4

我还在玩 Guy Yollins quantstrat 的例子。在本例中，当 SPY 穿过其 10 日均线时，他买入 1000 股。由于我们定义了初始权益，是否可以始终购买整个投资组合的数量而不仅仅是 900 股？'all' 对输入不起作用，只是出口..

if (!exists('.blotter')) .blotter <- new.env()
if (!exists('.strategy')) .strategy <- new.env()
if (!exists('.instrument')) .instrument <- new.env()
currency("USD")
stock("SPY",currency="USD",multiplier=1)
ls(envir=FinancialInstrument:::.instrument)


initDate <- '1997-12-31'
startDate <- '1998-01-01'
endDate <- '2013-07-31'
initEq <- 1e6
Sys.setenv(TZ="UTC")
getSymbols('SPY', from=startDate, to=endDate, adjust=T)
SPY=to.monthly(SPY, indexAt='endof')
SPY$SMA10m <- SMA(Cl(SPY), 10)

# inz portfolio, account
qs.strategy <- "qsFaber"
rm.strat(qs.strategy) # remove strategy etc. if this is a re-run
initPortf(qs.strategy,'SPY', initDate=initDate)
initAcct(qs.strategy,portfolios=qs.strategy, initDate=initDate, initEq=initEq)


initOrders(portfolio=qs.strategy,initDate=initDate)
# instantiate a new strategy object
strategy(qs.strategy,store=TRUE)
add.indicator(strategy = qs.strategy, name = "SMA",
              arguments = list(x = quote(Cl(mktdata)), n=10), label="SMA10")
add.signal(qs.strategy,name="sigCrossover",
           arguments = list(columns=c("Close","SMA10"),relationship="gt"),
           label="Cl.gt.SMA")
add.signal(qs.strategy,name="sigCrossover",
           arguments = list(columns=c("Close","SMA10"),relationship="lt"),
           label="Cl.lt.SMA")

add.rule(qs.strategy, name='ruleSignal',
         arguments = list(sigcol="Cl.gt.SMA", sigval=TRUE, orderqty=900,
                          ordertype='market', orderside='long', pricemethod='market'),
         type='enter', path.dep=TRUE)
add.rule(qs.strategy, name='ruleSignal',
         arguments = list(sigcol="Cl.lt.SMA", sigval=TRUE, orderqty='all',
                          ordertype='market', orderside='long', pricemethod='market'),
         type='exit', path.dep=TRUE)


out <- applyStrategy(strategy=qs.strategy , portfolios=qs.strategy)
updatePortf(qs.strategy)
updateAcct(qs.strategy)
updateEndEq(qs.strategy)

myTheme<-chart_theme()
myTheme$col$dn.col<-'lightblue'
myTheme$col$dn.border <- 'lightgray'
myTheme$col$up.border <- 'lightgray'
# plot performance
chart.Posn(qs.strategy, Symbol = 'SPY', Dates = '1998::',theme=myTheme)
plot(add_SMA(n=10,col=4, on=1, lwd=2))
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3 回答 3

3

您不能orderqty="all"在条目上使用，因为"all"指的是当前头寸大小（即，当您想要退出整个头寸时）。

可以购买等于可用投资组合总资产的金额，但您必须定义自定义定单规模函数。并且该函数必须标记账簿（使用updatePortf）以确定可用权益的数量。

于 2013-10-21T12:23:50.713 回答
2

这是一个玩具示例，可以实现您想要的。

您需要引入定单规模功能。

查看函数的参数ruleSignal（例如formals(ruleSignal)和?ruleSignal）。

您会看到有一个参数osFUN，您可以在其中编写自定义函数，该函数将确定您如何订购尺寸。

您修改适当的参数add.rule以引入订单规模（在入场交易中）。

osFUN_all_eq <- 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))

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





library(quantstrat)

currency("USD")
stock("SPY",currency="USD",multiplier=1)


initDate <- '1997-12-31'
startDate <- '1998-01-01'
endDate <- '2013-07-31'
initEq <- 1e6
Sys.setenv(TZ="UTC")
getSymbols('SPY', from=startDate, to=endDate, adjust=T)
SPY=to.monthly(SPY, indexAt='endof')
SPY$SMA10m <- SMA(Cl(SPY), 10)


qs.strategy <- "qsFaber"
rm.strat(qs.strategy) # remove strategy etc. if this is a re-run
initPortf(qs.strategy,'SPY', initDate=initDate)
initAcct(qs.strategy,portfolios=qs.strategy, initDate=initDate, initEq=initEq)


initOrders(portfolio=qs.strategy,initDate=initDate)
# instantiate a new strategy object
strategy(qs.strategy,store=TRUE)


# Specify the max quantity you could hold in the SPY instrument.  Here we simply assume 1e5 units. You could reduce this number to limit the exposure
max_qty_traded <- 1e5
addPosLimit(qs.strategy, "SPY", timestamp = startDate, maxpos = max_qty_traded)

add.indicator(strategy = qs.strategy, name = "SMA",
              arguments = list(x = quote(Cl(mktdata)), n=10), label="SMA10")
add.signal(qs.strategy,name="sigCrossover",
           arguments = list(columns=c("Close","SMA10"),relationship="gt"),
           label="Cl.gt.SMA")
add.signal(qs.strategy,name="sigCrossover",
           arguments = list(columns=c("Close","SMA10"),relationship="lt"),
           label="Cl.lt.SMA")

add.rule(qs.strategy, name='ruleSignal',
         arguments = list(sigcol="Cl.gt.SMA",
                          sigval=TRUE,
                          orderqty = 1, # the acutal orderqty size becomes redundant when supplying a function to the argument `osFUN`
                          osFUN = osFUN_all_eq,
                          ordertype='market', orderside='long', pricemethod='market'),
         type='enter', path.dep=TRUE)


add.rule(qs.strategy, name='ruleSignal',
         arguments = list(sigcol="Cl.lt.SMA",
                          sigval=TRUE,
                          orderqty='all', # flatten all open long positions
                          ordertype='market',
                          orderside='long',
                          pricemethod='market'),
                          type='exit',
         path.dep=TRUE)


# supply initEq parameter and its value, which pass through to `osFUN`
out <- applyStrategy(strategy=qs.strategy , portfolios=qs.strategy, initEq=initEq)
updatePortf(qs.strategy)
updateAcct(qs.strategy)
updateEndEq(qs.strategy)

myTheme<-chart_theme()
myTheme$col$dn.col<-'lightblue'
myTheme$col$dn.border <- 'lightgray'
myTheme$col$up.border <- 'lightgray'
# plot performance
chart.Posn(qs.strategy, Symbol = 'SPY', Dates = '1998::',theme=myTheme)
plot(add_SMA(n=10,col=4, on=1, lwd=2))

在定单规模函数中，您应该考虑以下几点：

1) 如果您已经有一个未平仓头寸，您是否要允许在特定一侧“堆叠”/金字塔式的头寸？例如，如果您只想拥有一个职位，而您没有进一步贡献，您可以将其包含getPosQty(qs.strategy, "SPY", timestamp)在您的 osFUN 中，如果当前持有的职位不是 0，则返回 0。

2) 你想要最大交易规模吗？这可以使用addPosLimit()上面这个例子中的方法来处理。

于 2019-04-20T07:04:50.887 回答
0

我知道这个问题是很久以前发布的，但请查看包“IKTrading”和定单大小功能“osMaxDollar”。这是关于该主题的博客文章；当您使用此定单规模功能时，您可以设置每笔交易的美元价值和总头寸。

https://quantstrattrader.wordpress.com/2014/08/29/comparing-atr-order-sizing-to-max-dollar-order-sizing/

于 2015-07-30T19:20:00.340 回答