# get data for same interval as indicators
getSymbols("SPY", from = start(indicators), to = end(indicators), adjust = TRUE)
# merge indicators with data
SPY <- merge(SPY, indicators[, c("TD.Sell.Count", "TD.Buy.Count")])
Now you can setup your strategy. Note that you do not need to set initDate (and can actually create problems for yourself if you set it incorrectly), and you need to set a position limit using addPosLimit if you want to use osMaxPos. I also reduced the threshold from 8 to 6 to get one entry and one exit signal.
# Set the timezone to UTC
Sys.setenv(TZ = "UTC")
# Set the currency to USD
currency("USD")
stock("SPY", currency = "USD")
# Define your trade size and initial equity
tradesize <- 100000
initeq <- 100000
# Define the names of your strategy, portfolio and account
strategy.st <- "firststrat"
portfolio.st <- "firststrat"
account.st <- "firststrat"
# Remove the existing strategy if it exists
rm.strat(strategy.st)
# initialize the portfolio
initPortf(portfolio.st, symbols = "SPY")
# initialize the account
initAcct(account.st, portfolios = portfolio.st, initEq = initeq)
# initialize the orders
initOrders(portfolio.st)
# set position limits
addPosLimit(portfolio.st, "SPY", start(SPY), 100)
# store the strategy
strategy(strategy.st, store = TRUE)
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "TD.Buy.Count",
threshold = 6,
relationship = "gt",
cross = TRUE),
label = "thresholdentry")
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "TD.Sell.Count",
threshold = 6,
relationship = "gt",
cross = TRUE),
label = "thresholdexit")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "thresholdentry",
sigval = TRUE,
ordertype = "market",
orderside = "long",
orderqty = 100,
replace = FALSE,
prefer = "Open",
osFUN = osMaxPos,
tradeSize = tradesize,
maxSize = tradesize),
type = "enter")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "thresholdexit",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "long",
replace = FALSE,
prefer = "Open"),
type = "exit")
applyStrategy(strategy.st, portfolio.st)
# [1] "2016-01-11 00:00:00 SPY 100 @ 193.009995"
# [1] "2016-03-04 00:00:00 SPY -100 @ 200.009995"
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