r - 头寸调整

Question

我目前设置了回溯测试，它将投资我当前 Assets 的 25%。这导致的问题是，当我的资本开始增长时，该策略开始进行大量交易。

我如何指定投资股权*0.25，但最多限制为 1000 份合约？

下面是我的代码的相关部分。

感谢您的帮助。这让我沮丧了几个星期。

osInvestAll <- function (data, timestamp, orderqty, ordertype, orderside, equity, portfolio, symbol, ruletype, ..., orderprice, MaxPosn) 
{   
datePos <- format(timestamp,"%Y-%m-%d")

  updatePortf(Portfolio=portfolio,Symbol=symbol,Dates=datePos)
updateAcct(portfolio,Dates=datePos)   
updateEndEq(portfolio,Dates=datePos)     
Posn <- getPosQty(portfolio,Symbol=symbol,Date=datePos)
equity <- getEndEq(portfolio,datePos) 
ClosePrice <- getPrice(get(symbol))[datePos]
UnitSize <- as.numeric(trunc(0.25*equity/ClosePrice))



 osMaxPos <-function(data, timestamp, orderqty, ordertype, orderside, portfolio, symbol, ruletype, ...)
 addPosLimit(portfolio = portfolioname,symbol = symbollist,maxpos = 100, minpos = -100,timestamp =  as.POSIXct(init.date))

 if (Posn == 0) { 
    osInvestAll <- UnitSize } else
        {osInvestAll <- 0
         }

这就是我目前的规则，但我收到一条错误消息“未找到单位大小”

add.rule(strategyname,name='ruleSignal',
arguments = list(sigcol="longentry", sigval=TRUE,
replace=FALSE,
prefer='open',
orderside='long',
ordertype='market',
orderqty=unitsize,
orderset='ocolong',
osFUN = "osMaxPos",
maxSize='PosLimit'
),
type='enter',
label='LE'
)

在尝试更改之前我的原始规则(当它有效但占据大量位置时)

add.rule(strategyname,name='ruleSignal',
arguments = list(sigcol="longentry", sigval=TRUE,
replace=FALSE,
prefer='open',
orderside='long',
ordertype='market',
orderqty=1,
orderset='ocolong',
osFUN = "osInvestAll",
maxSize='PosLimit'
),
type='enter',
label='LE'
)

Answer 1

这是一个可重现的例子，我认为它符合您的要求？

如果 SPY 的 RSI 低于 60，该策略简单地进入多头头寸，如果 RSI 超过 70，则退出整个多头头寸。多头头寸的最大单位数be 为 1000 个单位。

您在 osInvestAll 中的代码有一些不正确/冗余的代码，我已将其省略。这是一个干净的最小订单大小调整函数，(我认为)它可以做你想做的。

此外，只是一个提示:您不需要在每个多头条目上调用 updateAcct 和 updateEndEq，以便为相关交易品种交易当前权益，因为这会在更大的模拟中增加不必要的额外计算时间。

osInvestAll <- function (data, timestamp, orderqty, ordertype, orderside, equity, portfolio, symbol, ruletype, ..., initEq) {
    datePos <- format(timestamp,"%Y-%m-%d")

    updatePortf(Portfolio=portfolio,Symbol=symbol,Dates=paste0(start(data), "/", datePos))
    # After updating portfolio profit, we can extract the Net.Trading.PL earned up to datePos.
    trading_pl <- sum(.getPortfolio(portfolio)$summary$Net.Trading.PL)
    # The total equity in the strategy for this symbol (and this symbol only in isolation always, as this is how quantstrat by default works with applyStrategy)
    equity <- initEq + trading_pl
    ClosePrice <- getPrice(data, prefer = "Close")[datePos]
    UnitSize <- as.numeric(trunc(0.25 * equity / ClosePrice))

    UnitSize <- osMaxPos(data, timestamp, UnitSize, ordertype, orderside, portfolio, symbol, ruletype, digits=0)
    UnitSize
}


library(quantstrat)


suppressWarnings(rm("order_book.RSI",pos=.strategy))
suppressWarnings(rm("account.RSI","portfolio.RSI",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st","stock.str","stratRSI","startDate","initEq",'start_t','end_t'))


strategy.st <- "RSI"

stratRSI <- strategy(strategy.st, store = TRUE)


add.indicator(strategy = strategy.st, name = "RSI", arguments = list(price = quote(getPrice(mktdata))), label="RSI")
add.signal(strategy = strategy.st, name="sigThreshold",arguments = list(threshold=70, column="RSI",relationship="gt", cross=TRUE),label="RSI.gt.70")

add.signal(strategy = strategy.st, name="sigThreshold",arguments = list(threshold=60, column="RSI",relationship="lt",cross=TRUE),label="RSI.lt.60")


add.rule(strategy = strategy.st, name='ruleSignal', arguments = list(sigcol="RSI.lt.60", sigval=TRUE, orderqty= 100, TxnFees=0, ordertype='market', orderside='long', pricemethod='market', replace=FALSE, osFUN=osInvestAll), type='enter', path.dep=TRUE)
add.rule(strategy = strategy.st, name='ruleSignal', arguments = list(sigcol="RSI.gt.70", sigval=TRUE, orderqty='all', TxnFees=0, ordertype='market', orderside='long', pricemethod='market', replace=FALSE), type='exit', path.dep=TRUE)


currency("USD")
symbols = c("SPY")
stock.str = symbols

startDate <- "1987-01-01"



getSymbols(stock.str,from=startDate, to= Sys.Date())



#getSymbols(stock.str,from=startDate, to= Sys.Date())

for(symbol in symbols){
    stock(symbol, currency="USD",multiplier=1)
}

SPY <- SPY["2015/"]


startDate='1999-12-31'
initEq=100000
port.st<-'RSI'

initPortf(port.st, symbols=symbols)
initAcct(port.st, portfolios=port.st, initEq=initEq)
initOrders(portfolio=port.st)

# Must add maxpos:
for(symbol in symbols){ addPosLimit(port.st, symbol, timestamp = startDate, maxpos = 1000) }

applyStrategy(strategy=strategy.st, portfolios=port.st, initEq = initEq)

# > applyStrategy(strategy=strategy.st, portfolios=port.st, initEq = initEq)
# [1] "2015-03-01 19:00:00 SPY 118 @ 211.990005"
# [1] "2015-03-03 19:00:00 SPY 118 @ 210.229996"
# [1] "2015-05-25 20:00:00 SPY 117 @ 210.699997"
# [1] "2015-10-21 20:00:00 SPY 119 @ 205.210007"
# [1] "2015-11-09 19:00:00 SPY 119 @ 208.559998"
# [1] "2015-12-02 19:00:00 SPY 119 @ 205.610001"
# [1] "2016-03-08 19:00:00 SPY 116 @ 199.380005"
# [1] "2016-04-05 20:00:00 SPY 119 @ 206.419998"
# [1] "2016-04-07 20:00:00 SPY 55 @ 204.5"
# [1] "2016-11-27 19:00:00 SPY -1000 @ 220.479996"
# [1] "2016-12-01 19:00:00 SPY 129 @ 219.679993"
# [1] "2016-12-07 19:00:00 SPY -129 @ 225.149994"
# [1] "2016-12-28 19:00:00 SPY 127 @ 224.350006"
# [1] "2017-01-09 19:00:00 SPY 126 @ 226.460007"
# [1] "2017-01-12 19:00:00 SPY 126 @ 227.050003"
# [1] "2017-01-17 19:00:00 SPY 126 @ 226.75"
# [1] "2017-01-30 19:00:00 SPY 126 @ 227.529999"
# [1] "2017-02-13 19:00:00 SPY -631 @ 233.699997"
# [1] "2017-03-14 20:00:00 SPY 125 @ 238.949997"
# [1] "2017-03-19 20:00:00 SPY 124 @ 236.770004"
# [1] "2017-04-30 20:00:00 SPY 124 @ 238.679993"
# [1] "2017-05-14 20:00:00 SPY 124 @ 240.300003"
# [1] "2017-05-17 20:00:00 SPY 124 @ 236.770004"
# [1] "2017-06-04 20:00:00 SPY -621 @ 243.990005"
# [1] "2017-06-18 20:00:00 SPY 125 @ 244.660004"
# [1] "2017-06-20 20:00:00 SPY 125 @ 242.949997"
# [1] "2017-08-10 20:00:00 SPY 125 @ 244.119995"
# [1] "2017-09-05 20:00:00 SPY 124 @ 246.899994"
# [1] "2017-09-21 20:00:00 SPY 124 @ 249.440002"

updatePortf(Portfolio=port.st,Dates=paste('::',as.Date(Sys.time()),sep=''))



tradeStats(port.st, "SPY")


 # Portfolio Symbol Num.Txns Num.Trades Net.Trading.PL Avg.Trade.PL Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits Gross.Losses Std.Dev.Trade.PL Std.Err.Trade.PL Percent.Positive Percent.Negative Profit.Factor
# SPY       RSI    SPY       29          4       24581.97     5548.314     4063.635       13360.36             0      22193.25            0         5460.273         2730.136              100                0            NA
# Avg.Win.Trade Med.Win.Trade Avg.Losing.Trade Med.Losing.Trade Avg.Daily.PL Med.Daily.PL Std.Dev.Daily.PL Std.Err.Daily.PL Ann.Sharpe Max.Drawdown Profit.To.Max.Draw Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity Min.Equity
# SPY      5548.314      4063.635              NaN               NA     5548.314     4063.635         5460.273         2730.136   16.13047    -19148.87            1.28373                NA                NA   24946.23  -18349.48
# End.Equity
# SPY   24581.97

您可以在输出中看到策略中最多存在 1000 个单位(长)。当发出多头信号时，每笔交易都是当前 Assets 的 25%。