Quantstrat:Ordersize函数 [英] Quantstrat: Ordersize function

问题描述

我是R的新手，我试图弄清楚如何使quantstrat与自定义ordersize函数一起使用.想法是始终将所有可用的股权投资在比特币上，以便与B& H策略相当.我提供了可复制的代码.一开始它似乎工作正常，但是当我查看订单时会出现问题.也许他们在收盘价之间有些不匹配，但是quantstrat不会根据可用权益来订购比特币的数量. 例如. (from ="2016-12-31"到="2018-01-01")Quantstrat首先在920.730042处购买了价值10000美元的比特币，定单数量为10.8609467963901.在"2017-03-20"，它以1047.51001的价格出售了初始投资，因此现在的可用权益应为(10.8609467963901 x 1047.51001)= 11376.9504873，我希望Quantstrat在再次购买时应订购(11376.9504873/1129.869995)= 10.0692562309 BTC当BTCUSD = 1129.869995时为"2017-04-04".而是订购了10.3482135951968 BTC.有人可以指出正确的方向吗?

I'm new to R and I'm trying to figure out how to get quantstrat to work with a custom ordersize function. The idea is to always invest all available equity in Bitcoin so that it will be comparable to a B&H strategy. I have provided reproducible code. At first it seems to be working fine but the problem arises when I look at my orderbook. Maybe their is some mismatch between Closing prices but quantstrat doesn't order the amount of Bitcoin in accordance with the available equity. E.g. (from= "2016-12-31" to= "2018-01-01") At "2017-01-30" quantstrat first buys USD 10000 worth of bitcoin at 920.730042 with the orderqty being 10.8609467963901. At "2017-03-20" it sells the initial investment at 1047.51001 thereby the avaible equity should now be (10.8609467963901 x 1047.51001)= 11376.9504873 and I would expect that quantstrat should order (11376.9504873 / 1129.869995)= 10.0692562309 BTC when it buys again at "2017-04-04" when BTCUSD = 1129.869995. Instead 10.3482135951968 BTC is ordered. Could someone please point me in the right direction?

Order.Qty                    Order.Price    Order.Type Order.Side 
2017-01-30 "10.8609467963901" "920.730042"   "market"   "long"     NA             
2017-03-20 "all"              "1047.51001"   "market"   "long"     NA             
2017-04-04 "10.3482135951968" "1129.869995"  "market"   "long"     NA             
2017-06-27 "all"              "2577.73999"   "market"   "long"     NA             
2017-07-23 "9.36005714412325" "2763.42041"   "market"   "long"     NA             
2017-09-12 "all"              "3870.289551"  "market"   "long"     NA             
2017-09-28 "7.68025279952473" "4172.790527"  "market"   "long"     NA             
2017-12-27 "all"              "15416.633789" "market"   "long"     NA 

---

library("quantstrat")
init.portf <- "2016-12-31"
.from <- init.portf
.to <-"2018-01-01"

Sys.setenv(TZ="UTC")
initEq <- 10000

getSymbols("BTCUSD=X", src = "yahoo", from= .from, to= .to)
BTCUSD <- `BTCUSD=X`
currency(c("USD", "BTC"))
exchange_rate("BTCUSD", currency = "USD")

trend1.strat <- "TrendStrat1"
rm.strat(trend1.strat)

strategy(name=trend1.strat,store=TRUE)

add.indicator(strategy=trend1.strat,name="SMA",
arguments=list(x=quote(Cl(mktdata)),n=5),label="FastSMA")

add.indicator(strategy=trend1.strat,name="SMA",
arguments=list(x=quote(Cl(mktdata)),n=20),label="SlowSMA")

add.signal(strategy=trend1.strat,name="sigCrossover",
arguments=list(columns=c("FastSMA","SlowSMA"),
relationship="gt"),label="BuySignal")

add.signal(strategy=trend1.strat,name="sigCrossover",
arguments=list(columns=c("FastSMA","SlowSMA"),
relationship="lt"),label="SellSignal")

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))

     trading_pl <- sum(.getPortfolio(portfolio)$summary$Net.Trading.PL)
     equity <- initEq + trading_pl
     ClosePrice <- getPrice(data, prefer = "Close")[datePos]
     UnitSize <- as.numeric((equity / ClosePrice))

     UnitSize

}

add.rule(strategy=trend1.strat,name='ruleSignal',
arguments=list(sigcol="BuySignal",sigval=TRUE,ordertype='market',
orderside='long', osFUN = osInvestAll, prefer = 
"Close"),type='enter',label="EnterRule",enabled=T)

add.rule(strategy=trend1.strat,name='ruleSignal',
arguments=list(sigcol="SellSignal",sigval=TRUE,orderqty='all',
ordertype='market',orderside='long', prefer 
="Close"),type='exit',label="ExitRule",enabled=T)

trend1.portf <- "TrendPort1"
rm.strat(trend1.portf)

initPortf(name=trend1.portf,symbols="BTCUSD",initDate=init.portf)

initAcct(name=trend1.strat,portfolios=trend1.portf,
initDate=init.portf,initEq= initEq)

initOrders(portfolio=trend1.portf,initDate=init.portf)

applyStrategy(strategy=trend1.strat,portfolios=trend1.portf, initEq = 
initEq)

updatePortf(Portfolio=trend1.portf)

updateAcct(name=trend1.strat)

updateEndEq(Account=trend1.strat)

trend1.book <- getOrderBook(portfolio=trend1.portf)
trend1.book

推荐答案

通过调整ordersize函数来解决此问题:

Fixed this problem by adjusting the ordersize function:

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

datePos <- strptime(c(datePos), format = "%Y-%m-%d %H:%M:%OS", tz = 
"UTC") + 86400 #for daily data

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((equity / ClosePrice))
UnitSize1 <- round(UnitSize, digits = 8)
UnitSize1
}

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