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

Three important objects

Account
- Portfolio
  - Strategy

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"

Removing existing strategy

If you ran the strategy already, you need to remove it from your environment

rm.strat(strategy.st)

Initialize…

Portfolio
Account
Orders
Strategy

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")

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)

Initializing orders

Order initialization is called with initOrders()
initOrders() requires portfolio name and initialization date

initOrders(portfolio.st, initDate = initdate)

Initializing strategy

Strategy initialization is called with strategy()

strategy(strategy.st, store = TRUE)

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)

Let's practice!

Financial Trading in R