Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices
Hey Garrett, I think the ContinousSeriesCreator, is probably exactly what I am looking for. Thanks, and how did you find this function?? I will have to find out what the impact is on the location spreads, caused by different roll dates. But I think Gasoil and Heating Oil are expiring similarly. The Trade Blox adjusted series, are problaby very useful for long/short Backtesting, so thanks for this as well. I was trying to find cointegrated pairs of future contracts, but therefore I need to make these series comparable. Especially in Energy, there are various relationships around, which are worth investigating. HO vs. Gasoil, so location spread Power vs. Gas, Spark Spread Power vs. Coal, Dark Spread Gas on one location, vs Gas on another location WTI Crude vs. Brent etc. Although I must admit, many of these spreads are very commercially driven, so its usually the smart money moving these spreads. That's what I am trying to investigate a bit further. Thanks Garrett! Best Sven -- View this message in context: http://r.789695.n4.nabble.com/Generating-a-front-month-only-Time-Series-for-Futures-Prices-tp4606794p4608088.html Sent from the Rmetrics mailing list archive at Nabble.com. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Generating a front month only Time Series
i wish there was a finite answer to this question. :-) as regards automating the wheat-corn spread, you've to fully realize that these are agricultural commodities. crop calendars are different, both cultivations respond differently to weather conditions, US wheat prices move with international commercial activity, ethanol market is a main driver of US corn prices, and so on ... and forces in actions are likely to vary from one year to the next. i'm not saying i know much more than you do. no way. just a kind warning if you come from equities or forex. good luck in your endeavors. best édouard http://quantcorner.wordpress.com === Message: 10 Date: Thu, 3 May 2012 13:07:11 -0700 (PDT) From: gussinsky sd...@hotmail.com To: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices Message-ID: 1336075631561-4606979.p...@n4.nabble.com Content-Type: text/plain; charset=us-ascii Hey Garrett, thank you for this, I had a read through this page in the book you referenced. And looking at Agricultural Commodities this makes a lot of sense. And if you look at Wheat and Corn on the CBOT, I think you only have 5 deliveries per year, hence the massive gaps when each contract rolls off. So here the interpolation makes sense, and I think one could approach this trade as a box. But lets consider for example heating oil again, here you have monthly deliveries, and the seasonality is far less nowadays, in Europe even less due to the increased Diesel consumption on the roads. But lets consider this: Trading in a current month shall cease on the last business day of the month preceding the delivery month. This is the expiry rule for Heating Oil on the Nymex. I think this is codeable without minefields isn't it. It would be terrific if anyone could point me in the right direction on how to approach this. I think it wont be possible to download this with one simple function. I suspect one would have to store individual files for the respective expiry contracts, and perhaps index the file names. And then perhaps through a loop function could read out the corresponding 1:n values for each month, store them in an array, and then run the next month with the same rule, and store them again, etcIn the end one needs to connect all those arrays into one big time series. And here is my problem, I dont know how to code this, I know what I want Many thanks for the advice so far Best Gussinsky PS: Garrett, it is your Pair Trading code that brought this up my mind again :-) ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices
On Fri, May 4, 2012 at 3:27 AM, gussinsky sd...@hotmail.com wrote: Hey Garrett, I think the ContinousSeriesCreator, is probably exactly what I am looking for. Thanks, and how did you find this function?? No special search skills, I just try to keep track of what code is in packages I maintain. ;-) ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
[R-SIG-Finance] Cant get this Quantstrat going,
Hello All, #simple Long only Strategie basierend auf CCI Threshhold Entry und Exit ### ### ### suppressWarnings(rm(order_book.RSI, pos=.strategy)) suppressWarnings(rm(account.RSI, portfolio.RSI, pos=.blotter)) suppressWarnings(rm(account.st, portfolio.st, stock.str, initDate, initEq, 'start_t', 'end_t')) require(quantstrat) #Define Instrument x = HO symbol = getSymbols(x, src='tblox') names(HO) = c(Open, High, Low, Close, Volume, OpenInterest, Month, Else) #Define Start Date initDate = '2004-01-01' #Define equity initEq = 10 #Strategy stratCCI = strategy(CCI) #Portfolio port.st = 'CCI' initPortf(port.st, symbols=symbol, initDate=initDate) #Account initAcct(port.st, portfolios=port.st, initDate=initDate) #Orders initOrders(portfolio=port.st, initDate=initDate) #Indicator stratCCI = add.indicator(strategy = stratCCI, name = CCI, arguments = list(price = quote(getPrice(mktdata))), label=CCI) #s # CCI -100, relation gt= greater than, stratCCI = add.signal(strategy=stratCCI, name=sigCCI, arguments = list(threshold=-100, column=CCI, relationship=gt, cross=TRUE), label=CCI.gt.-100) #CCI 100, relation lt= lower than, stratCCI = add.signal(strategy=stratCCI, name=sigCCI, arguments = list(threshold=100, solumn=CCI, relationship=lt, cross=TRUE), label=CCI.lt.100) #RTrading Rules stratCCI = add.rule(strategy=stratCCI, name='ruleSignal', arguments = list(sigcol=CCI.gt.-100, sigval=TRUE, orderqty=1000, ordertype='market', orderside='long', pricemethod='market', replace=FALSE), type='enter', path.dep=TRUE) stratCCI = add.rule(strategy=stratCCI, name='ruleSignal', arguments = list(sigcol=CCI.lt.100, sigval=TRUE, orderqty=-1000, ordertype='market', orderside='short', pricemethod='market', replace=FALSE), type='exit', path.dep=TRUE) currency(USD) start_t = Sys.time() out = try(applyStrategy(strategy=stratCCI, portfolios=port.st, parameters=list(n=2))) end_t = Sys.time() print(end_t-start_t) chart.Posn(Portfolio=port.st, Symbol=symbol) this is the error i get: out = try(applyStrategy(strategy=stratCCI, portfolios=port.st, parameters=list(n=2))) Error in inherits(x, xts) : argument HLC is missing, with no default In addition: Warning message: In applyIndicators(strategy = strategy, mktdata = mktdata, parameters = parameters, : some arguments stored for CCI do not match What could the problem be here? Best Sven -- View this message in context: http://r.789695.n4.nabble.com/Cant-get-this-Quantstrat-going-tp4609350.html Sent from the Rmetrics mailing list archive at Nabble.com. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Cant get this Quantstrat going,
Apologies for cross posting didnt see the other one going through. Even with your adjustments I dont get it going. Ill keep trying. Thanks Sven -- View this message in context: http://r.789695.n4.nabble.com/Cant-get-this-Quantstrat-going-tp4609350p4609466.html Sent from the Rmetrics mailing list archive at Nabble.com. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
