QuantStrat Demo

Library

if (!require("TTR")) {
  install.packages("TTR")
  library(TTR)
}
if (!require("quantstrat")) {
  if(!require("devtools")) {
    install.packages("devtools")
    require(devtools)
  }
  install_github("braverock/blotter") # dependency
  install_github("braverock/quantstrat")
}

if (!require("IKTrading")){
  install_github("IlyaKipnis/IKTrading", force=TRUE)
}

library(devtools)
library(quantmod)
library(quantstrat)
library(TTR)
library(png)
library(IKTrading)

Data Fetch

rm(list = ls(.blotter), envir = .blotter)

initdate <- "2018-01-01"
from <- "2019-01-01" #start of backtest
to <- "2020-08-01" #end of backtest

Sys.setenv(TZ= "EST") #Set up environment for timestamps

currency("USD") #Set up environment for currency to be used

## [1] "USD"

symbols <- c("AAPL", "FB", "KO") #symbols used in our backtest
getSymbols(Symbols = symbols, src = "yahoo", from=from, to=to, adjust = TRUE) #receive data from yahoo finance,  adjusted for splits/dividends

## 'getSymbols' currently uses auto.assign=TRUE by default, but will
## use auto.assign=FALSE in 0.5-0. You will still be able to use
## 'loadSymbols' to automatically load data. getOption("getSymbols.env")
## and getOption("getSymbols.auto.assign") will still be checked for
## alternate defaults.
## 
## This message is shown once per session and may be disabled by setting 
## options("getSymbols.warning4.0"=FALSE). See ?getSymbols for details.

## Warning in read.table(file = file, header = header, sep = sep,
## quote = quote, : incomplete final line found by readTableHeader
## on 'https://query1.finance.yahoo.com/v7/finance/download/AAPL?
## period1=-2208988800&period2=1598832000&interval=1d&events=split&crumb=kXq.u8NqHqc'

## Warning in read.table(file = file, header = header, sep = sep,
## quote = quote, : incomplete final line found by readTableHeader
## on 'https://query1.finance.yahoo.com/v7/finance/download/AAPL?
## period1=-2208988800&period2=1598832000&interval=1d&events=split&crumb=kXq.u8NqHqc'

## Warning in read.table(file = file, header = header, sep = sep,
## quote = quote, : incomplete final line found by readTableHeader
## on 'https://query2.finance.yahoo.com/v7/finance/download/FB?
## period1=-2208988800&period2=1598832000&interval=1d&events=div&crumb=kXq.u8NqHqc'

## Warning in read.table(file = file, header = header, sep = sep,
## quote = quote, : incomplete final line found by readTableHeader
## on 'https://query1.finance.yahoo.com/v7/finance/download/FB?
## period1=-2208988800&period2=1598832000&interval=1d&events=split&crumb=kXq.u8NqHqc'

## Warning in read.table(file = file, header = header, sep = sep,
## quote = quote, : incomplete final line found by readTableHeader
## on 'https://query1.finance.yahoo.com/v7/finance/download/FB?
## period1=-2208988800&period2=1598832000&interval=1d&events=split&crumb=kXq.u8NqHqc'

## [1] "AAPL" "FB"   "KO"

stock(symbols, currency = "USD", multiplier = 1) #tells quanstrat what instruments present and what currency to use

## [1] "AAPL" "FB"   "KO"

tradesize <-20000 #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 = "USD")

## [1] "firststrat"

initAcct(account.st, portfolios = portfolio.st, initDate = initdate, currency = "USD", initEq = initeq)

## [1] "firststrat"

initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store=TRUE)

#Plots the 50, 200 day SMA
candleChart(AAPL, up.col = "black", dn.col = "red", theme = "white")

addSMA(n = c(200,50), on = 1, col = c("red", "blue"))

#Plots the RSI with lookback equal to 10 days 
plot(RSI(Cl(AAPL), n=10))

Add Indicator

add.indicator(strategy = strategy.st,
              name = 'SMA',
              arguments = list(x = quote(Cl(mktdata)), n=200),
              label = 'SMA200')

## [1] "firststrat"

add.indicator(strategy = strategy.st,
              name = 'SMA',
              arguments = list(x = quote(Cl(mktdata)), n=50), # aslinya 50
              label = 'SMA50')

## [1] "firststrat"

add.indicator(strategy = strategy.st,
              name = 'RSI',
              arguments = list(price = quote(Cl(mktdata)), n=3),
              label = 'RSI_3')

## [1] "firststrat"

Add Signal

#First Signal: sigComparison specifying when 50-day SMA above 200-day SMA
add.signal(strategy.st, name = 'sigComparison',
          arguments = list(columns=c("SMA50", "SMA200")),
          relationship = "gt",
          label = "longfilter")

## [1] "firststrat"

#Second Signal: sigCrossover specifying the first instance when 50-day SMA below 200-day SMA 
add.signal(strategy.st, name = "sigCrossover",
           arguments = list(columns=c("SMA50", "SMA200")),
           relationship = "lt",
           label = "sigCrossover.sig")

## [1] "firststrat"

#Third Signal: sigThreshold which specifies all instance when RSI is below 20 (indication of asset being oversold)
add.signal(strategy.st, name = "sigThreshold",
           arguments = list(column = "RSI_3", threshold = 30,
                            relationship = "lt", cross = FALSE),
           label = "longthreshold")

## [1] "firststrat"

#Fourth Signal: sigThreshold which specifies the first instance when rsi is above 80 (indication of asset being overbought)
add.signal(strategy.st, name = "sigThreshold",
           arguments = list(column = "RSI_3", threshold = 70,
                            relationship = "gt", cross = TRUE),
           label = "thresholdexit")

## [1] "firststrat"

#Fifth Signal: sigFormula which indicates that both longfilter and longthreshold must be true.
add.signal(strategy.st, name = "sigFormula",
           arguments = list(formula = "longfilter & longthreshold",
                            cross = TRUE),
          label = "longentry")

## [1] "firststrat"

Add Rule

#The first rule will be an exit rule. This exit rule will execute when the market environment is no longer conducive to a trade (i.e. when the SMA-50 falls below SMA-200)
add.rule(strategy.st, name = "ruleSignal",
         arguments = list(sigcol = "sigCrossover.sig", sigval = TRUE,
                          orderqty = "all", ordertype = "market",
                          orderside = "long", replace = FALSE,
                          prefer = "Open"),
         type = "exit")

## [1] "firststrat"

#The second rule, similar to the first, executes when the RSI has crossed above 80. 
add.rule(strategy.st, name = "ruleSignal",
         arguments = list(sigcol = "thresholdexit", sigval = TRUE,
                          orderqty = "all", ordertype = "market",
                          orderside = "long", replace = FALSE,
                          prefer = "Open"),
         type = "exit")

## [1] "firststrat"

#Additionally, we also need an entry rule. This rule executes when longentry is true (or when long filter and longthreshold are true). That is when SMA-50 is above SMA-200 and the RSI is below 20.
add.rule(strategy.st, name = "ruleSignal",
         arguments = list(sigcol = "longentry", sigval = TRUE,
                          orderqty = 1, ordertype = "market",
                          orderside = "long", replace = FALSE,
                          prefer = "Open", osFUN = IKTrading::osMaxDollar,
                          tradeSize = tradesize, maxSize = tradesize),
         type = "enter")

## [1] "firststrat"

Apply Strategy

out <- applyStrategy(strategy = strategy.st, portfolios = portfolio.st)

## [1] "2019-11-21 19:00:00 AAPL 304 @ 65.3152579051961"
## [1] "2019-11-25 19:00:00 AAPL -304 @ 66.3972560724441"
## [1] "2019-12-03 19:00:00 AAPL 311 @ 64.9371840648171"
## [1] "2019-12-08 19:00:00 AAPL -311 @ 67.1583834229653"
## [1] "2020-01-27 19:00:00 AAPL 259 @ 77.7544859084668"
## [1] "2020-01-29 19:00:00 AAPL -259 @ 79.7294398506088"
## [1] "2020-02-02 19:00:00 AAPL 250 @ 75.6899824803991"
## [1] "2020-02-06 19:00:00 AAPL -250 @ 80.3749252496853"
## [1] "2020-02-18 19:00:00 AAPL 254 @ 79.7840258058609"
## [1] "2020-03-09 19:00:00 AAPL 50 @ 69.0979568386897"
## [1] "2020-03-12 19:00:00 AAPL 9 @ 66.0437246008091"
## [1] "2020-03-22 19:00:00 AAPL 11 @ 56.8660643931274"
## [1] "2020-03-26 19:00:00 AAPL -324 @ 63.016914132598"
## [1] "2020-04-21 19:00:00 AAPL 290 @ 68.2178313256163"
## [1] "2020-04-26 19:00:00 AAPL -290 @ 70.2598047333853"
## [1] "2020-07-23 19:00:00 AAPL 206 @ 90.987503"
## [1] "2019-10-22 19:00:00 FB 105 @ 182.009995"
## [1] "2019-10-28 19:00:00 FB -105 @ 191.690002"
## [1] "2019-11-07 19:00:00 FB 104 @ 190"
## [1] "2019-11-11 19:00:00 FB 1 @ 190"
## [1] "2019-11-12 19:00:00 FB -105 @ 194.699997"
## [1] "2019-12-12 19:00:00 FB 98 @ 196.399994"
## [1] "2019-12-18 19:00:00 FB -98 @ 202.779999"
## [1] "2020-01-23 19:00:00 FB 90 @ 220.800003"
## [1] "2020-01-29 19:00:00 FB -90 @ 206.529999"
## [1] "2020-01-30 19:00:00 FB 96 @ 208.429993"
## [1] "2020-02-10 19:00:00 FB -96 @ 210.190002"
## [1] "2020-02-11 19:00:00 FB 95 @ 207.850006"
## [1] "2020-02-17 19:00:00 FB -95 @ 213.550003"
## [1] "2020-02-23 19:00:00 FB 93 @ 201.800003"
## [1] "2020-03-03 19:00:00 FB 8 @ 189.169998"
## [1] "2020-03-08 19:00:00 FB 11 @ 169.600006"
## [1] "2020-03-11 19:00:00 FB 2 @ 159.539993"
## [1] "2020-03-16 19:00:00 FB 17 @ 150.740005"
## [1] "2020-03-18 19:00:00 FB 12 @ 146.619995"
## [1] "2020-03-24 19:00:00 FB -143 @ 158.919998"
## [1] "2020-06-11 19:00:00 FB 86 @ 229.899994"
## [1] "2020-06-21 19:00:00 FB -86 @ 238.559998"
## [1] "2020-06-28 19:00:00 FB 85 @ 209.75"
## [1] "2020-07-01 19:00:00 FB -85 @ 239"
## [1] "2020-07-23 19:00:00 FB 83 @ 230.190002"
## [1] "2020-07-28 19:00:00 FB 2 @ 231.139999"
## [1] "2019-10-28 19:00:00 KO 381 @ 52.0604676577041"
## [1] "2019-10-31 19:00:00 KO -381 @ 53.2695908123326"
## [1] "2019-11-04 19:00:00 KO 380 @ 51.5729187849489"
## [1] "2019-11-07 19:00:00 KO 7 @ 51.1536267543794"
## [1] "2019-11-18 19:00:00 KO -387 @ 51.8264471240749"
## [1] "2019-12-18 19:00:00 KO 373 @ 53.0878912258312"
## [1] "2019-12-22 19:00:00 KO -373 @ 54.0309763765681"
## [1] "2020-01-05 19:00:00 KO 374 @ 53.6871448552982"
## [1] "2020-01-09 19:00:00 KO -374 @ 54.5025194431273"
## [1] "2020-01-28 19:00:00 KO 354 @ 55.9957391538979"
## [1] "2020-01-30 19:00:00 KO -354 @ 57.9310314719491"
## [1] "2020-02-24 19:00:00 KO 344 @ 57.6657884970096"
## [1] "2020-03-04 19:00:00 KO -344 @ 56.7816432824484"
## [1] "2020-03-09 19:00:00 KO 391 @ 52.2823384871261"
## [1] "2020-03-12 19:00:00 KO 28 @ 49.0642558231388"
## [1] "2020-03-16 19:00:00 KO 58 @ 45.4669399548323"
## [1] "2020-03-26 19:00:00 KO -477 @ 43.2669257881659"

updatePortf(portfolio.st)

## [1] "firststrat"

daterange <- time(getPortfolio(portfolio.st)$summary)[-1]

updateAcct(account.st, daterange)

## [1] "firststrat"

updateEndEq(account.st)

## [1] "firststrat"

for(symbol in symbols){
  
  chart.Posn(Portfolio = portfolio.st, Symbol = symbol, 
             TA= c("add_SMA(n=50, col='blue')", "add_SMA(n=200, col='red')"))
}

tstats <- tradeStats(Portfolios = portfolio.st)

tstats[, 4:ncol(tstats)] <- round(tstats[, 4:ncol(tstats)],2)
print(data.frame(t(tstats[,-c(1,2)])))

##                        AAPL       FB       KO
## Num.Txns              16.00    26.00    17.00
## Num.Trades             6.00     9.00     7.00
## Net.Trading.PL      1918.30  2724.31 -2215.56
## Avg.Trade.PL        -204.64    81.16  -316.51
## Med.Trade.PL         551.84   541.50   304.95
## Largest.Winner      1171.24  2486.25   685.09
## Largest.Loser      -4522.48 -4061.90 -3814.95
## Gross.Profits       3294.64  6076.61  1903.54
## Gross.Losses       -4522.48 -5346.20 -4119.10
## Std.Dev.Trade.PL    2134.06  1830.80  1573.41
## Std.Err.Trade.PL     871.23   610.27   594.69
## Percent.Positive      83.33    77.78    71.43
## Percent.Negative      16.67    22.22    28.57
## Profit.Factor          0.73     1.14     0.46
## Avg.Win.Trade        658.93   868.09   380.71
## Med.Win.Trade        592.17   625.24   351.77
## Avg.Losing.Trade   -4522.48 -2673.10 -2059.55
## Med.Losing.Trade   -4522.48 -2673.10 -2059.55
## Avg.Daily.PL        -204.64    81.16  -316.51
## Med.Daily.PL         551.84   541.50   304.95
## Std.Dev.Daily.PL    2134.06  1830.80  1573.41
## Std.Err.Daily.PL     871.23   610.27   594.69
## Ann.Sharpe            -1.52     0.70    -3.19
## Max.Drawdown       -7044.30 -6612.84 -7076.95
## Profit.To.Max.Draw     0.27     0.41    -0.31
## Avg.WinLoss.Ratio      0.15     0.32     0.18
## Med.WinLoss.Ratio      0.13     0.23     0.17
## Max.Equity          2931.72  2724.31  1977.89
## Min.Equity         -4112.59 -4259.00 -5099.06
## End.Equity          1918.30  2724.31 -2215.56

final_acct <- getAccount(account.st)
end_eq <- final_acct$summary$End.Eq

returns <- Return.calculate(end_eq, method="log")
charts.PerformanceSummary(returns, colorset = bluefocus, main = "Strategy Performance")

returns_2 <- PortfReturns(account.st)
colnames(returns_2) <- symbols
returns_2 <- na.omit(cbind(returns_2,Return.calculate(end_eq)))
names(returns_2)[length(names(returns_2))] <- "Total"
returns_2 <- returns_2[,c("Total", symbols)]
round(tail(returns_2,5),6)

##                Total      AAPL        FB KO
## 2020-07-27  0.007001  0.004522  0.002316  0
## 2020-07-28 -0.006115 -0.003208 -0.002805  0
## 2020-07-29  0.006503  0.003682  0.002674  0
## 2020-07-30  0.003453  0.002369  0.001029  0
## 2020-07-31  0.037518  0.020744  0.016294  0

chart.CumReturns(returns_2, colorset = rich10equal, legend.loc = "topleft", main = "Strategy Cumulative Returns")

chart.Boxplot(returns_2, main = "Strategy Returns", colorset = rich10equal)