I have a simple signal strategy
0 = close all positions
1 = open buy (close sell if available)
-1= open a sell (close a buy if there is one)
Only one position can be opened during trading
Here is the code for generating fake data and calculating signals
require(quantstrat)
set.seed(1)
fake_data <- rnorm(100) |> cumsum() |> xts(order.by=as.POSIXct(x=60*1:100, origin='2021-07-01'))
colnames(fake_data) <-'Close'
make_seq <- function() sample(c(-1,0,1),size=1) |> rep(sample(3:20,1))
fake_data$signal <- lapply(1:50,\(x) make_seq()) |> unlist() |> tail(n = length(fake_data))
# signal
chart_Series(fake_data)
abline(h=0)
fake_data$buy_open <- 0
fake_data$buy_close <- 0
fake_data$sell_open <- 0
fake_data$sell_close <- 0
S <- fake_data$signal |> coredata() |> as.vector()
for(i in 2:nrow(fake_data)){
if(S[i-1]!= 1 & S[i]== 1) fake_data$buy_open[i] <- 1
if(S[i-1]== 1 & S[i]!= 1) fake_data$buy_close[i] <- 1
if(S[i-1]!= -1 & S[i]== -1) fake_data$sell_open[i] <- 1
if(S[i-1]== -1 & S[i]!= -1) fake_data$sell_close[i] <- 1
}
Next I create rules for trading
rm.strat(strat.st)
strat.st <- "FAKESTRAT"
currency("USD")
stock("fake_data",currency = "USD")
initPortf(strat.st, symbols="fake_data")
initEq<-1000
initAcct(strat.st, portfolios=strat.st, initEq=initEq)
initOrders(portfolio=strat.st)
strategy(name=strat.st,store=TRUE)
addPosLimit("FAKESTRAT", "fake_data", maxpos = 1, timestamp = start(fake_data)-1)
# enterLong exitLong
add.rule(strat.st,"ruleSignal",
arguments=list(sigcol="buy_open",
sigval=TRUE,
orderqty=1,
ordertype='market',
orderside='long',
osFUN = osMaxPos),
type="enter",
label="enterLong"
)
add.rule(strat.st,"ruleSignal",
arguments=list(sigcol="buy_close",
sigval=TRUE,
orderqty="all",
ordertype='market',
orderside='long'),
type="exit",
label="exitLong"
)
# enterShort exitShort
add.rule(strat.st,"ruleSignal",
arguments=list(sigcol="sell_open",
sigval=TRUE,
orderqty=-1,
ordertype='market',
orderside='short',
osFUN = osMaxPos),
type="enter",
label="enterShort"
)
add.rule(strat.st,"ruleSignal",
arguments=list(sigcol="sell_close",
sigval=TRUE,
orderqty="all",
ordertype='market',
orderside='short'),
type="exit",
label="exitShort"
)
out<-applyStrategy(strat.st , portfolios=strat.st, verbose=T)
updatePortf(strat.st)
book <- getOrderBook(portfolio=strat.st)
....
print(book)
book
$FAKESTRAT
$FAKESTRAT$fake_data
Order.Qty Order.Price Order.Type Order.Side Order.Threshold
2021-07-01 03:24:00 -1 3.59680448297358 market short <NA>
2021-07-01 03:40:00 all 3.68104715087989 market short <NA>
2021-07-01 03:40:00 1 3.68104715087989 market long <NA>
2021-07-01 03:54:00 -1 4.02025008047271 market short <NA>
2021-07-01 04:12:00 all 10.7346453103169 market short <NA>
2021-07-01 04:35:00 -1 13.8781211399328 market short <NA>
Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule
2021-07-01 03:24:00 closed 2021-07-01 03:25:00 <NA> 0 enterShort
2021-07-01 03:40:00 replaced 2021-07-01 03:40:00 <NA> 0 exitShort
2021-07-01 03:40:00 closed 2021-07-01 03:41:00 <NA> 0 enterLong
2021-07-01 03:54:00 closed 2021-07-01 03:55:00 <NA> 0 enterShort
2021-07-01 04:12:00 closed 2021-07-01 04:13:00 <NA> 0 exitShort
2021-07-01 04:35:00 closed 2021-07-01 04:36:00 <NA> 0 enterShort
Time.In.Force
2021-07-01 03:24:00
2021-07-01 03:40:00
2021-07-01 03:40:00
2021-07-01 03:54:00
2021-07-01 04:12:00
2021-07-01 04:35:00
And I don't understand why the open position is long
2021-07-01 03:40:00 1 3.68104715087989 market long
was not closed when the sell signal arrived
2021-07-01 03:54:00 -1 4.02025008047271 market short
I don't understand how this works but the answer lies in the replace variable.
All you need to do is include it in the rule for opening and closing a position
replace=TRUE for close position
replace=FALSE for open position
# enterLong exitLong
add.rule(strat.st,"ruleSignal",
arguments=list(sigcol="buy_open",
sigval=TRUE,
replace=FALSE,
orderqty=1,
ordertype='market',
orderside='long',
osFUN = osMaxPos),
type="enter",
label="enterLong"
)
add.rule(strat.st,"ruleSignal",
arguments=list(sigcol="buy_close",
sigval=TRUE,
replace=TRUE,
orderqty="all",
ordertype='market',
orderside='long'),
type="exit",
label="exitLong"
)
The same needs to be done for sales rules
book$FAKESTRAT$fake_data[,c(1,4,11)]
Order.Qty Order.Side Rule
2021-07-01 03:24:00 -1 short enterShort
2021-07-01 03:40:00 all short exitShort
2021-07-01 03:40:00 1 long enterLong
2021-07-01 03:54:00 all long exitLong
2021-07-01 03:54:00 -1 short enterShort
2021-07-01 04:12:00 all short exitShort
2021-07-01 04:35:00 -1 short enterShort