_bollinger.bands.Rmd

# Bollinger Bands

```{r, message = FALSE, warnings = FALSE}
library(quantstrat)
library(TTR)
```

```{r}
Sys.setenv(TZ = "UTC")
```

```{r}
currency("USD")
```

```{r}
stock("SPY", 
      currency = "USD",
      multiplier = 1)
```

## Get Symbols

```{r}
init_date <- "2009-12-31"

start_date <- "2010-01-01"

end_date <- "2010-12-31"

init_equity <- 1e5 # $10,000
```

```{r}
getSymbols(Symbols = "SPY", 
           src = "yahoo", 
           index.class = "POSIXct",
           from = start_date, 
           to = end_date, 
           adjust = TRUE)
```

## Initialize Account, Portfolio and Strategy

```{r}
strat.name <- "Bollinger.Band"
```

```{r}
rm.strat(strat.name)
```

```{r}
initPortf(strat.name, 
          symbols = "SPY", 
          initDate = init_date)
```

```{r}
initAcct(strat.name, 
         portfolios = strat.name, 
         initDate = init_date, 
         initEq = init_equity)
```

```{r}
initOrders(portfolio = strat.name, 
           symbols = "SPY", 
           initDate = init_date)
```

```{r}
addPosLimit(portfolio = strat.name, 
            symbol = "SPY", 
            timestamp = start_date, 
            maxpos = 200, 
            longlevels = 2)
```

```{r}
strategy(strat.name, store = TRUE)
```

```{r}
strat <- getStrategy(strat.name)
```

## Indicators

```{r 2-1-add-indicators}
add.indicator(strategy = strat.name, 
              name = "BBands", 
              arguments = list(HLC = quote(HLC(mktdata)), 
                               n = 20, 
                               maType = "SMA", 
                               sd = 2), 
              label = "BB.20.2")
```

## Signals

```{r 2-1-add-signals}
add.signal(strat.name, 
           name="sigCrossover", 
           arguments = list(columns = c("Close", "up"), 
                            relationship = "gt"),
           label="Cl.gt.Upper.Band")

add.signal(strat.name, 
           name = "sigCrossover",
           arguments = list(columns = c("Close", "dn"), 
                            relationship = "lt"),
           label = "Cl.lt.Lower.Band")

add.signal(strat.name, 
           name = "sigCrossover",
           arguments = list(columns = c("High", "Low", "mavg"), 
                            relationship = "op"),
           label = "Cross.Mid")
```

## Adding Rules

```{r 2-1-add-rules}
add.rule(strategy = strat.name, 
         name = "ruleSignal",
         arguments  =  list(sigcol = "Cl.gt.Upper.Band",
                          sigval = TRUE,
                          orderqty = -100, 
                          ordertype = "market",
                          orderside = NULL,
                          threshold = NULL,
                          osFUN = osMaxPos),
         type = "enter")

add.rule(strategy = strat.name, 
         name = "ruleSignal",
         arguments  =  list(sigcol = "Cl.lt.Lower.Band",
                          sigval = TRUE,
                          orderqty =  100, 
                          ordertype = "market",
                          orderside = NULL,
                          threshold = NULL,
                          osFUN = osMaxPos),
         type = "enter")

add.rule(strategy = strat.name, 
         name = "ruleSignal",
         arguments = list(sigcol = "Cross.Mid",
                          sigval = TRUE,
                          orderqty = "all",
                          ordertype = "market",
                          orderside = NULL,
                          threshold = NULL,
                          osFUN = osMaxPos),
         label = "exitMid",
         type = "exit")
```

```{r 2-1-apply-strategy}
applyStrategy(strategy = strat.name, 
              portfolios = strat.name)
```

## Update Portfolio, Account

```{r 2-1-update-portfolio}
updatePortf(strat.name)
updateAcct(strat.name)
updateEndEq(strat.name)
```

## Returns

```{r}
chart.Posn(Portfolio = strat.name, 
           Symbol = "SPY", 
           TA = "add_BBands(n = 20, sd = 2, maType = 'SMA', on = 1)")
```