0.1.0.999

ShichenXie · Apr 14, 2019 · 8b6f736 · 8b6f736
1 parent 2e8eb4f
commit 8b6f736
Show file tree

Hide file tree

Showing 19 changed files with 661 additions and 319 deletions.
diff --git a/CRAN-RELEASE b/CRAN-RELEASE
@@ -1,2 +1,2 @@
-This package was submitted to CRAN on 2019-03-14.
-Once it is accepted, delete this file and tag the release (commit 517699421c).
+This package was submitted to CRAN on 2019-03-15.
+Once it is accepted, delete this file and tag the release (commit 77fe8e348e).
diff --git a/DESCRIPTION b/DESCRIPTION
@@ -1,5 +1,5 @@
 Package: pedquant
-Version: 0.1.0
+Version: 0.1.0.999
 Title: Public Economic Data and Quantitative Analysis
 Description: 
     Provides an interface to access public economic and financial data for 

diff --git a/NAMESPACE b/NAMESPACE
@@ -13,9 +13,11 @@ export(md_stock_financials)
 export(md_stock_symbol)
 export(pd_code)
 export(pq_addti)
+export(pq_backtest)
 export(pq_index)
 export(pq_perf)
 export(pq_plot)
+export(pq_portfolio)
 export(pq_return)
 export(pq_to_freq)
 import(TTR)

diff --git a/NEWS.md b/NEWS.md
@@ -1,3 +1,8 @@
+# pedquant 0.1.0.99
+
+* Added functions of pq_portfolio and pq_backtest
+* Fixed multiple bugs
+
 # pedquant 0.1.0
 
 * Added a `NEWS.md` file to track changes to the package.

diff --git a/R/condition_helper_fun.R b/R/condition_helper_fun.R
@@ -46,6 +46,7 @@ check_fromto = function(fromto, type="date", shift = 0) {
 get_fromto = function(date_range, from, to, min_date, default_date_range = 'max') {
     date_range = check_date_range(date_range, default = default_date_range)
     to = check_fromto(to)
+    min_date = check_fromto(min_date)
 
     if (is.null(from)) {
         if (date_range == "max") {
@@ -77,6 +78,7 @@ get_fromto = function(date_range, from, to, min_date, default_date_range = 'max'
     } else {
         from = check_fromto(from)
     }
+    if (from < min_date) from = min_date
 
     # set class
     if (class(to) == "Date") {
@@ -447,6 +449,8 @@ api_key = function(src){
 select_rows_df = function(dt, column=NULL, input_string=NULL, onerow=FALSE) {
     seleted_rows = NULL
 
+    if (onerow) input_string = input_string[1]
+
     while (is.null(seleted_rows) || nrow(seleted_rows) == 0) { # stop looping, if selected rows >=1
         if (is.null(input_string)) {
             print(setDT(copy(dt))[,lapply(.SD, format)], topn = 50)

diff --git a/R/md_2bond.R b/R/md_2bond.R
@@ -111,7 +111,7 @@ md_bond1_fred = function(syb, from, to) {
 
     # libor in history
     dt_bond_hist = ed_fred(
-        bond_symbol_fred[symbol == syb, symbol_fred], from=from, to=to, print_step=0L
+        bond_symbol_fred[symbol %in% syb, symbol_fred], from=from, to=to, print_step=0L
     )[[1]][,`:=`(symbol_fred = symbol, symbol = NULL, name = NULL
     )][bond_symbol_fred, on='symbol_fred', nomatch=0
        ][, .(symbol, name, date, value, geo, unit)

diff --git a/R/md_stock1_.R b/R/md_stock1_.R
@@ -85,5 +85,12 @@ md_stock = function(symbol, source = "yahoo", freq = "daily", date_range = "3y",
 
     # data
     dat = try(do.call(paste0("md_stock_", source), args=list(symbol = syb, freq = freq, from = from, to = to, print_step = print_step, env = env, adjust=adjust, zero_rm=zero_rm, na_rm=na_rm, type=type, ...)), silent = TRUE)
+
+    # remove error symbols
+    error_symbols = names(dat)[which(sapply(dat, function(x) inherits(x, 'try-error')))]
+    if (length(error_symbols) > 0) {
+        warning(sprintf('The following symbols can\'t imported:\n%s', paste0(error_symbols, collapse=', ')))
+        dat = dat[setdiff(names(dat), error_symbols)]
+    }
     return(dat)
 }
diff --git a/R/md_stock1_163.R b/R/md_stock1_163.R
diff --git a/R/md_stock_symbol.R b/R/md_stock_symbol.R
@@ -209,71 +209,36 @@ md_stock_symbol_hk = function(source="163", return_price=FALSE) {
   return(stock_list_hk)
 }
 
-#' @import data.table
-#' @importFrom jsonlite fromJSON 
-md_stock_symbol_163 = function() {
-  fun_symbol_163 = function(link, mkt) {
-    plate_ids = . = symbol = name = sec = province = industry = sector = NULL
-    # rt = GET(link, add_headers(
-    #   'Connection' = 'keep-alive',
-    #   'User-Agent' = 'Mozilla/5.0 (Macintosh; Intel Mac OS X 10_13_5) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/67.0.3396.99 Safari/537.36',
-    #   'Upgrade-Insecure-Requests'='1'
-    # ))
-    jsonDat = fromJSON(link)
-    jsonDF = setDT(jsonDat$list)[,date:=as.Date(jsonDat$time)]
-    setnames(jsonDF, sub("\\.", "", tolower(names(jsonDF))) )
-
-    # industry sector for stock
-    if (mkt == "stock") {
-      jsonDF2 = jsonDF[,`:=`(
-        province = sub(".*(dy\\d+).*", "\\1", plate_ids),
-        plate_ids = sub("dy\\d+","",plate_ids)
-      )][,`:=`(
-        sector = sub(".*(hy\\d{3}0{3}).*", "\\1", plate_ids),
-        industry = sub(".*(hy\\d+).*", "\\1", sub("hy\\d{3}0{3}","",plate_ids))
-      )][,.(symbol, name, province, sector, industry)]
-    } else {
-      jsonDF2 = jsonDF[, symbol := paste0("^",symbol)][,.(symbol, name)]
-    }
-
-    return(jsonDF2)
-  }
-
+symbol_163_format = function(df_symbol) {
+  type = . = id = name = symbol = tags = market = submarket = region = exchange = board = prov = indu = sec = NULL
 
-  symbol_url_163 = list(
-    A = "http://quotes.money.163.com/hs/service/diyrank.php?host=http%3A%2F%2Fquotes.money.163.com%2Fhs%2Fservice%2Fdiyrank.php&page=0&query=STYPE%3AEQA&fields=NO%2CSYMBOL%2CNAME%2CPLATE_IDS%2CSNAME%2CCODE&sort=CODE&order=desc&count=100000&type=query",
-    B = "http://quotes.money.163.com/hs/service/diyrank.php?host=http%3A%2F%2Fquotes.money.163.com%2Fhs%2Fservice%2Fdiyrank.php&page=0&query=STYPE%3AEQB&fields=NO%2CSYMBOL%2CNAME%2CPLATE_IDS%2CSNAME%2CCODE&sort=PERCENT&order=desc&count=100000&type=query",
-    ind_sse = "http://quotes.money.163.com/hs/service/hsindexrank.php?host=/hs/service/hsindexrank.php&page=0&query=IS_INDEX:true;EXCHANGE:CNSESH&fields=SYMBOL,NAME&sort=SYMBOL&order=asc&count=10000&type=query",
-    ind_szse = "http://quotes.money.163.com/hs/service/hsindexrank.php?host=/hs/service/hsindexrank.php&page=0&query=IS_INDEX:true;EXCHANGE:CNSESZ&fields=SYMBOL,NAME&sort=SYMBOL&order=asc&count=10000&type=query"
-  )
-
-  df_symbol = try(rbindlist(mapply(fun_symbol_163, symbol_url_163, c("stock","stock","index","index"), SIMPLIFY = FALSE), fill = TRUE), silent = TRUE)
-  if ('try-error' %in% class(df_symbol)) {
-    df_symbol = setDT(copy(symbol_stock_163))
-  }
+  # merge jsonDF with prov_indu_163
+  prov_indu_163 = setDT(copy(prov_indu_163))
 
-  symbol_163_format = function(df_symbol) {
-    type = . = id = name = symbol = tags = market = submarket = region = exchange = board = prov = indu = sec = NULL
-
-    # merge jsonDF with prov_indu_163
-    prov_indu_163 = setDT(copy(prov_indu_163))
-
+  if (all(c('province', 'industry', 'sector') %in% names(df_symbol))) {
     df_symbol = merge(df_symbol, prov_indu_163[type=="prov",.(province=id, prov=name)], by = "province", all.x = TRUE)
     df_symbol = merge(df_symbol, prov_indu_163[type=="indu",.(industry=id, indu=name)], by = "industry", all.x = TRUE)
     df_symbol = merge(df_symbol, prov_indu_163[type=="indu",.(sector=id, sec=name)], by = "sector", all.x = TRUE)
-
-    df_symbol = copy(df_symbol)[, `:=`(
-      market = ifelse(grepl("\\^", symbol), "index", "stock")#,
-      # region = "cn"
-    )][, tags:=mapply(tags_symbol_stockcn, symbol, market)
-     ][, c("exchange","submarket","board"):=tstrsplit(tags,",")
-     ][, .(market, submarket, exchange, board, symbol, name, province=prov, sector=sec, industry=indu)
-     ][order(-market, exchange, symbol)]
-
-    return(df_symbol)
   }
 
-  return(symbol_163_format(df_symbol))
+
+  if (!('market' %in% names(df_symbol))) {
+    df_symbol = copy(df_symbol)[, `:=`(market = ifelse(grepl("\\^", symbol), "index", "stock") )]
+  }
+  df_symbol = df_symbol[, tags := tags_symbol_stockcn(symbol, market)[,tags]
+     ][, c("exchange","submarket","board") := tstrsplit(tags,",")
+       # ][, .(market, submarket, exchange, board, symbol, name, province=prov, sector=sec, industry=indu)
+     ][order(-market, exchange, symbol)
+     ][, symbol := check_symbol_for_yahoo(symbol)
+     ][, tags := NULL]
+
+  return(df_symbol)
+}
+#' @import data.table
+#' @importFrom jsonlite fromJSON 
+md_stock_symbol_163 = function() {
+  df_syb = dat = md_stock_spotall_163(symbol = c('a', 'b', 'index'), only_symbol=TRUE)
+  return(df_syb)
 }
 
 # stock list of nasdaq

diff --git a/R/pq_addti.R b/R/pq_addti.R
@@ -31,7 +31,15 @@
 #   return(roll_max(x, n = n, align = "right", fill = NA, ...))
 # }
 
+bias = function(x, n=10, maType='SMA') {
+  bias_orig = (x/do.call(maType, list(x=x, n=n))-1)*100
+
+  bias_orig/runSD(bias_orig, n = 1, cumulative = TRUE)
+}
 
+maroc = function(x, n=10, m=3, maType='SMA') {
+  ROC(do.call(maType, list(x=x, n=n)), n=m)*100
+}
 
 # [1] "adjRatios" "growth" "lags" "rollSFM" "runPercentRank"  
 # Technical Overlays / Indicators
@@ -41,7 +49,7 @@ ti_overlays_indicators = function() {
                  'runMin', 'runMax', 'runMean', 'runMedian', 
                  'BBands', 'PBands', 
                  'DonchianChannel', 'SAR', 'ZigZag'),
-    indicators = c('runSD', 'runMAD', 'aroon', 'CCI', 'VHF', 'TDI', 'ADX', 'ATR', 'EMV', 'chaikinVolatility', 'volatility', 'OBV', 'chaikinAD', 'CLV', 'CMF', 'MFI', 'williamsAD', 'ROC', 'momentum', 'KST', 'TRIX', 'MACD', 'DPO', 'DVI', 'ultimateOscillator', 'RSI', 'CMO', 'stoch', 'SMI', 'WPR')
+    indicators = c('runSD', 'runMAD', 'aroon', 'CCI', 'VHF', 'TDI', 'ADX', 'ATR', 'EMV', 'chaikinVolatility', 'volatility', 'OBV', 'chaikinAD', 'CLV', 'CMF', 'MFI', 'williamsAD', 'ROC', 'momentum', 'KST', 'TRIX', 'MACD', 'DPO', 'DVI', 'ultimateOscillator', 'RSI', 'CMO', 'stoch', 'SMI', 'WPR', 'bias', 'maroc')
   )
 }
 
@@ -186,7 +194,7 @@ ti_fst_arg = function() {
     HL   = c('aroon', 'EMV', 'chaikinVolatility', 'DonchianChannel', 'SAR', 'ZigZag'), 
     price  = c('TDI', 'VHF', 'OBV', 'KST', 'TRIX', 'EVWMA', 'VWAP', 'DVI', 'RSI'),
     prices = 'PBands',
-    x = c('ROC','momentum','SMA','EMA','DEMA','WMA','ZLEMA','VMA','HMA','ALMA','GMMA','runSum','runMin','runMax','runMean','runMedian','runCov','runCor','runVar','runSD','runMAD','wilderSum','MACD','DPO','CMO')
+    x = c('ROC','momentum','SMA','EMA','DEMA','WMA','ZLEMA','VMA','HMA','ALMA','GMMA','runSum','runMin','runMax','runMean','runMedian','runCov','runCor','runVar','runSD','runMAD','wilderSum','MACD','DPO','CMO', 'bias', 'maroc')
   )
 }
 ti_sec_arg = function() {
@@ -242,7 +250,10 @@ addti1 = function(dt, ti, col_formula = FALSE, ...) {
     if (length(w)==1 & inherits(w, "character")) w = dt[,w,with=FALSE]
     arg_lst = c(arg_lst, list(w=w))
   }
-  arg_lst = c(arg_lst, list(...))
+  arg_lst = c(
+    arg_lst, 
+    list(...)[setdiff(names(list(...)), c('color', 'position', 'hline', 'height'))]
+  )
   arg_lst = arg_lst[unique(names(arg_lst))]
   dtti = data.table(do.call(ti, args = arg_lst))
 
@@ -337,7 +348,7 @@ pq1_addti = function(dt, ...) {
 #'    \item volatility measures: ATR, chaikinVolatility, volatility, SNR
 #'    \item money flowing into/out: OBV, chaikinAD, CLV, CMF, MFI, williamsAD
 #'    \item rate of change / momentum: ROC, momentum, KST, TRIX
-#'    \item oscillator: MACD, DPO, DVI, ultimateOscillator; RSI, CMO; stoch, WPR, SMI
+#'    \item oscillator: MACD, DPO, DVI, ultimateOscillator; RSI, CMO; stoch, SMI, WPR
 #' }
 #'
 #' @examples 

diff --git a/R/pq_backtest.R b/R/pq_backtest.R
@@ -1,6 +1,6 @@
 # back testing ------
 # [Backtesting Strategies with R](https://timtrice.github.io/backtesting-strategies/)
-# 
+# https://www.google.com/url?q=https://docs.google.com/presentation/d/1fGzDc-LFfCQJKHHzaonspuX1_TTm1EB5hlvCEDsz7zw/pub?&sa=D&ust=1553613215848000&usg=AFQjCNGxM3xCdMK4Lao1yUo_9lblAqFqEA
 
 # - quantstrat 0.9.1739
 # - blotter 0.9.1741
@@ -22,10 +22,10 @@
 
 # Terminology ------
 # - BTO: Buy to Open (open long positions)
+# - STC: Sell to close (close long positions)
+# - STO: Sell to open (open short positions)
 # - BTC: Buy to close (close short positions)
 # - SL: Stop-limit order
-# - STO: Sell to open (open short positions)
-# - STC: Sell to close (close long positions)
 # - TS: Trailing-stop order
 
 
@@ -43,19 +43,125 @@
 
 # signal
 # - sigComparison
+## - gt greater than
+## - lt less than
+## - eq equal to
+## - gte greater than or equal to
+## - lte less than or equal to
 # - sigCrossover
 # - sigFormula
 # - sigPeak
 # - sigThreshold
 # - sigTimestamp
 
-# rule
+# greater than
+gt  = function(a, b) setDT(list(a=a,b=b))[, a >  b]
+# less than
+lt  = function(a, b) setDT(list(a=a,b=b))[, a <  b]
+# equal than
+eq  = function(a, b) setDT(list(a=a,b=b))[, a == b]
+# greater than or equal to
+gte = function(a, b) setDT(list(a=a,b=b))[, a >= b]
+# less than or equal to
+lte = function(a, b) setDT(list(a=a,b=b))[, a <= b]
+# crossover
+co  = function(a, b) setDT(list(a=a,b=b))[, a>b & shift(b>=a,type='lag')]
+
+# rule type: risk, order, rebalance, exit, enter, chain
+# order type: limit, stoplimit, stoptrailing, market, iceberg
 
 
+#' Strategy backtesting
+#' 
+#' \code{pq_backtest} provides a simple way to backtest a trade strategy.
+#' 
+#' @param dt a list/dataframe of time series dataset
+#' @param addti list of technical indicators or numerical columes in dt. For technical indicator, it is calculated via \code{pq_addti}, which including overlay and oscillator indicators.
+#' @param init_equity initial equity
+#' @param date_range date range. Available value includes '1m'-'11m', 'ytd', 'max' and '1y'-'ny'. Default is max.
+#' @param from the start date. Default is NULL. If it is NULL, then calculate using date_range and end date.
+#' @param to the end date. Default is the current date.
+#' @param rule rules of trade strategy.
+#' @param stp_lmt_pct stop limit percent
+#' @param show_plot show plot
+#' @param ... Additional parameters
+#' 
+#' @export
 pq_backtest = function(
-    type = 'long', # 'short'
-
-    stop_limit
+    dt,
+    addti = NULL, 
+    init_equity = NULL,
+    date_range = 'max',
+    from = NULL,
+    to = Sys.Date(),
+    rule = list(
+        long = list(
+            enter = NULL,
+            exit  = NULL,
+            price = NULL,
+            stop_limit = NULL,
+            position = NULL
+        )
+    ),
+    stp_lmt_pct = 0.05,
+    show_plot = TRUE, ... 
 ) {
+    . = symbol = price = type = ssec = value = NULL
+
+    if (inherits(dt, 'list')) dt = rbindlist(dt)
+    dat = dt
+    if (!is.null(addti) & inherits(addti, 'list')) dat = do.call(pq_addti, args = c(list(dt=dat), addti))
+    if (inherits(dat, 'list')) dat = rbindlist(dat)
+
+    if ('long' %in% names(rule)) {
+        cat('[INFO] backtesting ... \n')
+
+        dat = dat[, bto := eval(parse(text = rule$long$enter))
+          ][, stc := eval(parse(text = rule$long$exit))
+          ][, stp := eval(parse(text = rule$long$stop_limit))]
+
+        position = rule$long$position
+
+
+        w_long = setDT(list(long_short='0',type='0',symbol='0',date=as.Date('1-1-1-1'),price=0,position=0))[.0]
+        bto = NULL
+        stc = NULL
+        stp = NULL
+        stplmt = NULL
+
+        for (i in dat[,.I]) {
+            if (!is.null(bto) && bto[,.N==1]) {
+                w_long = rbind(w_long, dat[i, .(long_short='long', type='bto', symbol, date, price=open, position = position)])
+                stplmt = dat[i,open*(1-stp_lmt_pct)]
+            }
+            if (((!is.null(stc) && stc[,.N==1]) 
+                 || (!is.null(stp) && stp[,.N==1]) 
+                 || (dat[i, open < stplmt])) 
+                && any(w_summary(w_long)[,position>0])) w_long = rbind(w_long, dat[i, .(long_short='long', type='stc', symbol, date, price=open, position = w_summary(w_long)[, -position])])
+
+
+            bto = dat[i][which(bto)]
+            stc = dat[i][which(stc)]
+            stp = dat[i][which(stp)]
+        }
+
+        w = copy(w_long)
+    }
 
-}
+    if (show_plot) {
+        w2 = w[,.(date, w_price=price, w_position=position, w_type=type)]
+        perf = pq_perf(pq_portfolio(ssec, w))[['equity']][,.(date, performance=value)]
+
+        addti_lst = list(w=list(), performance=list())
+        show_ti = list(...)$show_ti
+        if (show_ti) addti_lst = c(addti_lst, addti)
+
+        p = pq_plot(
+            dt = Reduce(function(x,y) merge(x,y, all=TRUE, by='date'), list(dt, w2, perf)),
+            addti = addti_lst, ...)
+        print(p)
+    }
+    return(w)
+}
+
+