I would want to rebound on this thread
http://r.789695.n4.nabble.com/Multi-currency-example-for-blotter-td1692132.html
Basically, I'm backtesting a strategy using quantstrat where I have instruments in several currencies but I would want an aggregate reporting in USD (i.e. account and portfolios in USD)
For simplification purpose, let's say i'm backtesting a simple 20-120 MA crossover strategy, on BRENT futures (in EUR), but i would want to have my PnL in USD.
I will try to provide all the necessary info as Joshua Ulrich is strict on reproducible examples and he is right.
My function to import csv file and clean data
getdata <- function(ticker){
d <- read.csv(ticker, header=TRUE, sep = ",")
d[,1] <- as.Date(as.character(d[,1]), tz ="GMT", format="%m/%d/%Y")
d <- as.xts(d[,-1], order.by =d[,1] )
colnames(d) <- c("Open","High","Low","Close")
return(d)
}
BRENT <- getdata("BRENT.csv")
EURUSD<- getdata("EURUSD.csv")
The data is available here
https://gist.github.com/nbmacro
Once I have imported my BRENT.csv witht the right format , I set up the instruments
currency(c("USD","EUR",))
exchange_rate(c("EURUSD"),"USD")
future("BRENT",currency = "EUR",tick_size = 0.01,multiplier = 1000)
So I have my data imported, instruments setted up, I can run the usual quantstrat code.
symbols <- c("BRENT")
Sys.setenv(TZ="GMT")
rm(list = ls(.blotter), envir = .blotter)
#Set up environment
if (!exists('.blotter')) .blotter <- new.env()
if(!exists('.strategy')) .strategy <- new.env()
if(!exists('.instrument')) .instrument <- new.env()
start.date <- min(index(symbols))+50 #1ere date du jeu de donnée
end.date <- Sys.Date()-5 #dernière date du jeu de donnée
initial.capital <- 0 #Capital de départ
MAcrossover <- strategy("MAcrossover")
portfolio.st <- account.st <- strat.st <- "MAcrossover"
initPortf(portfolio.st, #nom du book
symbols = symbols, #list des instruments
currency='USD')
initAcct(account.st, #nom du compte
portfolios = portfolio.st, #nom du portfeuille rattaché au compte
# initDate = init.date, #date de départ du compte
currency = "USD", #devise du compte
initEq = initial.capital) #capital de départ du compte
initOrders(portfolio.st,
symbols = symbols)
strategy("MAcrossover",store = TRUE)
#Parametres
ma1 <- 20
ma2 <- 120
maxpos <- 1
tradesize <- 1
#position limit
addPosLimit("MAcrossover", symbols, maxpos = maxpos, timestamp = start(BRENT)-1)
#preparation indicateurs
for(symbol in symbols){
x=get(symbol)
x$MA1 <- SMA(Cl(x),n=ma1)
x$MA2 <- SMA(Cl(x),n=ma2)
assign(symbol,x)
}
#Signal
add.signal("MAcrossover", #nom de la strategie
name="sigCrossover", #type de signal
arguments = list(columns =c("MA1","MA2"), #liste des colonnes pour déterminer le signal
relationship="gt"), #type de relation du signal (sup ou égal, sup, inférieur etc..)
label = "long") #label de la colonne du signal
add.signal("MAcrossover", #nom de la strategie
name="sigCrossover", #type de signal
arguments = list(columns =c("MA1","MA2"), #liste des colonnes pour déterminer le signal
relationship="lt"), #type de relation du signal (sup ou égal, sup, inférieur etc..)
label = "short") #label de la colonne du signal
add.signal("MAcrossover", #nom de la strategie
name="sigCrossover", #type de signal
arguments = list(columns =c("MA1","MA2"), #liste des colonnes pour déterminer le signal
relationship="lt"), #type de relation du signal (sup ou égal, sup, inférieur etc..)
label = "exitlong") #label de la colonne du signal
add.signal("MAcrossover", #nom de la strategie
name="sigCrossover", #type de signal
arguments = list(columns =c("MA1","MA2"), #liste des colonnes pour déterminer le signal
relationship="gt"), #type de relation du signal (sup ou égal, sup, inférieur etc..)
label = "exitshort") #label de la colonne du signal
#Rules
add.rule("MAcrossover", #nom de la strategie
name = "ruleSignal", #
arguments = list(sigcol ="long", #nom de la colonne à vérifier
sigval = TRUE, #Application de la règle si signal
orderqty=tradesize, #taille de l'ordre
osFUN = osMaxPos,
prefer = "Close",
replace = FALSE,
ordertype = "market", #type d'ordre
orderside ="long"), #sens
type = "enter", #ouverture ou fermeture de pose
label = "enterlongcrossover") #label si exécution
add.rule("MAcrossover", #nom de la strategie
name = "ruleSignal", #
arguments = list(sigcol ="short", #nom de la colonne à vérifier
sigval = TRUE, #Application de la règle si signal
orderqty="all", #taille de l'ordre
replace = FALSE,
ordertype = "market", #type d'ordre
orderside ="long"), #sens
type = "exit", #ouverture ou fermeture de pose
label = "exitlongcrossover") #label si exécution
add.rule("MAcrossover", #nom de la strategie
name = "ruleSignal", #
arguments = list(sigcol ="short", #nom de la colonne à vérifier
sigval = TRUE, #Application de la règle si signal
orderqty=-tradesize,#taille de l'ordre
replace = FALSE,
prefer = "Close",
osFUN = osMaxPos,
ordertype = "market", #type d'ordre
orderside ="short"), #sens
type = "enter", #ouverture ou fermeture de pose
label = "Entershort") #label si exécution
add.rule("MAcrossover", #nom de la strategie
name = "ruleSignal", #
arguments = list(sigcol ="long", #nom de la colonne à vérifier
sigval = TRUE, #Application de la règle si signal
orderqty="all", #taille de l'ordre
replace = FALSE,
ordertype = "market", #type d'ordre
orderside ="short"), #sens
type = "exit", #ouverture ou fermeture de pose
label = "exitshortcrossover") #label si exécution
out <- applyStrategy("MAcrossover", portfolios = portfolio.st)
updatePortf("MAcrossover")
updateAcct("MAcrossover")
updateEndEq("MAcrossover")
Basically, the model trades correctly. As an example to illustrate my point, Let's take the first trade The model goes long on 2002-03-06 at 22.72. The next day's close is 23.3. So the Pnl in EUR should be (23.3-22.72)*1000 (multiplier) = 580€. On the 2002-03-07, the EURUSD's Close is 0.8822 so the USD's Pnl should be 580*0.8822 = 511.67 USD.
Interestingly, when i set the future Brent with currency = EUR
future("BRENT",currency = "EUR",tick_size = 0.01,multiplier = 1000)
I get a PnL on the 2002-03-07 at 643.45
And when i set the future Brent with currency = USD
I get a PnL on the 2002-03-07 at 580
That's not logical. And the implicit EURUSD is (580/643) = 0.90 vs a correct rate of 0.8822.
So my question is - Can we handle several currencies ? - If yes, where am I wrong ?
Thanks a lot in advance,
Nicolas.
