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fix open position after close bug
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change exit condition
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gfeng committed Jul 26, 2012
1 parent 7c7fd3a commit 9810a8d
Showing 1 changed file with 70 additions and 11 deletions.
81 changes: 70 additions & 11 deletions tickcount_func.r
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Expand Up @@ -108,16 +108,16 @@ gen_entry_order <- function() {
if (signalList[[bwnum]]$t=="buy" && index_bwret_list[length(index_bwret_list)] > 0) {

limit_px <- index_px_list[length(index_px_list)]
num_shrs <- floor(total_capital*kelly/limit_px) # round down to nearest integer
num_shrs <- floor(total_capital*kelly/limit_px) # round down to nearest integer
new_order <- add_new_order(sector,"buy",num_shrs,limit_px,bwnum,idx_time[length(idx_time)],"EntryLong")

position_list <<- list(index=sector, side="long", qty=num_shrs, px=limit_px)
}
else if (signalList[[bwnum]]$t=="sell" && index_bwret_list[length(index_bwret_list)] < 0) {

limit_px <- index_px_list[length(index_px_list)]
num_shrs <- floor(total_capital*kelly/limit_px) # round down to nearest integer
new_order <- add_new_order(sector,"shortsell",num_shrs,limit_px,bwnum,idx_time[length(idx_time)],"EntryShort")
num_shrs <- floor(total_capital*kelly/limit_px) # round down to nearest integer
new_order <- add_new_order(sector,"sell",num_shrs,limit_px,bwnum,idx_time[length(idx_time)],"EntryShort")

position_list <<- list(index=sector, side="short", qty=num_shrs, px=limit_px)
}
Expand All @@ -131,27 +131,68 @@ gen_exit_order <- function() {
# if holing a short position, close when sw_score > 0

if ( position_list$side == "long"
&& (sw_score_list[length(sw_score_list)] < 0) ) {
&& (sw_score_list[length(sw_score_list)] < summary(sw_score_list)[2]) ) {
# close long position
limit_px <- index_px_list[length(index_px_list)]
num_shrs <- floor(total_capital*kelly/limit_px) # round down to nearest integer
entry_order_list[[bwnum]] <<- add_new_order(sector,"sell",num_shrs,limit_px,bwnum,idx_time[length(idx_time)],"Exit")
# use the existing position size
entry_order_list[[bwnum]] <<- add_new_order(sector,"sell",position_list$qty,limit_px,bwnum,idx_time[length(idx_time)],"Exit")

pnl_list[[bwnum]] <<- position_list$qty * ( limit_px - position_list$px )
position_list <<- NULL
}
else if (position_list$side == "short"
&& (sw_score_list[length(sw_score_list)] > 0) ) {
&& (sw_score_list[length(sw_score_list)] > summary(sw_score_list)[5]) ) {
# close long position
limit_px <- index_px_list[length(index_px_list)]
entry_order_list[[bwnum]] <<- add_new_order(sector,"buy",position_list$qty,limit_px,bwnum,idx_time[length(idx_time)],"Exit")

pnl_list[[bwnum]] <<- position_list$qty * ( position_list$px - limit_px )
position_list <<- NULL
}

#Generate Kelly's allocation factor using pnl_list information
# Trade Size = Winng % of total trade - (1-Winng % of total trade)/(total profit/total loss)
if(length(pnl_list) > 0) {
profit_list <- pnl_list[sapply(pnl_list, function(x) !is.na(x) && x > 0 )]
loss_list <- pnl_list[sapply(pnl_list, function(x) !is.na(x) && x < 0 )]
# use half kelly here to be conservative
winning_percent <- length(profit_list)/length(pnl_list)
kelly <<- winning_percent - (1-winning_percent)/(sum(unlist(profit_list))/sum(unlist(loss_list)))
kelly <<- kelly/2

cat("operating on new Kelly of ", kelly, "\n")
}

# sanity check
if(is.na(kelly) || kelly <=0 || kelly > 1) {
kelly <<- initial_allocation
}
}

gen_exit_order_v1.1 <- function() {
cat("\ngenerating exit order...\n")
# close only when signal sign changes

if ( position_list$side == "long"
&& signalList[[length(signalList)]]$t=="sell" ) {
# close long position
limit_px <- index_px_list[length(index_px_list)]
entry_order_list[[bwnum]] <<- add_new_order(sector,"sell",position_list$qty,limit_px,bwnum,idx_time[length(idx_time)],"Exit")

pnl_list[[bwnum]] <<- position_list$qty * ( limit_px - position_list$px )
position_list <<- NULL
}
else if (position_list$side == "short"
&& signalList[[length(signalList)]]$t=="buy" ) {
# close long position
limit_px <- index_px_list[length(index_px_list)]
num_shrs <- floor(total_capital*kelly/limit_px) # round down to nearest integer
entry_order_list[[bwnum]] <<- add_new_order(sector,"buy",num_shrs,limit_px,bwnum,idx_time[length(idx_time)],"Exit")
entry_order_list[[bwnum]] <<- add_new_order(sector,"buy",position_list$qty,limit_px,bwnum,idx_time[length(idx_time)],"Exit")

pnl_list[[bwnum]] <<- position_list$qty * ( position_list$px - limit_px )
position_list <<- NULL
}

#Generate Kelly's allocation factor using pnl_list information
#Generate Kelly's allocation factor using pnl_list information
# Trade Size = Winng % of total trade - (1-Winng % of total trade)/(total profit/total loss)
if(length(pnl_list) > 0) {
profit_list <- pnl_list[sapply(pnl_list, function(x) !is.na(x) && x > 0 )]
Expand All @@ -169,12 +210,30 @@ gen_exit_order <- function() {
kelly <<- initial_allocation
}


gen_eod_order <- function() {
# if holding a long position, close when sw_score < 0
# if holing a short position, close when sw_score > 0
cat("EOD reached, gen_eod_order. \n")

gen_exit_order()
if ( position_list$side == "long" ) {
# close long position
limit_px <- index_px_list[length(index_px_list)]
# use the existing position size
entry_order_list[[bwnum]] <<- add_new_order(sector,"sell",position_list$qty,limit_px,bwnum,idx_time[length(idx_time)],"Exit")

pnl_list[[bwnum]] <<- position_list$qty * ( limit_px - position_list$px )
position_list <<- NULL
}
else if (position_list$side == "short" ) {
# close long position
limit_px <- index_px_list[length(index_px_list)]
entry_order_list[[bwnum]] <<- add_new_order(sector,"buy",position_list$qty,limit_px,bwnum,idx_time[length(idx_time)],"Exit")

pnl_list[[bwnum]] <<- position_list$qty * ( position_list$px - limit_px )
position_list <<- NULL
}

}

gen_eod_report <- function() {
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