quantstratTutorial_Size.Rnw

\documentclass[fleqn,xcolor=pdftex,dvipsnames,table]{beamer}

\input{boilerPlateUW}

\usepackage{etoolbox}
\makeatletter
\patchcmd{\beamer@sectionintoc}{\vskip1.5em}{\vskip1.3em}{}{}
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\AtBeginSection[]
{
   \begin{frame}
       \frametitle{Outline}
       % sectionstyle=<style for current section>/<style for other sections>
       % subsectionstyle=<style for current subsection>/<style for other subsections in current section>/<style for subsections in other sections>
       \tableofcontents[sectionstyle=show/shaded,subsectionstyle=show/show/hide]
   \end{frame}
}
\AtBeginSubsection[]
{
   \begin{frame}
       \frametitle{Outline}
       % sectionstyle=<style for current section>/<style for other sections>
       % subsectionstyle=<style for current subsection>/<style for other subsections in current section>/<style for subsections in other sections>
       \tableofcontents[sectionstyle=show/shaded,subsectionstyle=show/shaded/hide]
   \end{frame}
}

\title{Getting started with quantstrat}
\author{\href{http://faculty.washington.edu/gyollin/}{Guy Yollin}}
\date{R/Finance 2015}
\institute[Copyright \copyright \ 2015]{}
%\logo{\includegraphics[width=0.25in]{logo}}

<<echo=FALSE>>=
#########################################################################
# Copyright (C) 2011-2015 Guy Yollin                                    #
# License: http://www.gnu.org/licenses/gpl.html GPL version 2 or higher #
#########################################################################
@
<<include=FALSE>>=
library(knitr)
opts_chunk$set(tidy=FALSE,cache=FALSE,size='scriptsize',
  fig.path='figures/',fig.show='hide',fig.keep='last',
  fig.align='center',	fig.width=7,	fig.height=5,
  message=FALSE,warning=FALSE)
@
<<echo=FALSE,cache=FALSE>>=
options(width=81,continue=" ",digits=8)
@

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\begin{document}
\normalem
\lstset{language=Pascal,basicstyle=\scriptsize,tabsize=2}

%\frame{\titlepage}
\begin{frame}
\vb
\frametitle{\textcolor{purple}{Computational Finance and Risk Management}}
\begin{center}
\includegraphics[width=0.9\textwidth,keepaspectratio]{images/CFRM_Logo.png} \\ \vspace{2.0\baselineskip}
\LARGE {\textbf{Getting started with quantstrat}} \\ \vspace{2.0\baselineskip}
\large{Guy Yollin} \\ \vq
\scriptsize{Applied Mathematics\\University of Washington}
\end{center}
\end{frame}

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\begin{frame}
\frametitle{Outline}
\tableofcontents
\end{frame}

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\section{Introduction}
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\begin{frame}[fragile]
\frametitle{Download data}
<<>>=
library(PerformanceAnalytics)
library(quantmod)
library(lattice)
startDate <- '2010-01-01'  # start of data
endDate <-  '2015-05-01'   # end of data
Sys.setenv(TZ="UTC")       # set time zone
symbols = c("XLF", "XLP", "XLE", "XLY", "XLV", "XLI", "XLB", "XLK", "XLU")
@
\vm
<<echo=FALSE>>=
if(file.exists("XLX.RData"))
{
  load("XLX.RData")
} else {
  getSymbols(symbols, from=startDate, to=endDate, index.class="POSIXct")
  for(symbol in symbols) {
      x<-get(symbol)
      x<-adjustOHLC(x,symbol.name=symbol)
      x<-to.weekly(x,indexAt='lastof',drop.time=TRUE)
      indexFormat(x)<-'%Y-%m-%d'
      colnames(x)<-gsub("x",symbol,colnames(x))
      assign(symbol,x)
  }
  save(list=symbols,file="XLX.RData")
}
@
<<eval=FALSE>>=
  getSymbols(symbols, from=startDate, to=endDate, index.class="POSIXct")
  for(symbol in symbols) {
      x<-get(symbol)
      x<-adjustOHLC(x,symbol.name=symbol)
      x<-to.weekly(x,indexAt='lastof',drop.time=TRUE)
      indexFormat(x)<-'%Y-%m-%d'
      colnames(x)<-gsub("x",symbol,colnames(x))
      assign(symbol,x)
  }
@
\end{frame}

\begin{frame}[fragile]
\frametitle{Compute returns}
<<plotETF,echo=TRUE, fig.keep='all', tidy=FALSE>>=
prices <- NULL
for(i in 1:length(symbols))
  prices <- cbind(prices,Cl(get(symbols[i])))
colnames(prices) <- symbols
returns <- diff(log(prices))[-1, ]
num.ass <- ncol(returns)

xyplot(prices, xlab = "", layout = c(3, 3),type=c("l","g"))

stacked.df <- stack(as.data.frame(returns))
colnames(stacked.df) <- c("returns", "symbol")

densityplot(~returns | symbol, stacked.df, cex = 0.25, xlab="",type=c("l","g"))
@
\end{frame}

\begin{frame}[fragile]
\frametitle{Calculate and plot Bollinger bands}
<<XLFBB,cache=FALSE>>=
args(BBands)
b <- BBands(HLC=HLC(XLF["2013"]), n=20, sd=2)
tail(b)
myTheme<-chart_theme()
myTheme$col$dn.col<-'lightblue'
myTheme$col$dn.border <- 'lightgray'
myTheme$col$up.border <- 'lightgray'
chart_Series(XLF,TA='add_BBands(lwd=2)',theme=myTheme,name="XLF")
@
\end{frame}

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\section{Basic quantstrat strategy example}
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\begin{frame}[fragile]
\frametitle{Initialize instruments}
\begin{center}
\includegraphics[width=1.0\textwidth,keepaspectratio]{images/qsFlow1}
\end{center} \vspace{-1.5\baselineskip}
<<results='hide'>>=
library(quantstrat)
initDate <- '2009-12-31'
initEq <- 1e6
currency("USD")
stock(symbols, currency="USD",multiplier=1)
@
\begin{itemize}
  \item Initialize currency instrument first and then stock instrument
  \item Important that portfolio, account, and orderbook initialization date be before start of data
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{Initialize portfolio, account, and orders object}
\begin{center}
\includegraphics[width=1.0\textwidth,keepaspectratio]{images/qsFlow2}
\end{center} \vspace{-1.5\baselineskip}
<<results='hide'>>=
rm.strat("multiAsset.bb1") # remove portfolio, account, orderbook if re-run
initPortf(name="multiAsset.bb1", symbols, initDate=initDate)
initAcct(name="multiAsset.bb1", portfolios="multiAsset.bb1",
  initDate=initDate, initEq=initEq)
initOrders(portfolio="multiAsset.bb1", initDate=initDate)
@
<<results='hide'>>=
strategy("bbands", store=TRUE)
@
\begin{itemize}
  \item The function \texttt{rm.strat} removes any existing portfolio, account, or orderbook objects which facilitates re-running the code
  \item The function \texttt{strategy} initializes and new strategy object
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{Define indicators}
\begin{center}
\includegraphics[width=1.0\textwidth,keepaspectratio]{images/qsFlow3}
\end{center} \vspace{-1.5\baselineskip}
<<>>=
args(BBands)
@
<<results='hide'>>=
add.indicator("bbands", name = "BBands",
  arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'), label='bbInd')
@
\begin{itemize}
  \item Note that n and sd are not included in the indicator arguments list
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{Define signals}
\begin{center}
\includegraphics[width=1.0\textwidth,keepaspectratio]{images/qsFlow3}
\end{center} \vspace{-1.5\baselineskip}
<<results='hide'>>=
add.signal("bbands", name="sigCrossover",
  arguments=list(columns=c("High","up"),relationship="gt"),
  label="H.gt.UpperBand")
@
<<results='hide'>>=
add.signal("bbands", name="sigCrossover",
  arguments=list(columns=c("Low","dn"),relationship="lt"),
  label="L.lt.LowerBand")
@
\end{frame}

\begin{frame}[fragile]
\frametitle{Add rules}
\begin{center}
\includegraphics[width=1.0\textwidth,keepaspectratio]{images/qsFlow3}
\end{center} \vspace{-1.5\baselineskip}
<<results='hide'>>=
add.rule("bbands", name='ruleSignal',
  arguments=list(sigcol="H.gt.UpperBand",sigval=TRUE,
    orderqty=+100, ordertype='market', orderside='long'),
  type='enter',
  label='LongEntry')
@
<<results='hide'>>=
add.rule("bbands", name='ruleSignal',
  arguments=list(sigcol="L.lt.LowerBand",sigval=TRUE,
    orderqty= 'all', ordertype='market', orderside='long'),
  type='exit',
  label='LongExit')
@
\begin{itemize}
  \item Long-only channel breakout system with pyramiding
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{Data integrity check}
<<size='Tiny'>>=
checkBlotterUpdate <- function(port.st,account.st,verbose=TRUE)
{
  ok <- TRUE
  p <- getPortfolio(port.st)
  a <- getAccount(account.st)
  syms <- names(p$symbols)
  port.tot <- sum(sapply(syms,FUN = function(x) eval(parse(
    text=paste("sum(p$symbols",x,"posPL.USD$Net.Trading.PL)",sep="$")))))
  port.sum.tot <- sum(p$summary$Net.Trading.PL)
  if( !isTRUE(all.equal(port.tot,port.sum.tot)) ) {
    ok <- FALSE
    if( verbose )
      print("portfolio P&L doesn't match sum of symbols P&L")
  }
  initEq <- as.numeric(first(a$summary$End.Eq))
  endEq <- as.numeric(last(a$summary$End.Eq))
  if( !isTRUE(all.equal(port.tot,endEq-initEq)) ) {
    ok <- FALSE
    if( verbose )
      print("portfolio P&L doesn't match account P&L")
  }
  if( sum(duplicated(index(p$summary))) ) {
    ok <- FALSE
    if( verbose )
      print("duplicate timestamps in portfolio summary")
  }
  if( sum(duplicated(index(a$summary))) ) {
    ok <- FALSE
    if( verbose )
      print("duplicate timestamps in account summary")
  }
  return(ok)
}
@
\end{frame}

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\section{Position sizing}
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\begin{frame}
\frametitle{Position Sizing Methods}
There are 5 primary position sizing scenarios: \vh
\begin{itemize}
  \item Fixed order size with rules that prohibit pyramiding \vh
  \item Fixed order size with rules that allow pyramiding (no fixed position size) \vh
  \item Order size and position limit controlled via \texttt{addPosLimit} \vh
  \item Order size controlled via user-supplied order sizing function
  \begin{itemize}
    \item \texttt{osFUN} argument of \texttt{ruleSignal}
  \end{itemize} \vh
  \item Order/position size determined as a percent of account equity
  \begin{itemize}
    \item \texttt{applyStrategy.rebalancing}
  \end{itemize}
\end{itemize}
\end{frame}

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\subsection{Position limits}
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\begin{frame}
\frametitle{Position limits and levels}
\begin{itemize}
  \item Position limits are set for the portfolio as a run-time parameter \vb
  \item The function \texttt{osMaxPos} implements simple levels\footnote[frame,2]{The level is the number of pyramiding orders needed to reach the position limit} based maximum positions \vb
  \item The position sizing function \texttt{osMaxPos} must be passed via the \texttt{osFUN} argument of \texttt{ruleSignal} \vb
  \item The maximum position and levels are accessed via the functions \texttt{addPosLimit} and \texttt{getPosLimit}
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{The \texttt{ruleSignal} function}
\texttt{ruleSignal} is the default rule to generate a trade order on a signal \\
<<>>=
args(ruleSignal)
@
\textmd{Main arguments:}
\begin{mydescription}{ordertype}
  \item [sigcol] column name to check for signal
  \item [sigval] signal value to match
  \item [orderqty] quantity for order or 'all', modified by osFUN
  \item [ordertype] "market","limit","stoplimit","stoptrailing","iceberg"
  \item [orderside] "long", "short", or NULL
  \item [osFUN] function or name of order sizing function (default is osNoOp)
\end{mydescription}
\end{frame}

\begin{frame}[fragile]
\frametitle{Add rules with an order sizing function specified}
<<results='hide'>>=
enable.rule("bbands",type="enter",label="LongEntry",enabled=FALSE)
@
<<results='hide'>>=
add.rule("bbands", name='ruleSignal',
  arguments=list(sigcol="H.gt.UpperBand",sigval=TRUE,
    orderqty=+100, ordertype='market', orderside='long',
    osFUN='osMaxPos'),
  type='enter',
  label='LimitedLongEntry')
@
\begin{itemize}
  \item Use function \texttt{enable.rule} to enable and disable strategy rules
  \item The \texttt{ruleSignal} argument \texttt{osFUN} is set to \texttt{osMaxPos}
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{The \texttt{addPosLimit} function}
The function \texttt{addPosLimit} adds position and level limits to a strategy \\
<<>>=
args(addPosLimit)
@
\vh
\textmd{Main arguments:}
\begin{mydescription}{longlevels}
  \item [portfolio] text name of the portfolio
  \item [symbol] instrument identifier
  \item [maxpos] maximum long position size
  \item [longlevels] number of levels
\end{mydescription}
\begin{itemize}
  \item Setting levels to 1 results in an order size of the maximum size
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{Initialize portfolio and add position limits}
Position limits apply to individual assets in the portfolio
<<results='hide'>>=
rm.strat("multi.bb.limit") # remove portfolio, account, orderbook if re-run
initPortf(name="multi.bb.limit", symbols, initDate=initDate)
initAcct(name="multi.bb.limit", portfolios="multi.bb.limit",
  initDate=initDate, initEq=initEq)
initOrders(portfolio="multi.bb.limit", initDate=initDate)
@
<<>>=
for(symbol in symbols)
{
  addPosLimit("multi.bb.limit", symbol, initDate, 100, 1 )
}
@
\begin{itemize}
  \item Position limits are separated from the strategy and are a run-time constraint to the portfolio
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{Applying, update, and plot}
<<results='hide'>>=
out <- applyStrategy("bbands",
  portfolios="multi.bb.limit",parameters=list(sd=2,n=20))
@
<<results='hide'>>=
updatePortf("multi.bb.limit")
updateAcct("multi.bb.limit")
updateEndEq("multi.bb.limit")
@
<<>>=
checkBlotterUpdate("multi.bb.limit","multi.bb.limit")
@
<<XLBCPLIM,cache=FALSE>>=
chart.Posn("multi.bb.limit","XLU",TA="add_BBands(n=20,sd=2)",theme=myTheme)
@
\end{frame}

\begin{frame}
\frametitle{BBands strategy for XLU with position limit} \vm
\begin{center}
\includegraphics[width=0.95\textwidth,keepaspectratio]{figures/XLBCPLIM-1}
\end{center}
\end{frame}

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\subsection{User-supplied order sizing function}
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\begin{frame}[fragile]
\frametitle{The \texttt{osNoOp} function}
The function \texttt{osNoOp} is the default order sizing function\\
<<>>=
args(osNoOp)
@
\vh
\textmd{Main arguments:}
\begin{mydescription}{timestamp}
  \item [timestamp] timestamp (coercible into a POSIXct object) that will mark the time of order insertion
  \item [orderqty] the order quantity; modified by osFUN
  \item [portfolio] name of the portfolio for the order
  \item [symbol] symbol of instrument
  \item [ruletype] one of "risk", "order", "rebalance", "enter", "exit"
\end{mydescription}
\end{frame}

\begin{frame}[fragile]
\frametitle{Define order sizing function}
<<results='hide'>>=
osFixedDollar <- function(timestamp, orderqty, portfolio, symbol, ruletype, ...)
{
  pos <- getPosQty(portfolio, symbol, timestamp)
  if( isTRUE(all.equal(pos,0)) )
  {
    ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
    orderqty <- sign(orderqty)*round(tradeSize/ClosePrice,-2)
  } else {
    orderqty <- 0
  }
  return(orderqty)
}
@
\begin{itemize}
  \item Fixed dollar order size:
\begin{equation*}
  \text{orderqty} = \frac{\text{tradeSize}}{ClosePrice}
\end{equation*}
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{Add rules with an order sizing function specified}
<<results='hide'>>=
enable.rule("bbands",type="enter",label="LimitedLongEntry",enabled=FALSE)
@
<<results='hide'>>=
add.rule("bbands", name='ruleSignal',
  arguments=list(sigcol="H.gt.UpperBand",sigval=TRUE,
    orderqty=+100, ordertype='market', orderside='long',
    osFUN='osFixedDollar'),
  type='enter',
  label='FixedLongEntry')
@
\begin{itemize}
  \item Use function \texttt{enable.rule} to enable and disable strategy rules
  \item The \texttt{ruleSignal} argument \texttt{osFUN} is set to \texttt{osFixedDollar}
\end{itemize}
\end{frame}

\begin{frame}[fragile]
\frametitle{Initialize, applying, and update}
<<results='hide'>>=
rm.strat("fixed.dollar") # remove portfolio, account, orderbook if re-run
initPortf(name="fixed.dollar", symbols, initDate=initDate)
initAcct(name="fixed.dollar", portfolios="fixed.dollar",
  initDate=initDate, initEq=initEq)
initOrders(portfolio="fixed.dollar", initDate=initDate)
@
<<results='hide'>>=
tradeSize <- 100000
out <- applyStrategy("bbands",
  portfolios="fixed.dollar",parameters=list(sd=2,n=20))
@
<<results='hide'>>=
updatePortf("fixed.dollar")
updateAcct("fixed.dollar")
updateEndEq("fixed.dollar")
@
<<>>=
checkBlotterUpdate("fixed.dollar","fixed.dollar")
@
\end{frame}

\begin{frame}[fragile]
\frametitle{Per-trade statistics}
<<echo=FALSE>>=
options(width=105)
@
<<size='tiny'>>=
perTradeStats("fixed.dollar","XLF")
@
<<echo=FALSE>>=
options(width=82)
@
\begin{itemize}
  \item Each order is approximately \$100,000 in value
\end{itemize}
\end{frame}

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\section{Stop orders}
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\section{Parameter optimization}
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\begin{frame}
\frametitle{\textcolor{purple}{Computational Finance and Risk Management}}
\begin{center}
\includegraphics[width=0.75\textwidth,keepaspectratio]{images/CFRM_Logo.png} \\ \vb
\url{http://depts.washington.edu/compfin}
\end{center}
\end{frame}

\end{document}