Type: Package
Title: Generic Framework to Analyze Trading Strategies
Version: 1.0.1
Date: 2017-08-21
Author: Julian Busch
Maintainer: Julian Busch <jb@quants.ch>
Depends: R (≥ 3.2.3)
Imports: stats, utils, graphics, grDevices, methods, zoo, xts
Description: Users can build and test customized quantitative trading strategies. Some quantitative trading strategies are already implemented, e.g. various moving-average filters with trend following approaches. The implemented class called "Strategy" allows users to access several methods to analyze performance figures, plots and backtest the strategies. Furthermore, custom strategies can be added, a generic template is available. The custom strategies require a certain input and output so they can be called from the Strategy-constructor.
License: GPL-2 | GPL-3 [expanded from: GPL]
LazyData: TRUE
Suggests: knitr
VignetteBuilder: knitr
RoxygenNote: 6.0.1
NeedsCompilation: no
Packaged: 2017-08-22 15:47:53 UTC; jbusch
Repository: CRAN
Date/Publication: 2017-08-24 16:30:36 UTC

Expected Shortfall

Description

Expected Shortfall of the assets or portfolio of an object of class Strategy.

Usage

ES(object, alpha=0.05, V=1
       , type="normal.distribution", method="full"
       , of="portfolio", from=NULL, until=NULL, which=NULL
       , scaling.periods=NULL, include.weights=TRUE
       , include.costs=TRUE, use.backtest=FALSE)

## S4 method for signature 'Strategy'
ES(object, alpha = 0.05, V = 1,
  type = c("normal.distribution", "historical"), method = c("full",
  "linear"), of = c("portfolio", "assets"), from = NULL, until = NULL,
  which = NULL, scaling.periods = NULL, include.weights = TRUE,
  include.costs = TRUE, use.backtest = FALSE)

Arguments

object

An object of class Strategy.

alpha

The significance level \alpha that is used for probability of cumulative loss at level 1-\alpha.

V

Volume that is invested. The linear factor for the ES calculation. Either a single value for portfolio or a vector for each asset.

type

Type of ES calculation. Use normal.distribution for the normal distribution, historical for the empirical distribution.

method

Method of loss calculation. Use linear for approximation with log returns or full for calculation with arithmetic returns.

of

ES to be calculated for assets separately or the portfolio.

from

The date in character format "yyyy-MM-dd" or as date-object from which losses shall be considered. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which losses shall be considered. If NULL, no restriction is made.

which

Names or number of assets that should be included in calculation.

scaling.periods

Vector with annualization factors for calculation. Default is 252, 52, 12, 4, 1 for daily, weekly, monthly, quarterly and yearly data respectively.

include.weights

Only relevant if of="assets": If FALSE, weights are all set to 1. This might be necessary if only single stock performance without weighting shall be considered.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for ES calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

use.backtest

If TRUE, the performance of the backtesting output is considered for VaR calculation. If FALSE, the performance of the initial strategy execution are used.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get ES of MA(200)-Strategy portfolio
ES(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get backtest ES of MA(200)-Strategy (backtest would need to be executed first!)
# ES(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

##End(Not run)

Strategy Performance Maximum Drawdown

Description

Gets the maximum drawdown of the performance of an object of class Strategy.

Usage

MDD(object, of="portfolio"
       , from=NULL, until=NULL, which=NULL
       , type="relative", include.costs=TRUE
       , use.backtest=FALSE)

## S4 method for signature 'Strategy'
MDD(object, of = c("portfolio", "assets"), from = NULL,
  until = NULL, which = NULL, type = c("absolute", "relative"),
  include.costs = TRUE, use.backtest = FALSE)

Arguments

object

An object of class Strategy.

of

Maximum Drawdown to be calculated for assets separately or the portfolio.

from

The date in character format "yyyy-MM-dd" or as date-object from which performance shall be considered. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which performance shall be considered. If NULL, no restriction is made.

which

Names or number of assets that should be included in calculation.

type

If the absolute or relative drawdown of the performance shall be returned.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

use.backtest

If set to TRUE, the signals from the backtesting output are considered for maximum drawdown calculation. If FALSE, the signals from the initial strategy execution are used.

Examples

## Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get MDD of MA(200)-Strategy portfolio
MDD(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get MDD of MA(200)-Strategy (daily data = 252 trading days)
# MDD(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

## End(Not run)

Create Strategy Object

Description

Creates an object of class Strategy with the given portfolio data and strategy-function.

Usage

Strategy(assets, strat = "buyhold"
     , assetValueType = c("price", "logReturn"), weights = NULL, indicators = list()
     , strat.params = list(), volume = 1000000
     , costs.fix = 0, costs.rel = 0
     , printSteps = FALSE)

Arguments

assets

Time series of class xts of asset values in either price or log return form on which the strategy function shall be applied. This is the portfolio of assets.

strat

The name of the strategy that should be applied. This can be either a predefined strategy like MA or EWMA or a self-written function in which case the full path to the function file to be called must be supplied.

assetValueType

Assets can be passed as prices or log returns. In order to identify the asset value types, either one of the types has to be selected.

weights

The portfolio weights for the given assets as time series (dynamic) or numerical (constant) weights.

indicators

A list of indicators that might be used within customized strategies. It is recommended to pass a named list.

strat.params

The list of parameters and their values required by the strategy function selected with parameter strat.

volume

Portfolio volume for trading. Default value is 1 Million.

costs.fix

The fix trading costs per trade.

costs.rel

The trading costs, relative to the volume. I.e. a value of 10E-4 reflects the costs of 10 basis points of the traded volume.

printSteps

This is a feature used mainly for debugging the constructor function in order to localize where unspecified errors occur. If set to true, the different steps run within the constructor is printed to the console.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Own MA-strategy-function
# myStrat.MA <- Strategy(assets=assets, strat="C:/MA_function.R")

##End (Not run)

Strategy-Class

Description

An S4 class to store quantitative strategies and compute various performance figures.

Slots

prices

Price data of the assets. If return data was given within the constructor, starting at 100.

weights

Time series of class xts indicating row wise weights of the assets.

indicators

List of indicators of class xts.

strat

Name of the strategy function to be called. Could be a full file path to a custom strategy.

strat.params

List of parameters as input for the strategy function. List entry names should match parameter names.

stratFUN

Contains the custom strategy function or NULL.

plotFUN

Contains the custom strategy function or NULL.

filters

List with filtered price data (e.g. MA(200)-data).

signals

Time series with trading signals of class xts.

backtest.signals

Time series with trading signals of the backtest of class xts.

backtest.parameters

List of parameters of the backtest.

backtest.setup

Matrix showing the backtest preferences.

volume

Numeric vector indicating the initial investment volume per asset.

costs.fix

Numeric vector indicating the fixed costs per trade per asset.

costs.rel

Numeric vector indicating the relative costs per trade per asset.

Value at Risk

Description

Value at Risk of the assets or portfolio of an object of class Strategy.

Usage

VaR(object, alpha=0.05, V=1, type="normal.distribution"
       , method="full", of="portfolio"
       , from=NULL, until=NULL, which=NULL
       , scaling.periods=NULL, include.weights=TRUE
       , include.costs=TRUE, use.backtest=FALSE)

## S4 method for signature 'Strategy'
VaR(object, alpha = 0.05, V = 1,
  type = c("normal.distribution", "historical"), method = c("full",
  "linear"), of = c("portfolio", "assets"), from = NULL, until = NULL,
  which = NULL, scaling.periods = NULL, include.weights = TRUE,
  include.costs = TRUE, use.backtest = FALSE)

Arguments

object

An object of class Strategy.

alpha

The significance level \alpha that is used for propability of cumulative loss at level 1-\alpha.

V

Volume that is invested. The linear factor for the VaR calculation. Either a single value for portfolio or a vector for each asset.

type

Type of VaR calculation. Use normal.distribution for the normal distribution, historical for the empirical distribution. Default value is historical.

method

Method of loss calculation. Use linear for approximation with log returns or full for calculation with arithmetic returns. Default value is full.

of

VaR to be calculated for assets separately or the portfolio.

from

The date in character format "yyyy-MM-dd" or as date-object from which losses shall be considered. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which losses shall be considered. If NULL, no restriction is made.

which

Names or number of assets that should be included in calculation.

scaling.periods

Vector with annualization factors for calculation. Default is 252, 52, 12, 4, 1 for daily, weekly, monthly, quarterly and yearly data respectively.

include.weights

Only relevant if of="assets": If FALSE, weights are all set to 1. This might be necessary if only single stock performance without weighting shall be considered.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

use.backtest

If TRUE, the performance of the backtesting output is considered for VaR calculation. If FALSE, the performance of the initial strategy execution are used.

Examples

## Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get VaR of MA(200)-Strategy portfolio
VaR(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get backtest VaR of MA(200)-Strategy
# VaR(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

## End(Not run)

Random walks for 10 assets as example data.

Description

The dataset contains the price data (not returns!), each starting at a value of 100. The dates are randomly recreated by choosing the latest date as Sys.Date() going backwards on a daily basis per row.

Usage

assets

Format

An xts-object with 1000 rows and 10 variables:

asset1

Column with price data of a random walk called asset1.

asset2

Column with price data of a random walk called asset2.

...

Backtest Strategy

Description

Walk forward analysis backtest with the specified parameters on an object of class Strategy. The backtest calibrates the parameters according to the specification given by the user (in-sample) and returns the trading signals for the following period (out-of-sample). This is iteratively repeated on a shifting time window. Computer performance is critical with this function.

Usage

backtest(object, horizon = "6m", data.width = "24m", keep.history = F,
  optim.param = NULL, optim.param.min = 1, optim.param.max = 10,
  optim.param.scale = 0.1, from = NULL, until = NULL, which = NULL,
  rf = 0, printSteps = F)

## S4 method for signature 'Strategy'
backtest(object, horizon = "6m", data.width = "24m",
  keep.history = F, optim.param = NULL, optim.param.min = 1,
  optim.param.max = 10, optim.param.scale = 0.1, from = NULL,
  until = NULL, which = NULL, rf = 0, printSteps = F)

Arguments

object

An object of class Strategy.

horizon

The out-of-sample period length.

data.width

The in-sample period length used for calibration.

keep.history

If set to TRUE, the starting point of in-sample data is kept fixed, so the period extends each iteration.

optim.param

A character vector providing the names of the parameters to be calibrated. Parameters that are not provided will be kept fix.

optim.param.min

A numeric vector providing the minimum values of the parameters that are calibrated.

optim.param.max

A numeric vector providing the maximum values of the parameters that are calibrated.

optim.param.scale

A numeric vector providing the scaling of the parameters that are calibrated. It is advisable to set scaling of the parameters to the smallest unit that makes sense.

from

The date in character format "yyyy-MM-dd" or as date-object from which assets shall be considered. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which assets shall be considered. If NULL, no restriction is made.

which

Names or number of assets that should be included in backtest

rf

Risk free rate in decimal, e.g. rf=0.01 equals 1 percent.

printSteps

This is a feature used mainly for debugging the constructor function in order to localize where unspecified errors occur. If set to true, the different steps run within the constructor is printed to the console.

Examples

##Not run:
# MA(200)-Strategy
params <- list(k=20)
# reduce dataset due to computation time
assets_r <- assets[tail(zoo::index(assets),100)]
myStrat.MA <- Strategy(assets=assets_r, strat="MA", strat.params=params)

# Perform backtest on MA(20)-Strategy with
# out-of-sample periods of 2 months
# and in-sample-calibration of 2 months
# This example requires a lot of computation time,
# so this is only performed for 1 asset and high scaling.
backtest(myStrat.MA, horizon="2m", data.width="2m"
         , optim.param="k", optim.param.min=5, optim.param.max=10
         , optim.param.scale=5, printSteps = TRUE, which=1)
##End(Not run)

Compare performance of Strategy-objects.

Description

Compare the portfolio performance indicators of an arbitrary number of objects of class Strategy.

Usage

compare(..., from=NULL, until=NULL, which=NULL
       , scaling.periods=NULL, include.costs=TRUE
       , use.backtest=FALSE, include.params=FALSE)

## S4 method for signature 'Strategy'
compare(..., from = NULL, until = NULL, which = NULL,
  scaling.periods = NULL, include.costs = TRUE, use.backtest = FALSE,
  include.params = FALSE)

Arguments

...

Objects of class Strategy.

from

The date in character format "yyyy-MM-dd" or as date-object from which performance shall be considered. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which performance shall be considered. If NULL, no restriction is made.

which

Names or number of assets that should be included in calculation.

scaling.periods

Vector with annualization factors for calculation. Default is 252, 52, 12, 4, 1 for daily, weekly, monthly, quarterly and yearly data respectively.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

use.backtest

If TRUE, the performance of the backtesting output is considered for performance indicator calculation. If FALSE, the performance of the initial strategy execution are used.

include.params

If TRUE the parameters of the strategies are included in their names. E.g. MA(k=200) instead of MA as strategy name for moving average.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# EWMA(0.05)-Strategy
params <- list(lambda=0.05)
myStrat.EWMA <- Strategy(assets=assets, strat="EWMA", strat.params=params)

# Compare annualized performance of MA(200) and EWMA(0.05)
# compare(myStrat.MA, myStrat.EWMA, use.backtest=TRUE, scaling.periods=252)

##End(Not run)

Get backtest parameter values from Strategy-object

Description

Gets the backtest parameter values of an object of class Strategy that were used for backtesting the strategy. This includes the information about the parameters,

Usage

getBacktestSetup(object)

## S4 method for signature 'Strategy'
getBacktestSetup(object)

Arguments

object

An object of class Strategy.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get backtest setup from MA(200)-Strategy
getBacktestSetup(myStrat.MA)

##End(Not run)

Get strategy function from Strategy-object

Description

Returns the fixed and relative trading costs of an object of class Strategy..

Usage

getCosts(object)

## S4 method for signature 'Strategy'
getCosts(object)

Arguments

object

An object of class Strategy.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get strategy function from MA(200)-Strategy
MA.costs <- getCosts(myStrat.MA)
# return fix costs
MA.costs$fix
# return relative costs
MA.costs$relative

##End(Not run)

Get strategy values from Strategy-object

Description

Gets the strategy values of an object of class Strategy that were output from strategy calculation.

Usage

getFilters(object, which = NULL)

## S4 method for signature 'Strategy'
getFilters(object, which = NULL)

Arguments

object

An object of class Strategy.

which

Which filters shall be returned. Either list number or names to be passed.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get strategy values from MA(200)-Strategy
getFilters(myStrat.MA) # all strategy values returned

##End(Not run)

Get indicators from Strategy-object

Description

Gets the indicators data of an object of class Strategy that was used within strategy calculation.

Usage

getIndicators(object, from = NULL, until = NULL, which = NULL)

## S4 method for signature 'Strategy'
getIndicators(object, from = NULL, until = NULL,
  which = NULL)

Arguments

object

An object of class Strategy.

from

The date in character format "yyyy-MM-dd" or as date-object from which indicators shall be returned. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which indicators shall be returned. If NULL, no restriction is made.

which

Names or list-number of indicators that should be included. If NULL, all indicators are returned.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
randreturns <- xts::xts(rnorm(nrow(assets)), order.by=
seq(from=Sys.Date()-nrow(assets)+1, to=Sys.Date(), by="d"))
indicators <- list(returns=randreturns) # example: random returns
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params, indicators=indicators)

# Get indicator data from MA(200)-Strategy
getIndicators(myStrat.MA, from="2015-01-01", until="2015-12-31")

##End(Not run)

Get strategy function parameters from Strategy-object

Description

Gets the strategy function parameters of an object of class Strategy that were used for strategy calculation.

Usage

getParameters(object, use.backtest = FALSE)

## S4 method for signature 'Strategy'
getParameters(object, use.backtest = FALSE)

Arguments

object

An object of class Strategy.

use.backtest

If set to TRUE, the calibrated parameters of the backtest are returned. Requires backtest to be executed first.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get parameters from MA(200)-Strategy
getParameters(myStrat.MA)

##End(Not run)

Get price data from Strategy-object

Description

Gets the price data of an object of class Strategy that was used within strategy calculation.

Usage

getPrices(object, from = NULL, until = NULL, which = NULL)

## S4 method for signature 'Strategy'
getPrices(object, from = NULL, until = NULL,
  which = NULL)

Arguments

object

An object of class Strategy.

from

The date in character format "yyyy-MM-dd" or as date-object from which prices shall be returned. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which prices shall be returned. If NULL, no restriction is made.

which

Names or column-number of assets that should be included. If NULL, all prices are returned.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get price data from MA(200)-Strategy
getPrices(myStrat.MA, from="2015-01-01", until="2015-12-31")

##End(Not run)

Get trading signals from Strategy-object

Description

Gets the trading signals of an object of class Strategy that were output from strategy calculation.

Usage

getSignals(object, from = NULL, until = NULL, which = NULL,
  use.backtest = FALSE)

## S4 method for signature 'Strategy'
getSignals(object, from = NULL, until = NULL,
  which = NULL, use.backtest = FALSE)

Arguments

object

An object of class Strategy.

from

The date in character format "yyyy-MM-dd" or as date-object from which signals shall be returned. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which signals shall be returned. If NULL, no restriction is made.

which

Names or column-number of assets that should be returned. If NULL, all signals are returned.

use.backtest

If set to TRUE, the signals of the backtest are returned. Requires backtest to be executed first.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get signals from MA(200)-Strategy
# all signals returned
getSignals(myStrat.MA)
# backtest signals for first two assets returned
# getSignals(myStrat.MA, which=c(1,2), use.backtest=TRUE)

##End(Not run)

Get strategy function from Strategy-object

Description

Gets the strategy function of an object of class Strategy that was used for strategy calculation.

Usage

getStratFUN(object)

## S4 method for signature 'Strategy'
getStratFUN(object)

Arguments

object

An object of class Strategy.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get strategy function from MA(200)-Strategy
MA.FUN <- getStratFUN(myStrat.MA)

##End(Not run)

Get strategy function name from Strategy-object

Description

Gets the strategy function name of an object of class Strategy that was used for strategy calculation. This function is for aesthetic purposes only and does not have any numerical relevance.

Usage

getStratName(object, include.params = FALSE)

## S4 method for signature 'Strategy'
getStratName(object, include.params = FALSE)

Arguments

object

An object of class Strategy.

include.params

If set to TRUE, the parameters used for strategy evaluation are included.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get strategy function name from MA(200)-Strategy
getStratName(myStrat.MA) # returns "MA"
getStratName(myStrat.MA, include.params=TRUE) # returns "MA(200)"

##End(Not run)

Get trades according to the signals from the Strategy-object

Description

Gets the trades of an object of class Strategy that were performed within strategy calculation.

Usage

getTrades(object, from = NULL, until = NULL, which = NULL,
  of = "signals", use.backtest = FALSE)

## S4 method for signature 'Strategy'
getTrades(object, from = NULL, until = NULL,
  which = NULL, of = c("signals", "weights"), use.backtest = FALSE)

Arguments

object

An object of class Strategy.

from

The date in character format "yyyy-MM-dd" or as date-object from which trades shall be returned. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which trades shall be returned. If NULL, no restriction is made.

which

Names or column-number of assets that should be included. If NULL, trades for all assets are returned.

of

Trades to be calculated on basis of trading signals or weights of portfolio.

use.backtest

If set to TRUE, the trades of the backtest are returned. Requires backtest to be executed first.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get price data from MA(200)-Strategy
getTrades(myStrat.MA, from="2015-01-01", until="2015-12-31")

##End(Not run)

Get weights from Strategy-object

Description

Gets the weights data of an object of class Strategy that was used within strategy calculation.

Usage

getWeights(object, from = NULL, until = NULL, which = NULL,
  use.backtest = FALSE)

## S4 method for signature 'Strategy'
getWeights(object, from = NULL, until = NULL,
  which = NULL, use.backtest = FALSE)

Arguments

object

An object of class Strategy.

from

The date in character format "yyyy-MM-dd" or as date-object from which weights shall be returned If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which weights shall be returned. If NULL, no restriction is made.

which

Names or column-number of assets that should be included. If NULL, all weights are returned.

use.backtest

If set to TRUE, the weights of the backtest are returned. Requires backtest to be executed first.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get weights data from MA(200)-Strategy
getWeights(myStrat.MA, from="2015-01-01", until="2015-12-31")

##End(Not run)

Strategy Hit Ratio

Description

Gets the hitratio of the signals of an object of class Strategy.

Usage

hitratio(object, of="portfolio"
       , from=NULL, until=NULL, which=NULL
       , type="per.signal", include.costs=TRUE
       , use.backtest=FALSE)

## S4 method for signature 'Strategy'
hitratio(object, of = c("portfolio", "assets"),
  from = NULL, until = NULL, which = NULL, type = c("per.signal",
  "per.trade"), include.costs = TRUE, use.backtest = FALSE)

Arguments

object

An object of class Strategy.

of

Hit Ratio to be calculated for assets separately or the portfolio (weighted hit ratios according to average asset weights).

from

The date in character format "yyyy-MM-dd" or as date-object from which returns shall be considered. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which returns shall be considered. If NULL, no restriction is made.

which

Names or number of assets that should be included in calculation.

type

If the hitratio shall be calculated per trade with per.trade or per signal per.signal.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

use.backtest

If set to TRUE, the signals from the backtesting output are considered for maximum drawdown calculation. If FALSE, the signals from the initial strategy execution are used.

Examples

## Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get hit ratio of MA(200)-Strategy portfolio
hitratio(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get hit ratio of MA(200)-Strategy (daily data = 252 trading days)
# hitratio(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

## End(Not run)

Get the losses of assets or portfolio over time.

Description

Losses over time of an assets or portfolio of an object of class Strategy.

Usage

loss(object, V=100, method="full", of="portfolio"
       , from=NULL, until=NULL, which=NULL
       , include.weights=TRUE, include.costs=TRUE
       , use.backtest=FALSE)

## S4 method for signature 'Strategy'
loss(object, V = 100, method = c("full", "linear"),
  of = c("portfolio", "assets"), from = NULL, until = NULL,
  which = NULL, include.weights = TRUE, include.costs = TRUE,
  use.backtest = FALSE)

Arguments

object

An object of class Strategy.

V

Volume that is invested. The linear factor for the VaR calculation. Either a single value for portfolio or a vector for each asset.

method

Method of loss calculation. Use linear for approximation with log returns or full for calculation with arithmetic returns.

of

Losses to be calculated for assets separately or the portfolio.

from

The date in character format "yyyy-MM-dd" or as date-object from which losses shall be considered. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which losses shall be considered. If NULL, no restriction is made.

which

Names or number of assets that should be included in calculation.

include.weights

Only relevant if of="assets": If FALSE, weights are all set to 1. This might be necessary if only single stock performance without weighting shall be considered.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

use.backtest

If TRUE, the performance of the backtesting output is considered for loss calculation. If FALSE, the performance of the initial strategy execution are used.

Examples

## Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get VaR of MA(200)-Strategy portfolio
myStrat.MA.losses <- loss(myStrat.MA, from="2015-01-01", until="2015-12-31")

## End(Not run)

Create Own Strategy

Description

Creates a strategy function template file. This file can be used as template for the development of customized strategies.

Usage

newStrategyFunction(name = NULL, file.path = getwd(), overwrite = FALSE)

Arguments

name

String as name of the new function (without spaces).

file.path

Valid file path of existing directory where the new function shall be stored in format file.path/name.R.

overwrite

If the strategy file already exists, it will be overwritten if value is TRUE.

Examples

##Not run:

# Creates a file myNewStrat.R at the specific file path
newStrategyFunction(name="myNewStrat", file.path=getwd(), overwrite=T)

##End(Not run)

Get Strategy Performance

Description

Gets the performance of an object of class Strategy.

Usage

performance(object, of = "portfolio", type = "performance", from = NULL,
  until = NULL, which = NULL, use.backtest = FALSE,
  include.costs = TRUE)

## S4 method for signature 'Strategy'
performance(object, of = c("portfolio", "assets"),
  type = c("performance", "logReturns", "returns"), from = NULL,
  until = NULL, which = NULL, use.backtest = FALSE,
  include.costs = TRUE)

Arguments

object

An object of class Strategy.

of

Performance to be extracted from assets separately or the portfolio performance.

type

Which type of performance shall be returned. performance is the cumulative performance starting at 1, logReturns to get logarithmic returns or returns for arithmetic returns.

from

The date in character format "yyyy-MM-dd" or as date-object from which performance shall be returned If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which performance shall be returned. If NULL, no restriction is made.

which

Names or number of assets that should be included in performance. If a portfolio performance from only a subset of the assets is calculated, the weights are scaled accordingly.

use.backtest

If TRUE, the signals from the backtesting output are considered for performance calculation. If FALSE, the signals from the initial strategy execution are used.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

Examples

## Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get performance of MA(200)-Strategy
performance(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get backtest performance of MA(200)-Strategy
# performance(myStrat.MA, from="2015-01-01", until="2015-12-31"
# , use.backtest=TRUE, type="logReturns")

## End(Not run)

Strategy Performance Indicators

Description

Get a list of the performance indicators of an object of class Strategy.

Usage

performanceIndicators(object, of="portfolio"
       , from=NULL, until=NULL, which=NULL, alpha=0.05
       , scaling.periods=NULL, include.weights=TRUE
       , include.costs=TRUE, use.backtest=FALSE)

## S4 method for signature 'Strategy'
performanceIndicators(object, of = c("portfolio",
  "assets"), from = NULL, until = NULL, which = NULL, alpha = 0.05,
  scaling.periods = NULL, include.weights = TRUE, include.costs = TRUE,
  use.backtest = FALSE)

Arguments

object

An object of class Strategy.

of

Indicators to be calculated for assets separately or the portfolio.

from

The date in character format "yyyy-MM-dd" or as date-object from which performance shall be considered. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which performance shall be considered. If NULL, no restriction is made.

which

Names or number of assets that should be included in calculation.

alpha

The significance level \alpha that is used for propability of cumulative loss at level 1-\alpha.

scaling.periods

Vector with annualization factors for calculation. Default is 252, 52, 12, 4, 1 for daily, weekly, monthly, quarterly and yearly data respectively.

include.weights

Only relevant if of="assets": If FALSE, weights are all set to 1. This might be necessary if only single stock performance without weighting shall be considered.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

use.backtest

If set to TRUE, the signals from the backtesting output are considered for maximum drawdown calculation. If FALSE, the signals from the initial strategy execution are used.

Examples

## Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get performance indicators of MA(200)-Strategy assets
performanceIndicators(myStrat.MA, from="2015-01-01", until="2015-12-31")

## End(Not run)

Plot of a Strategy-object

Description

Calls a generic plot function that can plot the data of any Strategy-object. If a plotFUN-function is given within the object, this user-defined function will be used. The generic function plots 3 parts:

Usage

## S3 method for class 'Strategy'
plot(x, y, from=NULL, until=NULL
       , which.assets=NULL, which.filters=NULL, which.indicators=NULL
       , main=NULL, show.signals=TRUE, include.costs=TRUE, ...)

Arguments

x

An object of class Strategy.

y

Standard plot argument that is not relevant for Strategy objects!

from

From date that chart is to be plotted.

until

Until date that chart is to be plotted.

which.assets

Which assets shall be plotted (each one will result in single plot)

which.filters

Which filters shall be added to price plot. Default value NULL will return all filters from the strategy.

which.indicators

Which indicators shall be added to indicator plot. Default value NULL will return all filters from the strategy. If "none", no indicator is plotted and indicator area is not shown.

main

The main title of the plot.

show.signals

If TRUE, the trading signals are shown within the indicators area of the plot. Default value is TRUE.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is redundant if no costs are given.

...

Further arguments passed to custom plotFUN (if available) of the object (x).

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Plot first asset of MA(200)-Strategy
plot(myStrat.MA, from="2015-01-01", until="2015-12-31", which.assets=1)

##End(Not run)

Plot Strategy Drawdowns

Description

Plots drawdowns of the performance of an object of class Strategy.

Usage

plotDrawdowns(object, from = NULL, until = NULL, which = NULL,
  of = "portfolio", type = "relative", include.costs = TRUE,
  use.backtest = FALSE, returnValues = FALSE, ...)

## S4 method for signature 'Strategy'
plotDrawdowns(object, from = NULL, until = NULL,
  which = NULL, of = c("portfolio", "assets"), type = c("relative",
  "absolute"), include.costs = TRUE, use.backtest = FALSE,
  returnValues = FALSE, ...)

Arguments

object

An object of class Strategy.

from

The date in character format "yyyy-MM-dd" or as date-object from which drawdowns shall be plotted. If NULL, the start date of the performances is used.

until

The date in character format "yyyy-MM-dd" or as date-object until which drawdowns shall be plotted. If NULL, the end date of the performances is used.

which

Names or number of assets that should be included in performance. If a portfolio performance from only a subset of the assets is calculated, the weights are scaled accordingly.

of

Performance to be extracted from assets separately or the portfolio performance.

type

If the absolute or relative drawdown of the performance shall be returned.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is redundant if no costs are given.

use.backtest

If TRUE, the signals from the backtesting output are considered for drawdowns calculation. If FALSE, the signals from the normal strategy execution with the initial parameters are used.

returnValues

If TRUE, the drawdown values are returned.

...

Further arguments that can be passed to the underlying plot()-function.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Plot MA(200)-Strategy drawdowns
plotDrawdowns(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Plot backtested MA(200)-Strategy drawdowns
# plotDrawdowns(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

##End(Not run)

Plot Strategy Performance

Description

Plots performance of an object of class Strategy.

Usage

plotPerformance(object, which = NULL, of = "portfolio", from = NULL,
  until = NULL, use.backtest = FALSE, include.costs = TRUE,
  plot.params = TRUE, plot.params.names = NULL, plot.params.first = TRUE,
  ...)

## S4 method for signature 'Strategy'
plotPerformance(object, which = NULL,
  of = c("portfolio", "assets"), from = NULL, until = NULL,
  use.backtest = FALSE, include.costs = TRUE, plot.params = TRUE,
  plot.params.names = NULL, plot.params.first = TRUE, ...)

Arguments

object

An object of class Strategy.

which

Names or number of assets that should be included in performance. If a portfolio performance from only a subset of the assets is calculated, the weights are scaled accordingly.

of

Performance to be extracted from assets separately or the portfolio performance.

from

The date in character format "yyyy-MM-dd" or as date-object from which performance shall be plotted. If NULL, the start date of the performances is used.

until

The date in character format "yyyy-MM-dd" or as date-object until which performance shall be plotted. If NULL, the end date of the performances is used.

use.backtest

If TRUE, the signals from the backtesting output are considered for performance calculation. If FALSE, the signals from the normal strategy execution with the intial parameters are used.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is redundant if no costs are given.

plot.params

If set to TRUE, the parameters used for the performance periods are plotted into the chart. Requires that use.backtest is set to TRUE.

plot.params.names

New parameter names to be shown can be supplied. Requires that use.backtest is set to TRUE to take effect.

plot.params.first

If TRUE, the parameter for the first period is plotted. Otherwise, the parameters are plot at the point on the x-axis, from which they are valid. Requires that use.backtest is set to TRUE to take effect.

...

Further arguments that can be passed to the underlying plot()-function.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Plot MA(200)-Strategy
plotPerformance(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Plot backtested MA(200)-Strategy
# plotPerformance(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

##End(Not run)

Plot Strategy Weights

Description

Plots the weights of the portfolio of an object of class Strategy.

Usage

plotWeights(object, from = NULL, until = NULL, ...)

## S4 method for signature 'Strategy'
plotWeights(object, from = NULL, until = NULL, ...)

Arguments

object

An object of class Strategy.

from

The date in character format "yyyy-MM-dd" or as date-object from which weights shall be plotted. If NULL, the start date of the weights is used.

until

The date in character format "yyyy-MM-dd" or as date-object until which weights shall be plotted. If NULL, the end date of the performances is used.

...

Currently not active.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Plot MA(200)-Strategy weights
plotWeights(myStrat.MA)

##End(Not run)

Get Sharpe Ratio of Performance

Description

Get the sharpe ratio of the performance of an object of class Strategy.

Usage

sharpe(object, rf=0, of="portfolio"
     , from=NULL, until=NULL, which=NULL
     , scaling.periods=NULL, include.costs=TRUE
     , use.backtest=FALSE)

## S4 method for signature 'Strategy'
sharpe(object, rf = 0, of = c("portfolio", "assets"),
  from = NULL, until = NULL, which = NULL, scaling.periods = NULL,
  include.costs = TRUE, use.backtest = FALSE)

Arguments

object

An object of class Strategy.

rf

Risk free rate in decimal, e.g. rf=0.01 equals 1 percent.

of

Sharpe ratio to be calculated for assets separately or the portfolio sharpe.

from

The date in character format "yyyy-MM-dd" or as date-object from which performance shall be considered. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which performance shall be considered. If NULL, no restriction is made.

which

Names or number of assets that should be included in calculation.

scaling.periods

Vector with annualization factors for sharpe ratio calculation. Default is 252, 52, 12, 4, 1 for daily, weekly, monthly, quarterly and yearly data respectively.

include.costs

If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

use.backtest

If TRUE, the performance of the backtesting output is considered for sharpe ratio calculation. If FALSE, the performance of the initial strategy execution are used.

Examples

## Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get sharpe of MA(200)-Strategy portfolio
sharpe(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get backtest annualized sharpe of MA(200)-Strategy (daily data = 252 trading days)
# sharpe(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE, scaling.periods=252)

## End(Not run)

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