This package helps outsource some repetitive or error-prone tasks involved in the strategy development and testing process.
devtools::install_github("danielkrizian/strategery")See demo folder for more examples like this.
#' Moving average crossover strategy with ATR position sizing
#' Buy when faster-moving average (10) is above the slower-moving average (100)
#' Trend filter: two moving average lines slower 100-days and faster 50-days.
#' Exit position otherwise.
#'
#' Clenow, Andreas F. (2012-11-26).
#' Following the Trend: Diversified Managed Futures Trading (Wiley Trading)
#' (Kindle Locations 1515-1516). Wiley. Kindle Edition.
library(strategery); library(TTR); library(data.table)
Universe("VTI", "IEF", "VNQ", "DBC")
fastn = 10
slown = 100
filter.fastn = 50
filter.slown = 100
OHLCV[, c("fastMA", "slowMA", "filter.fastMA", "filter.slowMA", "ATR", "P", "Long", "Neutral","weight"):={
fastMA = SMA(Close, fastn)
slowMA = SMA(Close, slown)
filter.fastMA = SMA(Close, filter.fastn)
filter.slowMA = SMA(Close, filter.slown)
ATR = atr(High, Low, Close, n=14, ma="EMA")
P = Close
trend = filter.fastMA > filter.slowMA
Long = (fastMA %crossover% slowMA) & trend
Neutral = (fastMA<=slowMA) | !trend
weight=0.002/(ATR/P) # size each position to 20bps daily risk
out=list(fastMA, slowMA, filter.fastMA, filter.slowMA, ATR, P, Long, Neutral, weight)
}, by="Instrument"]
bt = run()
View(to.quarterly(bt$history$summary, OHLC=F))
View(bt$txns)