Analyzing your strategy

Financial Trading in R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

Our strategy

Buy when:
- 50-day moving average > 200-day moving average
- and dvo < 20
Sell when:
- 50-day moving average < 200-day moving average
- or dvo > 80

Run your strategy

Apply your strategy

applyStrategy(strategy = strategy.st, 
              portfolios = portfolio.st)

Update the portfolio

updatePortf(portfolio.st)
daterange <- time(getPortfolio(portfolio.st)$summary)[-1]

Update the account

updateAcct(account.st, daterange)
updateEndEq(account.st)

tStats  <- tradeStats(Portfolios = portfolio.st)
tStats

    Portfolio    Symbol    Num.Txns    Num.Trades    Net.Trading.PL    
LQD  firstStrat    LQD       382          156           25681.09     
     Avg.Trade.PL    Med.Trade.PL    Largest.Winner   Largest.Loser   
LQD   164.6223      363.0143         2981.424        -7012.523          
   Gross.Profits    Gross.Losses   Std.Dev.Trade.PL  Percent.Positive      
LQD   77251.33      -51570.24        1174.442          66.66667           
    Percent.Negative   Profit.Factor   Avg.Win.Trade   Med.Win.Trade  
LQD    32.69231           1.497983        742.8012         624.5683        
    Avg.Losing.Trade  Med.Losing.Trade   Avg.Daily.PL   Med.Daily.PL   
LQD     -1011.181        -660.7456          164.6223       363.0143     
     Std.Dev.Daily.PL  Ann.Sharpe   Max.Drawdown   Profit.To.Max.Draw    
LQD         1174.442        2.225141     -10625.62           2.416903           
    Avg.WinLoss.Ratio    Med.WinLoss.Ratio     Max.Equity   Min.Equity     
LQD         0.7345877            0.9452477      27567.98    -1550.332      
    End.Equity
LQD    25681.09

Characteristics of trading systems

Systems based on moving average/trend signals
- High average win/loss ratio (greater than 1)
- Low percent positive (less than 50%)
Systems based on oscillation/reversion signals:
- High percent positive (greater than 50%)
- Low average win/loss ratio (less than 1)

Let's practice!

Financial Trading in R