Setting up a strategy II

Financial Trading in R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

Trade size and initial equity

  • In order to work with returns, you need to define trade size and initial equity to calculate profit and loss
tradesize <- 100000
initeq <- 100000

tradesize should not be more than initeq

Financial Trading in R

Three important objects

  • Account
    • Portfolio
      • Strategy
Financial Trading in R

Naming account, portfolio, and strategy

  • Naming the account, portfolio, and strategy all the same name suffices for basic strategies
strategy.st <- portfolio.st <- account.st <- "firststrat"
Financial Trading in R

Removing existing strategy

  • If you ran the strategy already, you need to remove it from your environment
rm.strat(strategy.st)
Financial Trading in R

Initialize…

  • Portfolio
  • Account
  • Orders
  • Strategy
Financial Trading in R

Initializing portfolio

  • Portfolio initialization is called with initPortf()

  • initPortf() requires portfolio name, symbols, initialization date, and currency

initPortf(portfolio.st, symbols = "LQD", 
          initDate = initdate, currency = "USD")

Financial Trading in R

Initializing account

  • Account initialization is called with initAcct()

  • initAcct() requires account name, portfolios, initialization date, currency, and initial equity

initAcct(account.st, portfolios = portfolio.st, 
           initDate = initdate, currency = "USD", 
           initEq = initeq)
Financial Trading in R

Initializing orders

  • Order initialization is called with initOrders()

  • initOrders() requires portfolio name and initialization date

initOrders(portfolio.st, initDate = initdate)
Financial Trading in R

Initializing strategy

  • Strategy initialization is called with strategy()
strategy(strategy.st, store = TRUE)
Financial Trading in R

Overview

tradesize <- 100000
initeq <- 100000

strategy.st <- portfolio.st <- account.st <- "firststrat"
rm.strat(strategy.st)

initPortf(portfolio.st, symbols = "LQD", 
          initDate = initdate, currency = "USD")
initAcct(account.st, portfolios = portfolio.st, 
         initDate = initdate, currency = "USD", 
         initEq = initeq)
initOrders(portfolio.st, initDate = initdate)
strategy(strategy.st, store = TRUE)
Financial Trading in R

Let's practice!

Financial Trading in R

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