Adding VCI

IlyaKipnis · Aug 23, 2014 · 74f20e8 · 74f20e8
1 parent ba87158
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diff --git a/DESCRIPTION b/DESCRIPTION
@@ -39,3 +39,4 @@ Collate:
     'ERM.R'
     'DVO.R'
     'OHV.R'
+    'VCI.R'
diff --git a/NAMESPACE b/NAMESPACE
@@ -16,4 +16,5 @@ export(MSR)
 export(ERM)
 export(OHV)
 export(DVO)
+export(VCI)
 export(agg.chart.ME)
diff --git a/R/VCI.R b/R/VCI.R
@@ -0,0 +1,41 @@
+#'ValueCharts Indicator
+#'@description Computes a range-normalized difference between current price and a running moving average. 
+#'A value below -8 indicates oversold, while a value above 8 indicates overbought.
+#'@param OHLC an OHLC time series
+#'@param nLookback a moving average window, default 40
+#'@param nRange a lookback window for the range computation. A number above
+#'7 results in the following computation: take the difference between the nRange
+#'max high and min low. Add up that value, that value lagged by nRange+1, nRange*2, nRange*3, and nRange*4,
+#'and divide by 25.
+#'If nRange is 7 or less, the daily range is instead computed as the 5-day SMA of the following quantity:
+#'for each day, take the maximum of the difference between the high and low, or the absolute difference between current and previous close.
+#'Multiply that final quantity by .16.
+#'@return an OHLC-like 4-column output computing the values given OHLC prices, or a percent rank of the close variant.
+#'The column names will be VO, VH, VL, and VC, respectively.
+#'@references \url{http://www.tradesignalonline.com/en/lexicon/view.aspx?id=Value+Charts+Indicator}
+#'@export
+"VCI" <- function(OHLC, nLookback=40, nRange=8, pctRank=FALSE) {
+  if(nLookback > 7) {
+    varA <- runMax(Hi(OHLC), nRange) - runMin(Lo(OHLC), nRange)
+    varB <- lag(varA, nRange+1)
+    varC <- lag(varA, nRange*2)
+    varD <- lag(varA, nRange*3)
+    varE <- lag(varA, nRange*4)
+    LRange <- (varA+varB+varC+varD+varE)/25    
+  }
+  if(nLookback <=7) {
+    absDiff <- abs(diff(Cl(OHLC)))
+    dailyRange <- Hi(OHLC) - Lo(OHLC)
+    tmp <- cbind(absDiff, dailyRange)
+    maxTmp <- pmax(tmp)
+    LRange <- SMA(maxTmp, 5)*.16
+  }
+  hilo <- (Hi(OHLC)+Lo(OHLC))/2
+  VO <- (Op(OHLC)-SMA(hilo, nLookback))/LRange
+  VH <- (Hi(OHLC)-SMA(hilo, nLookback))/LRange
+  VL <- (Lo(OHLC)-SMA(hilo, nLookback))/LRange
+  VC <- (Cl(OHLC)-SMA(hilo, nLookback))/LRange
+  out <- cbind(VO=VO, VH=VH, VL=VL, VC=VC)
+  colnames(out) <- c("VO", "VH", "VL", "VC")
+  return(out)
+}
diff --git a/demo/DV2_OHV.R b/demo/DV2_OHV.R
@@ -6,7 +6,6 @@ initDate="1990-01-01"
 from="2003-01-01"
 to=as.character(Sys.Date())
 options(width=70)
-verose=TRUE
 
 source("demoData.R")
 
@@ -179,3 +178,15 @@ colnames(dailyRetComparison)  <- c("strategy", "SPY")
 round(apply.yearly(dailyRetComparison, Return.cumulative),3)
 round(apply.yearly(dailyRetComparison, SharpeRatio.annualized),3)
 round(apply.yearly(dailyRetComparison, maxDrawdown),3)
+
+chart.Posn(portfolio.st, "XLB")
+tmp <- DVO(HLC=HLC(XLB), nAvg=nAvg, pctLookback=pctLookback, maType=maType, deTrend=deTrend, nDT=nDT)
+add_TA(tmp, col="purple")
+tmp <- tmp - tmp + entryThresh
+add_TA(tmp, on=5, col="blue", lwd=1.5)
+tmp <- tmp - tmp + exitThresh
+add_TA(tmp, on=5, col="red", lwd=1.5)
+tmp <- OHV(x=Cl(XLB), n1=n1, n2=n2)
+add_TA(tmp, col="purple")
+tmp <- tmp-tmp+volThresh
+add_TA(tmp, on=6, col="blue", lwd=1.5)
diff --git a/demo/MSR_I.R b/demo/MSR_I.R
@@ -6,7 +6,6 @@ initDate="1990-01-01"
 from="2003-01-01"
 to=as.character(Sys.Date())
 options(width=70)
-verose=TRUE
 
 source("demoData.R")
 
@@ -80,20 +79,20 @@ updateEndEq(account.st)
 #trade statistics
 tStats <- tradeStats(Portfolios = portfolio.st, use="trades", inclZeroDays=FALSE)
 tStats[,4:ncol(tStats)] <- round(tStats[,4:ncol(tStats)], 2)
-print(data.frame(t(tStats[,-c(1,2)])))
+#print(data.frame(t(tStats[,-c(1,2)])))
 (aggPF <- sum(tStats$Gross.Profits)/-sum(tStats$Gross.Losses))
 (aggCorrect <- mean(tStats$Percent.Positive))
 (numTrades <- sum(tStats$Num.Trades))
 (meanAvgWLR <- mean(tStats$Avg.WinLoss.Ratio[tStats$Avg.WinLoss.Ratio < Inf], na.rm=TRUE))
 
 #daily and duration statistics
-dStats <- dailyStats(Portfolios = portfolio.st, use="Equity")
-rownames(dStats) <- gsub(".DailyEndEq","", rownames(dStats))
-print(data.frame(t(dStats)))
+#dStats <- dailyStats(Portfolios = portfolio.st, use="Equity")
+#rownames(dStats) <- gsub(".DailyEndEq","", rownames(dStats))
+#print(data.frame(t(dStats)))
 durStats <- durationStatistics(Portfolio=portfolio.st, Symbols=sort(symbols))
-indivDurStats <- durationStatistics(Portfolio=portfolio.st, Symbols=sort(symbols), aggregate=FALSE)
+#indivDurStats <- durationStatistics(Portfolio=portfolio.st, Symbols=sort(symbols), aggregate=FALSE)
 print(t(durStats))
-print(t(indivDurStats))
+#print(t(indivDurStats))
 
 #market exposure
 tmp <- list()
@@ -105,15 +104,15 @@ for(i in 1:nrow(dStats)) {
 }
 mktExposure <- data.frame(do.call(rbind, tmp))
 colnames(mktExposure) <- c("Symbol","MktExposure")
-print(mktExposure)
+#print(mktExposure)
 print(mean(as.numeric(as.character(mktExposure$MktExposure))))
 
 #portfolio cash PL
 portString <- paste0("portfolio.", portfolio.st)
 portPL <- .blotter[[portString]]$summary$Net.Trading.PL
 
 #Cash Sharpe
-(SharpeRatio.annualized(portPL, geometric=FALSE))
+#(SharpeRatio.annualized(portPL, geometric=FALSE))
 
 #Portfolio comparisons to SPY
 instRets <- PortfReturns(account.st)
@@ -147,4 +146,9 @@ dailyRetComparison <- cbind(portfRets, SPYrets)
 colnames(dailyRetComparison)  <- c("strategy", "SPY")
 round(apply.yearly(dailyRetComparison, Return.cumulative),3)
 round(apply.yearly(dailyRetComparison, SharpeRatio.annualized),3)
-round(apply.yearly(dailyRetComparison, maxDrawdown),3)
+round(apply.yearly(dailyRetComparison, maxDrawdown),3)
+
+chart.Posn(portfolio.st, "XLB")
+add_TA(MSR(HLC=HLC(XLB), nMed=nMed, nMax=nMax))
+add_TA(xts(rep(.5, nrow(XLB)), order.by=index(XLB)), on=5, col="green")
+add_TA(lagATR(HLC=HLC(XLB), n=period), col="purple")
diff --git a/demo/SIROC_I.R b/demo/SIROC_I.R
@@ -6,7 +6,6 @@ initDate="1990-01-01"
 from="2003-01-01"
 to=as.character(Sys.Date())
 options(width=70)
-verose=TRUE
 
 source("demoData.R")
 

diff --git a/demo/VCI.R b/demo/VCI.R
@@ -0,0 +1,181 @@
+require(IKTrading)
+require(quantstrat)
+require(PerformanceAnalytics)
+
+initDate="1990-01-01"
+from="2003-01-01"
+to=as.character(Sys.Date())
+options(width=70)
+
+source("demoData.R")
+
+#trade sizing and initial equity settings
+tradeSize <- 100000
+initEq <- tradeSize*length(symbols)
+
+strategy.st <- portfolio.st <- account.st <- "VCI_test"
+rm.strat(portfolio.st)
+rm.strat(strategy.st)
+initPortf(portfolio.st, symbols=symbols, 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)
+
+#parameters
+pctATR=.02
+period=10
+
+nRange=2
+nLookback=10
+pctRank=FALSE
+
+buyThresh=-2
+sellThresh=2
+
+nSMA=200
+
+#indicators
+add.indicator(strategy.st, name="lagATR", 
+              arguments=list(HLC=quote(HLC(mktdata)), n=period), 
+              label="atrX")
+
+add.indicator(strategy.st, name="VCI",
+              arguments=list(OHLC=quote(OHLC(mktdata)), nLookback=nLookback,
+                             nRange=nRange, pctRank=pctRank),
+              label="vci")
+
+add.indicator(strategy.st, name="SMA",
+              arguments=list(x=quote(Cl(mktdata)), n=nSMA),
+              label="sma")
+
+#signals
+add.signal(strategy.st, name="sigComparison",
+           arguments=list(columns=c("Close", "SMA.sma"), relationship="gt"),
+           label="filter")
+
+add.signal(strategy.st, name="sigThreshold",
+           arguments=list(column="VC.vci", threshold=buyThresh, 
+                          relationship="lt", cross=FALSE),
+           label="VCIltThresh")
+
+add.signal(strategy.st, name="sigAND",
+           arguments=list(columns=c("filter", "VCIltThresh"), cross=TRUE),
+           label="longEntry")
+
+add.signal(strategy.st, name="sigThreshold",
+           arguments=list(column="VC.vci", threshold=sellThresh,
+                          relationship="gt", cross=TRUE),
+           label="longExit")
+
+add.signal(strategy.st, name="sigCrossover",
+           arguments=list(columns=c("Close", "SMA.sma"), relationship="lt"),
+           label="filterExit")
+
+#rules
+add.rule(strategy.st, name="ruleSignal", 
+         arguments=list(sigcol="longEntry", sigval=TRUE, ordertype="market", 
+                        orderside="long", replace=FALSE, prefer="Open", osFUN=osDollarATR,
+                        tradeSize=tradeSize, pctATR=pctATR, atrMod="X"), 
+         type="enter", path.dep=TRUE)
+
+add.rule(strategy.st, name="ruleSignal", 
+         arguments=list(sigcol="longExit", sigval=TRUE, orderqty="all", ordertype="market", 
+                        orderside="long", replace=FALSE, prefer="Open"), 
+         type="exit", path.dep=TRUE)
+
+add.rule(strategy.st, name="ruleSignal", 
+         arguments=list(sigcol="filterExit", sigval=TRUE, orderqty="all", ordertype="market", 
+                        orderside="long", replace=FALSE, prefer="Open"), 
+         type="exit", path.dep=TRUE)
+
+#apply strategy
+t1 <- Sys.time()
+out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st)
+t2 <- Sys.time()
+print(t2-t1)
+
+#set up analytics
+updatePortf(portfolio.st)
+dateRange <- time(getPortfolio(portfolio.st)$summary)[-1]
+updateAcct(portfolio.st,dateRange)
+updateEndEq(account.st)
+
+
+#trade statistics
+tStats <- tradeStats(Portfolios = portfolio.st, use="trades", inclZeroDays=FALSE)
+tStats[,4:ncol(tStats)] <- round(tStats[,4:ncol(tStats)], 2)
+print(data.frame(t(tStats[,-c(1,2)])))
+(aggPF <- sum(tStats$Gross.Profits)/-sum(tStats$Gross.Losses))
+(aggCorrect <- mean(tStats$Percent.Positive))
+(numTrades <- sum(tStats$Num.Trades))
+(meanAvgWLR <- mean(tStats$Avg.WinLoss.Ratio[tStats$Avg.WinLoss.Ratio < Inf], na.rm=TRUE))
+
+#daily and duration statistics
+dStats <- dailyStats(Portfolios = portfolio.st, use="Equity")
+rownames(dStats) <- gsub(".DailyEndEq","", rownames(dStats))
+print(data.frame(t(dStats)))
+durStats <- durationStatistics(Portfolio=portfolio.st, Symbols=sort(symbols))
+indivDurStats <- durationStatistics(Portfolio=portfolio.st, Symbols=sort(symbols), aggregate=FALSE)
+print(t(durStats))
+print(t(indivDurStats))
+
+#market exposure
+tmp <- list()
+length(tmp) <- length(symbols)
+for(i in 1:nrow(dStats)) {
+  totalDays <- nrow(get(rownames(dStats)[i]))
+  mktExposure <- dStats$Total.Days[i]/totalDays
+  tmp[[i]] <- c(rownames(dStats)[i], round(mktExposure, 3))
+}
+mktExposure <- data.frame(do.call(rbind, tmp))
+colnames(mktExposure) <- c("Symbol","MktExposure")
+print(mktExposure)
+print(mean(as.numeric(as.character(mktExposure$MktExposure))))
+
+#portfolio cash PL
+portString <- paste0("portfolio.", portfolio.st)
+portPL <- .blotter[[portString]]$summary$Net.Trading.PL
+
+#Cash Sharpe
+(SharpeRatio.annualized(portPL, geometric=FALSE))
+
+#Portfolio comparisons to SPY
+instRets <- PortfReturns(account.st)
+
+#Correlations
+instCors <- cor(instRets)
+diag(instRets) <- NA
+corMeans <- rowMeans(instCors, na.rm=TRUE)
+names(corMeans) <- gsub(".DailyEndEq", "", names(corMeans))
+print(round(corMeans,3))
+mean(corMeans)
+
+portfRets <- xts(rowMeans(instRets)*ncol(instRets), order.by=index(instRets))
+portfRets <- portfRets[!is.na(portfRets)]
+cumPortfRets <- cumprod(1+portfRets)
+firstNonZeroDay <- as.character(index(portfRets)[min(which(portfRets!=0))])
+getSymbols("SPY", from=firstNonZeroDay, to=to)
+SPYrets <- diff(log(Cl(SPY)))[-1]
+cumSPYrets <- cumprod(1+SPYrets)
+comparison <- cbind(cumPortfRets, cumSPYrets)
+colnames(comparison)  <- c("strategy", "SPY")
+chart.TimeSeries(comparison, legend.loc = "topleft",
+                 colors=c("green","red"))
+chart.RelativePerformance(portfRets,SPYrets)
+
+SharpeRatio.annualized(portfRets)
+Return.annualized(portfRets)
+maxDrawdown(portfRets)
+
+dailyRetComparison <- cbind(portfRets, SPYrets)
+colnames(dailyRetComparison)  <- c("strategy", "SPY")
+round(apply.yearly(dailyRetComparison, Return.cumulative),3)
+round(apply.yearly(dailyRetComparison, SharpeRatio.annualized),3)
+round(apply.yearly(dailyRetComparison, maxDrawdown),3)
+
+chart.Posn(portfolio.st, "XLB")
+add_TA(SMA(Cl(XLB), n=nSMA), on=1, col="blue", lwd=2)
+vci <- VCI(OHLC(XLB), nRange=nRange, nLookback=nLookback, pctRank=pctRank)
+add_TA(vci$VC)
+add_TA(vci$VC - vci$VC + buyThresh, on=5, col="green")
+add_TA(vci$VC - vci$VC + sellThresh, on=5, col="red")
diff --git a/man/VCI.Rd b/man/VCI.Rd
@@ -0,0 +1,37 @@
+\name{VCI}
+\alias{VCI}
+\title{ValueCharts Indicator}
+\usage{
+  VCI(OHLC, nLookback = 40, nRange = 8, pctRank = FALSE)
+}
+\arguments{
+  \item{OHLC}{an OHLC time series}
+
+  \item{nLookback}{a moving average window, default 40}
+
+  \item{nRange}{a lookback window for the range
+  computation. A number above 7 results in the following
+  computation: take the difference between the nRange max
+  high and min low. Add up that value, that value lagged by
+  nRange+1, nRange*2, nRange*3, and nRange*4, and divide by
+  25. If nRange is 7 or less, the daily range is instead
+  computed as the 5-day SMA of the following quantity: for
+  each day, take the maximum of the difference between the
+  high and low, or the absolute difference between current
+  and previous close. Multiply that final quantity by .16.}
+}
+\value{
+  an OHLC-like 4-column output computing the values given
+  OHLC prices, or a percent rank of the close variant. The
+  column names will be VO, VH, VL, and VC, respectively.
+}
+\description{
+  Computes a range-normalized difference between current
+  price and a running moving average. A value below -8
+  indicates oversold, while a value above 8 indicates
+  overbought.
+}
+\references{
+  \url{http://www.tradesignalonline.com/en/lexicon/view.aspx?id=Value+Charts+Indicator}
+}
+