I noticed that Quantstrat usually uses price-based metrics. However, I would like to download a few indicators that were calculated externally along with price data. For example, I have two additional columns in the csv file that contains my indicators (with numbers 1-9). I want to generate a signal based on the numbers in these columns.
Until now, I could not get Quantstrat to read the columns in the csv file. I added the code below:
library(quantmod) library(quantstrat) library(PerformanceAnalytics) library(foreach) library(FinancialInstrument) getSymbols("SPY", from = "2015-12-21", to = "2016-12-20", src = "yahoo", adjust =TRUE) read.csv("/Users/tylerdrust/Downloads/2016 Demark Indicators.csv", stringsAsFactors = FALSE) Date Open High Low Close Volume Adj.Close TD.Sell.Count TD.Buy.Count 1 12/21/15 201.41 201.88 200.09 201.67 99094300 197.43 0 0 2 12/22/15 202.72 203.85 201.55 203.50 111026200 199.22 0 0 3 12/23/15 204.69 206.07 204.58 206.02 110987200 201.69 0 0 4 12/24/15 205.72 206.33 205.42 205.68 48539600 201.36 0 0 5 12/28/15 204.86 205.26 203.94 205.21 65899900 200.90 1 0 6 12/29/15 206.51 207.79 206.47 207.40 92640700 203.04 2 0 7 12/30/15 207.11 207.21 205.76 205.93 63317700 201.60 0 1 8 12/31/15 205.13 205.89 203.87 203.87 102929500 199.58 0 2 9 1/4/16 200.49 201.03 198.59 201.02 222353500 196.79 0 3 10 1/5/16 201.40 201.90 200.05 201.36 110845800 197.13 0 4 11 1/6/16 198.34 200.06 197.60 198.82 152112600 194.64 0 5 12 1/7/16 195.33 197.44 193.59 194.05 213436100 189.97 0 6 13 1/8/16 195.19 195.85 191.58 191.92 209817200 187.89 0 7 14 1/11/16 193.01 193.41 189.82 192.11 187941300 188.07 0 8 15 1/12/16 193.82 194.55 191.14 193.66 172330500 189.59 0 9 16 1/13/16 194.45 194.86 188.38 188.83 221168900 184.86 0 10 17 1/14/16 189.55 193.26 187.66 191.93 240795600 187.90 1 0 18 1/15/16 186.77 188.76 185.52 187.81 314240200 183.86 0 1 19 1/19/16 189.96 190.11 186.20 188.06 195244400 184.11 0 2 20 1/20/16 185.03 187.50 181.02 185.65 286547800 181.75 0 3 21 1/21/16 186.21 188.87 184.64 186.69 195772900 182.77 0 4 22 1/22/16 189.78 190.76 188.88 190.52 168319600 186.51 1 0 23 1/25/16 189.92 190.15 187.41 187.64 130371700 183.70 0 1 24 1/26/16 188.42 190.53 188.02 190.20 141036800 186.20 1 0 25 1/27/16 189.58 191.56 187.06 188.13 185681700 184.18 2 0 26 1/28/16 189.96 190.20 187.16 189.11 143798800 185.13 0 1 27 1/29/16 190.02 193.88 189.88 193.72 210529300 189.65 1 0 28 2/1/16 192.53 194.58 191.84 193.65 136061600 189.58 2 0 29 2/2/16 191.96 191.97 189.54 190.16 182564900 186.16 3 0 30 2/3/16 191.41 191.78 187.10 191.30 205054900 187.28 4 0 31 2/4/16 190.71 192.75 189.96 191.60 139531800 187.57 0 1 32 2/5/16 190.99 191.67 187.20 187.95 180788300 184.00 0 2 33 2/8/16 185.77 186.12 182.80 185.42 191526700 181.52 0 3 34 2/9/16 183.36 186.94 183.20 185.43 184513100 181.53 0 4 35 2/10/16 186.41 188.34 185.12 185.27 148214100 181.38 0 5 36 2/11/16 182.34 184.10 181.09 182.86 219058900 179.02 0 6 37 2/12/16 184.96 186.65 183.96 186.63 127632400 182.71 1 0 38 2/16/16 188.77 189.81 187.63 189.78 120250700 185.79 2 0 39 2/17/16 191.16 193.32 191.01 192.88 136009500 188.83 3 0 40 2/18/16 193.20 193.27 191.72 192.09 102343000 188.05 4 0 41 2/19/16 191.17 192.18 190.45 192.00 114793000 187.96 5 0 42 2/22/16 193.87 194.95 193.79 194.78 103640300 190.69 6 0 43 2/23/16 194.00 194.32 192.18 192.32 111455300 188.28 0 1 44 2/24/16 190.63 193.53 189.32 193.20 150812200 189.14 1 0 45 2/25/16 193.73 195.55 192.83 195.54 110728300 191.43 2 0 46 2/26/16 196.57 196.68 194.90 195.09 129833700 190.99 3 0 47 2/29/16 195.11 196.23 193.33 193.56 125918100 189.49 4 0 48 3/1/16 195.01 198.21 194.45 198.11 141799700 193.95 5 0 49 3/2/16 197.74 199.06 197.25 199.00 102415000 194.82 6 0 50 3/3/16 198.79 199.80 198.11 199.78 95172200 195.58 7 0 51 3/4/16 200.01 201.35 199.03 200.43 129293600 196.22 8 0 52 3/7/16 199.34 201.07 199.25 200.59 100219000 196.37 9 0 # Create initdate, from, and to charater strings initdate <- "2015-12-21" from <- "2015-12-22" to <- "2016-12-20" # Set the timezone to UTC Sys.setenv(TZ = "UTC") # Set the currency to USD currency("USD") stock("SPY", currency = "USD") # Define your trade size and initial equity tradesize <- 100000 initeq <- 100000 # Define the names of your strategy, portfolio and account strategy.st <- "firststrat" portfolio.st <- "firststrat" account.st <- "firststrat" # Remove the existing strategy if it exists rm.strat(strategy.st) # initialize the portfolio initPortf(portfolio.st, symbols = "SPY", initDate = initdate, currency = "USD") # initialize the account initAcct(account.st, portfolios = portfolio.st, initDate = initdate, currency = "USD", initEq = initeq) # initialize the orders initOrders(portfolio.st, initDate = initdate) # store the strategy strategy(strategy.st, store = TRUE) add.signal(strategy.st, name = "sigThreshold", arguments = list(column ="TD.Buy.Count", threshold = 8, relationship = "gt", cross = TRUE), label = "thresholdentry") [1] "firststrat" add.signal(strategy.st, name = "sigThreshold", arguments = list(column ="TD.Sell.Count", threshold = 8, relationship = "gt", cross = TRUE), label = "thresholdexit") [1] "firststrat" add.rule(strategy.st, name = "ruleSignal", arguments = list(sigcol = "thresholdentry", sigval = TRUE, ordertype = "market", orderside = "long", replace = FALSE, prefer = "Open", osFUN = osMaxPos, tradeSize = tradesize, maxSize = tradesize), type = "enter") [1] "firststrat" add.rule(strategy.st, name = "ruleSignal", arguments = list(sigcol = "thresholdexit", sigval = TRUE, orderqty = "all", ordertype = "market", orderside = "long", replace = FALSE, prefer = "Open"), type = "exit")
Any help you can provide would be most appreciated.