On Thu, Dec 10, 2015 at 4:30 PM, Schiele, Erik
<erik.schi...@bnymellon.com> wrote:
> Hi,
>
> I'm beginning to fool around in R for trading strategy purposes. To keep it
> simple, I have only played with stock data at this point.
>
> I have created a simple trend following strategy (in blue). Given my
> statistical background, I am attempting to bootstrap the results and table
> the same parameters highlighted below with no luck (in green). Any ideas on
> what I could do differently?
>
People will be more likely to respond and help if you provide a more
specific problem statement than, "with no luck". What's wrong with
your current solution? What other things have you tried and why
weren't they sufficient?
Also, please do not cross-post. It's inconsiderate to those who don't
follow both lists: they won't know whether someone has provided a
satisfactory answer on the list/forum they don't follow.
> Really Appreciate your help!!! Thanks
>
> library(quantmod)
> library(PerformanceAnalytics)
>
> b <- get(getSymbols('SPY'))["2011::"]
> s <- get(getSymbols('GLD'))["2011::"]
> b$sma1 <- SMA(Cl(s) , 1)
> s$sma50 <- SMA(Cl(s) , 50)
> s$position <- ifelse(Cl(s) > s$sma50 , 1 , -1)
> myReturn <- lag(s$position) * dailyReturn(s)
>
> table.Drawdowns(s$position, top = 5, digits = 1)
> table.Stats(s$position, ci = 0.95, digits = 2)
> table.SpecificRisk(s$position, b$sma1, Rf = 0, digits = 2)
> table.Correlation(s$position, b$sma1)
>
> charts.PerformanceSummary(cbind(dailyReturn(s),myReturn))
>
> N = 100 # Number of simulations
> Loop = mat.or.vec(N,2,1,1,1)
> for (i in 1:N){
>
> # sample with replacement from return distribution of index
> s.new = (sample(s, length(s), replace = T, prob = NULL))
> # demeaning returns
> s.new = s.new-mean(s)
> # new price series starting at same value as original series
> prices.new = xts(prices[[1]]*exp(cumsum(s.new)))
>
> # define strategies
> # mean reversion
> s$sma50.new = SMA(Cl(s.new) , 50)
>
> # Create buy/sell signals
> # mean reversion
> s$position.new <- ifelse(Cl(s) > s$sma50.new , 1 , -1)
>
> # replace missing values with zeros
> s$position.new[is.na(s$position.new)] = 0
>
> Loop[i,1] = if (mean(s$position.new) > mean(s$sma50.new)) {1}else{0}
> }
>
> #Loop
>
> # plots simulated series
> returns.new = cbind(s$sma50.new, cumsum(s$sma50.new))
>
> chart.CumReturns(returns.new,s$sma50.new,geometric=F)
>
> Erik Schiele
> Vice President
> Money Markets Trading, Originations and Sales
> 101 Barclay St, NY NY 10007 3rd Floor
> BNY Mellon Capital Markets, LLC
> Main Desk 212-815-8222
>
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--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
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