r - 无法使 stoplimit 订单在 quantstrat 中起作用
问题描述
可重现的代码：
package <- c("compiler",
"quantmod",
"dygraphs",
"plyr",
"devtools",
"PerformanceAnalytics",
"doParallel")
lapply(X = package,
FUN = function(this.package){
if (!require(package = this.package,
character.only = TRUE))
{
install.packages(pkgs = this.package,
repos = "https://cloud.r-project.org")
library(package = this.package,
character.only = TRUE)
} else {
library(package = this.package,
character.only = TRUE)
}
})
install_github("braverock/FinancialInstrument")
install_github("braverock/blotter")
install_github("braverock/quantstrat")
install_github("braverock/PerformanceAnalytics")
require(quantstrat)
# +------------------------------------------------------------------
# | The registerDoParallel() function is used to register the
# | parallel backend with the foreach package. detectCores() attempts
# | to detect the number of CPU cores on the current host.
# +------------------------------------------------------------------
registerDoParallel(detectCores())
# +------------------------------------------------------------------
# | Get data.
# +------------------------------------------------------------------
symbols <- c('SPY', 'TLT', 'GLD')
getSymbols(Symbols = symbols)
# +------------------------------------------------------------------
# | osTotEq() is an order sizing function which should return the
# | maximum amount of purchasable securities as for current equity
# | available (assuming you're not invested at the moment of
# | calculation).
# +------------------------------------------------------------------
osTotEq <- function(timestamp, orderqty, portfolio, symbol, ruletype, ...)
{
if (orderqty == "all" && !(ruletype %in% c("exit", "risk")) ||
orderqty == "trigger" && ruletype != "chain")
{
stop(paste("orderqty 'all'/'trigger' would produce nonsense, maybe use osMaxPos instead?\n",
"Order Details:\n", "Timestamp:", timestamp, "Qty:",
orderqty, "Symbol:", symbol))
}
endEq <- getEndEq(Account = portfolio,
Date = timestamp)
refPrice <- Cl(mktdata[, 1:4])[timestamp, ]
orderqty <- floor(endEq / refPrice)
return(orderqty)
}
# +------------------------------------------------------------------+ #
# +------------------------------------------------------------------+ #
# | Main: William's %R | #
# +------------------------------------------------------------------+ #
# +------------------------------------------------------------------+ #
# +------------------------------------------------------------------
# | Parameters
# +------------------------------------------------------------------
name <- 'WPR'
currency <- 'USD'
initEq <- 300000
# +------------------------------------------------------------------
# | Initialization
# +------------------------------------------------------------------
rm.strat(name = name)
currency(currency)
for (symbol in symbols)
{
stock(primary_id = symbol,
currency = currency,
multiplier = 1)
}
initPortf(name = name,
symbols = symbols,
currency = currency)
initAcct(name = name,
portfolios = name,
initEq = initEq)
initOrders(portfolio = name)
strategy(name = name,
store = TRUE)
# +------------------------------------------------------------------
# | Indicators
# +------------------------------------------------------------------
add.indicator(strategy = name,
name = 'volatility',
arguments = list(OHLC = quote(OHLC(mktdata)),
n = 5,
calc = 'yang.zhang',
N = 1),
label = 'sigma',
store = TRUE)
add.indicator(strategy = name,
name = 'WPR',
arguments = list(HLC = quote(HLC(mktdata)),
n = 14),
label = 'wpr',
store = TRUE)
# +------------------------------------------------------------------
# | Signals
# +------------------------------------------------------------------
add.signal(strategy = name,
name = 'sigThreshold',
arguments = list(column = 'wpr',
threshold = .2,
relationship = 'gt',
cross = TRUE),
label = 'wpr.buy')
add.signal(strategy = name,
name = 'sigThreshold',
arguments = list(column = 'wpr',
threshold = .8,
relationship = 'lt',
cross = TRUE),
label = 'wpr.sell')
# +------------------------------------------------------------------
# | Rules
# +------------------------------------------------------------------
add.rule(strategy = name,
name = 'ruleSignal',
arguments = list(sigcol = 'wpr.buy',
sigval = TRUE,
orderqty = 1,
ordertype = 'market',
orderside = 'long',
osFUN = osTotEq),
type = 'enter',
label = 'wpr.buy.enter',
store = TRUE)
add.rule(strategy = name,
name = 'ruleSignal',
arguments = list(sigcol = 'wpr.buy',
sigval = TRUE,
orderqty = 'all',
ordertype = 'stoplimit',
orderside = 'long',
tmult = TRUE,
threshold = quote(mktdata[timestamp, 'X1.sigma']),
orderset = 'stop.loss'),
parent = 'wpr.buy.enter',
type = 'chain',
label = 'wpr.buy.chain',
store = TRUE)
# add.rule(strategy = name,
# name = 'ruleSignal',
# arguments = list(sigcol = 'wpr.sell',
# sigval = TRUE,
# orderqty = 'all',
# ordertype = 'market',
# orderside = 'long',
# pricemethod = 'market',
# replace = TRUE,
# osFUN = osNoOp),
# path.dep = TRUE,
# type = 'exit',
# label = 'wpr.buy.exit',
# store = TRUE)
# +------------------------------------------------------------------
# | Strategy backtest
# +------------------------------------------------------------------
try(applyStrategy(strategy = name,
portfolios = name))
updatePortf(Portfolio = name,
Dates = paste('::',as.Date(Sys.time()), sep = ''))
updateAcct(name = name)
updateEndEq(Account = name)
# +------------------------------------------------------------------
# | Performance analysis
# +------------------------------------------------------------------
for (symbol in symbols)
{
dev.new()
chart.Posn(Portfolio = name,
Symbol = symbol)
}
dev.new()
R <- PortfReturns(Account = name)
R$total.DailyEqPl <- rowSums(R)
charts.PerformanceSummary(R = R,
ylog = TRUE,
main = "Smoothing spline performance",
geometric = TRUE)
getOrderBook(portfolio = name)
我特意留下了退出规则的注释，以便更好地突出 stoplimit 订单的使用。至于订单簿，它们似乎不起作用。这不是我第一次无法让 stoplimit 订单正常工作。即使我复制了演示代码（并为我的目的稍微修改了它），有时它也不起作用，我不明白为什么。上面有一个“动态”止损价格示例，但在我的订单簿中，即使我使用固定值（如quote(0.001)），我也看不到止损订单。尽管如此，orderset和parent似乎type还可以。
你能解释一下我错过了什么吗？
这是我的一个片段getOrderBook(portfolio = name)：
Order.Qty Order.Price Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule Time.In.Force
2002-08-15 "3487" "86.02" "market" "long" NA "closed" "2002-08-16 00:00:00" "" NA "0" "wpr.buy.enter" ""
2002-09-06 "3430" "87.46" "market" "long" NA "closed" "2002-09-09 00:00:00" "" NA "0" "wpr.buy.enter" ""
2002-09-25 "3348" "89.58" "market" "long" NA "closed" "2002-09-26 00:00:00" "" NA "0" "wpr.buy.enter" ""
2002-10-01 "3373" "88.94" "market" "long" NA "closed" "2002-10-02 00:00:00" "" NA "0" "wpr.buy.enter" ""
2002-11-14 "3457" "86.76" "market" "long" NA "closed" "2002-11-15 00:00:00" "" NA "0" "wpr.buy.enter" ""
2002-12-13 "3467" "86.53" "market" "long" NA "closed" "2002-12-16 00:00:00" "" NA "0" "wpr.buy.enter" ""
2002-12-31 "3387" "88.57" "market" "long" NA "closed" "2003-01-02 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-01-27 "3422" "87.65" "market" "long" NA "closed" "2003-01-28 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-02-05 "3428" "87.51" "market" "long" NA "closed" "2003-02-06 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-02-10 "3416" "87.8" "market" "long" NA "closed" "2003-02-11 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-02-21 "3397" "88.3" "market" "long" NA "closed" "2003-02-24 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-03-13 "3351" "89.52" "market" "long" NA "closed" "2003-03-14 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-05-02 "3396" "88.32" "market" "long" NA "closed" "2003-05-05 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-05-27 "3187" "94.12" "market" "long" NA "closed" "2003-05-28 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-06-11 "3132" "95.78" "market" "long" NA "closed" "2003-06-12 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-06-16 "3116" "96.26" "market" "long" NA "closed" "2003-06-17 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-09-02 "3655" "82.06" "market" "long" NA "closed" "2003-09-03 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-09-08 "3605" "83.2" "market" "long" NA "closed" "2003-09-09 00:00:00" "" NA "0" "wpr.buy.enter" ""
2003-09-11 "3567" "84.1" "market" "long" NA "closed" "2003-09-12 00:00:00" "" NA "0" "wpr.buy.enter" ""
如您所见，根本不存在止损订单。
解决方案
我怀疑您的问题只需Sys.setenv(TZ ="UTC")在脚本顶部添加即可解决（许多关于日常数据的 quantstrat 演示都是这样做的）。当您在 quantstrat 中处理每日数据时，有时会发生这种情况。
发生的情况是ruleSignalquantstratchain.price在市场订单被执行时没有正确获取价格，并且当它找不到链价格时，它会忽略创建止损。
如果您很好奇并想说服自己，请尝试在ruleSignal填充止损的条件下设置调试器（您可以创建自己的 ruleSignal 函数，该函数与 stoplimit 规则的参数非常相似，ruleSignal并在参数中提供该函数的名称。add.rule name
如果您将调试器设置为在第一个订单填写时暂停（在ruleSignal触发链停止限制规则时输入或等效），您将看到：
getTxns(portfolio, "SPY")
Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
1950-01-01 00:00:00 0 0.00 0 0.0 0.00 0
2007-01-25 19:00:00 2108 142.13 0 299610.1 142.13 0
为了让事情正常工作，第一个 txn 时间戳应该是2007-01-26.
chain.price提供给stoplimit的ruleSignal是一个空的 xts 对象，这是因为在 quantstrat 的函数applyRules中，开关链案例中的这些行在chain 每日数据上无法正常工作：
txns <- getTxns(Portfolio=portfolio, Symbol=symbol, Dates=timestamp)
txn.price <- last(txns$Txn.Price)
ruleProc(rules[j], timestamp=timestamp, path.dep=path.dep, mktdata=mktdata, portfolio=portfolio, symbol=symbol, ruletype=type, mktinstr=mktinstr, parameters=list(chain.price=txn.price), curIndex=curIndex)
具体来说，parameter参数 inruleProc没有传入有效的chain.price. 在applyRules,getTxns中提供Dates = timestamp和timestamp = "2007-01-26", （交易在 2007-01-26 填写，入场信号在 2007-01-25），在“2007-01-25 19:00:00”之后，所以txns是空的xts 对象。为什么“2007-01-26”日的交易时间戳为“2007-01-25 19:00:00”？因为在我的 R 系统环境中，时区对应的是纽约时间的 UTC 午夜。
简而言之，这是一个错误（如果您没有将每日数据集的时区设置为 UTC），但由于 quantstrat 的作者和最认真的用户可能不使用每日柱线，因此可能不是优先考虑使固定。当使用具有时间索引而不是类型UTC的 xts 对象时，请确保将时区设置为。DatePOSIXct
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