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Copy pathQuantstrat - RSI + Bollinger Bands - Trading Strategy.R
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Quantstrat - RSI + Bollinger Bands - Trading Strategy.R
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setwd("~/Quant Finance")
install.packages("quantmod")
install.packages("FinancialInstrument")
install.packages("PerformanceAnalytics")
install.packages("foreach")
install.packages("devtools")
# Install from github directly
install_github("braverock/blotter")
install_github("braverock/quanstrat")
library(devtools)
library(blotter)
library(quantstrat)
library(quantmod)
library(TTR)
library(PerformanceAnalytics)
library(foreach)
update.packages('blotter', repos="http://R-Forge.R-project.org")
options("getSymbols.warning4.0"=FALSE)
from ="2016-1-01"
to ="2020-01-01"
symbols = c("GOOG","AAPL")
getSymbols(symbols, from=from, to=to, adjust=TRUE)
currency("USD")
stock(symbols, currency="USD", multiplier=1)
Sys.setenv(TZ="UTC") #setting up the timezone
initEq=1000000
strategy.st <- portfolio.st <- account.st <- "RSI+BBands"
rm.strat(strategy.st)
initPortf(portfolio.st, symbols)
initAcct(account.st, portfolios=portfolio.st, initEq = initEq)
initOrders(portfolio.st)
strategy(strategy.st, store=TRUE)
add.indicator(
strategy.st, name="RSI",
arguments=list(price = quote(Cl(mktdata)), n=14),
label="rsi")
add.indicator(
strategy.st, name="BBands",
arguments=list(HLC = quote(Cl(mktdata)), n=20, sd=2),
label="bbands")
#In quantstrat, there are three ways one can use a signal. It is refer to as 'name':
#sigThreshold: more or less than a fixed value
#sigCrossover: when two signals cross over
#sigComparsion: compare two signals
#The 'column' refers to the data for calculation of signal. There are five possible 'relationships':
#gt = greater than
#gte = greater than or equal to
#lt = less than
#lte = less than or equal to
#eq = equal to
# Bull market if Cl < RSI 30
add.signal(
strategy.st,
name= 'sigThreshold',
arguments = list(threshold=30,
column="rsi",
relationship="lt"),
label="rsi.buy.sig")
# Sell market if CL > RSI 70
add.signal(
strategy.st,
name= 'sigThreshold',
arguments = list(threshold=70,
column="rsi",
relationship="gt"),
label="rsi.sell.sig")
# Bull market if Cl < BBands(dn)
add.signal(
strategy.st,
name= 'sigCrossover',
arguments = list(column=c("mavg","dn"),
relationship="lt"),
label="bbands.buy.sig")
# Bear market if Cl > BBands(up)
add.signal(
strategy.st,
name= 'sigCrossover',
arguments = list(column=c("mavg","up"),
relationship="gt"),
label="bbands.sell.sig")
#While trading signals tell us buy or sell, but it does not specify the execution details.
#Trading rules will specify the following seven elements:
#SigCol: Name of Signal
#SigVal: implement when there is signal (or reverse)
#Ordertype: market, stoplimit
#Orderside: long, short
#Pricemethod: market
#Replace: whether to replace other others
#Type: enter or exit the order
add.rule(strategy.st,
name ='ruleSignal',
arguments = list(sigcol = c("rsi.buy.sig", "bbands.buy.sig"),
sigval = TRUE,
orderqty = 1000,
ordertype = 'market',
orderside = 'long',
pricemethod = 'market',
osFUN = osMaxPos,
orderset = "ocolong",
replace = FALSE),
type='enter',
path.dep = TRUE,
label= 'EnterLONG')
add.rule(strategy.st,
name = 'ruleSignal',
arguments = list(sigcol = c("rsi.sell.sig", "bbands.sell.sig"),
sigval = TRUE,
orderqty = -1000,
ordertype = 'market',
orderside = 'long',
pricemethod ='market',
osFUN = osMaxPos,
orderset = "ocolong",
replace = FALSE),
type='enter',
path.dep = TRUE,
label= 'EnterSHORT')
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = c("rsi.buy.sig", "bbands.buy.sig"),
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "short",
pricemethod ='market',
replace = TRUE),
type = "exit",
path.dep =TRUE,
label = "Exit2SHORT")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = c("rsi.sell.sig", "bbands.sell.sig"),
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "long",
pricemethod ='market',
replace = TRUE),
type = "exit",
path.dep =TRUE,
label = "Exit2LONG")
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = c("rsi.buy.sig", "bbands.buy.sig"),
sigval = TRUE,
replace = FALSE,
orderside = "long",
ordertype = "stoplimit",
threshold = 'mavg.bbands',
orderqty = "all",
orderset = "ocolong"),
parent = "EnterLONG",
label = "StopLossLONG",
enabled = TRUE)
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = c("rsi.sell.sig", "bbands.sell.sig"),
sigval = TRUE,
replace = FALSE,
orderside = "short",
ordertype = "stoplimit",
threshold = 'mavg.bbands',
orderqty = "all",
orderset = "ocolong"),
parent = "EnterLONG",
label = "StopLossSHORT",
enabled = TRUE)
for(symbols in symbols){
addPosLimit(portfolio = portfolio.st,
symbol = symbols,
timestamp = from,
maxpos = 1000)
}
out <- applyStrategy(strategy.st, portfolios=portfolio.st)
updatePortf(Portfolio = portfolio.st)
updateAcct(name = portfolio.st)
updateEndEq(Account = account.st)
chart.Posn(Portfolio=portfolio.st, Symbol = "GOOG",
TA = 'add_BBands(n=20, sd=2)
add_RSI(n=14)')
chart.Posn(Portfolio=portfolio.st, Symbol = "AAPL",
TA = 'add_BBands(n=20, sd=2)
add_RSI(n=14)')