blah.R

suppressMessages(require(quantstrat))

Sys.setenv(TZ='America/New_York')

# define variables

sym      <- 'AAPL'
initDate <- '2013-01-22'
endDate  <- '2013-02-08'
port     <- 'z'
acct     <- 'monopoly'
initEq   <- 100000

# get data

getSymbols(sym, from=initDate, to=endDate)

# initialize

currency('USD')
stock(sym, currency='USD', multiplier=1)
initPortf(port, sym, initDate=initDate)
initAcct(acct, port, initEq=initEq, initDate=initDate)
initOrders(port, initDate=initDate)
z <- strategy(port)

# max position logic

addPosLimit(portfolio=port,
            symbol=sym, 
            timestamp=initDate,  
            maxpos=100)

# indicators



# signals

z <- add.signal(strategy  = z,
                name      = 'sigThreshold',
                arguments = list(column='Close',
                                 threshold=500,
                                 relationship='lt',
                                 cross=TRUE),
                label     = 'up')

# rules

z <- add.rule(strategy  = z,
              name      = 'ruleSignal',
              arguments = list(sigcol    = 'up',
                               sigval    = TRUE,
                               orderqty  = 100,
                               ordertype = 'market',
                               orderside = 'long',
                               osFUN     = 'osMaxPos'),

              type      = 'enter',
              label     = 'EnterLONG')

# apply strategy

applyStrategy(z, port, verbose=FALSE)

# update portfolio

updatePortf(port, sym, Date=paste('::', as.Date(Sys.time()), sep=''))
updateAcct(acct)

## assorted data

book  <- getOrderBook(port)
stats <- tradeStats(port)
rets  <- PortfReturns(acct)
txns  <- getTxns(port, sym)