在Quantstrat中,可以通过在策略中使用百分比来动态设置订单大小。下面是一个示例代码,展示了如何在Quantstrat中实现这个功能:
# 加载必要的库
library(quantstrat)
library(PerformanceAnalytics)
# 创建策略对象
strategy.st <- "dynamic_order_size"
portfolio.st <- "dynamic_order_size"
account.st <- "dynamic_order_size"
# 初始化策略
initPortf(portfolio.st, symbols = "AAPL", initDate = "2000-01-01")
initAcct(account.st, portfolios = portfolio.st, initDate = "2000-01-01", initEq = 100000)
initOrders(portfolio.st, initDate = "2000-01-01")
# 定义策略函数
strategy(strategy.st, store = TRUE)
# 添加信号生成函数
add.signal(strategy = strategy.st, name = "sigThreshold", arguments = list(column = "Close", threshold = 0.02, relationship = "gt", cross = TRUE), label = "threshold")
add.signal(strategy = strategy.st, name = "sigThreshold", arguments = list(column = "Close", threshold = 0.02, relationship = "lt", cross = TRUE), label = "threshold")
# 添加规则函数
add.rule(strategy = strategy.st, name = "ruleSignal", arguments = list(sigcol = "threshold.gt", sigval = TRUE, orderqty = "all", ordertype = "market", orderside = "long", pricemethod = "market"), type = "enter", label = "enterLong")
add.rule(strategy = strategy.st, name = "ruleSignal", arguments = list(sigcol = "threshold.lt", sigval = TRUE, orderqty = "all", ordertype = "market", orderside = "short", pricemethod = "market"), type = "enter", label = "enterShort")
# 添加百分比订单大小函数
add.rule(strategy = strategy.st, name = "ruleOrderSize", arguments = list(orderqty = quote(pctEQ * getEndEq(portfolio.st) / getPrice(mktdata))), type = "enter", label = "orderSize")
# 运行策略
out <- applyStrategy(strategy.st, portfolios = portfolio.st)
# 分析策略表现
chart.Posn(portfolio.st, "AAPL")
在上面的示例代码中,我们使用了Quantstrat中的add.rule
函数来添加一个名为ruleOrderSize
的规则函数。该函数的orderqty
参数通过quote
函数动态设置为pctEQ * getEndEq(portfolio.st) / getPrice(mktdata)
,其中pctEQ
是我们希望订单大小的百分比。
这样,每次出现交易信号时,订单大小都会根据当前投资组合的总价值和市场数据的价格动态计算。这样可以确保订单大小与投资组合价值的变化保持一致。
请注意,在实际应用中,您需要根据自己的需求和策略进行适当的修改和调整。以上代码仅作为示例提供。