I am trying to get quantstrat to work by investing a proportion of the portfolio (100% or 20%) in the position rather than a fixed order quantity (i.e. 10 shares).
I have tried to adapt the ordersize function from (Quantstrat: Ordersize function) but my code errors out when partway through trading:
[1] "2016-06-01 00:00:00 BP 3972.33383061 @ 25.1741178521841"
[1] "2016-06-30 00:00:00 BP -3972.33383061 @ 28.5237037199368"
[1] "2016-09-14 00:00:00 BP 4157.48457062 @ 27.2534200275105"
[1] "2016-11-02 00:00:00 BP 4157.48457062 @ 27.8177899348377"
[1] "2017-03-30 00:00:00 BP -8314.96914124 @ 29.2450509184207"
Error in if (!is.null(orderqty) && orderqty != 0 && length(orderprice)) { :
missing value where TRUE/FALSE needed
My code is as follows:
###########################################################################################
#
# part 1 - initialize things
#
###########################################################################################
initdate <- "2016-01-01"
from <- "2016-01-01" #start of backtest
to <- Sys.Date() #end of backtest
stock(symbols, currency = "GBP", multiplier = 1)
tradesize <-100000 #default trade size
initeq <- 100000 #default initial equity in our portfolio
strategy.st <- portfolio.st <- account.st <- "firststrat" #naming strategy, portfolio and account
#removes old portfolio and strategy from environment
rm.strat(portfolio.st)
rm.strat(strategy.st)
#initialize portfolio, account, orders and strategy objects
initPortf(portfolio.st, symbols = symbols, initDate = initdate, currency = "GBP")
initAcct(account.st, portfolios = portfolio.st, initDate = initdate, currency = "GBP", initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
# set position limits
strategy(strategy.st, store=TRUE)
#################
# #
# add signals #
# #
#################
# custom entry signal
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "abv_bb",
threshold = 1,
relationship = "gte",
cross = TRUE),
label = "thresholdentry")
# custom exit signal
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "blw_bb",
threshold = 1,
relationship = "gte",
cross = TRUE),
label = "thresholdexit")
###############
# #
# add rules #
# #
###############
osInvestAll <- function (data, timestamp, orderqty, ordertype,
orderside, equity, portfolio, symbol, ruletype, ..., initEq) {
datePos <- format(timestamp,"%Y-%m-%d %H:%M:%OS")
datePos <- strptime(c(datePos), format = "%Y-%m-%d %H:%M:%OS", tz =
"UTC") + 86400 #for daily data
updatePortf(Portfolio=portfolio,Symbol=symbol,Dates=paste0(start(data),
"/", datePos))
# After updating portfolio profit, we can extract the Net.Trading.PL earned up to 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((equity / ClosePrice))
UnitSize1 <- round(UnitSize, digits = 8)
UnitSize1
}
# add custom entry rule
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "thresholdentry",
sigval = TRUE,
ordertype = "market",
orderside = "long",
prefer = "Close",
osFUN = osInvestAll),
type = "enter")
# add custom exit rule
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "thresholdexit",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "long",
prefer = "Close"),
type = "exit",label="ExitRule",enabled=T)
##################
# #
# run strategy #
# #
##################
out <- applyStrategy(strategy = strategy.st, portfolios = portfolio.st, initEq=initeq)
