rsi blotter

gistfile1.r

rsi2Vix<-function(ticker,vix)
{
        
        getSymbols(c('SPY','VIX'),from='1995-01-01',index.class=c("POSIXt","POSIXct"))
        rsi2<-RSI(Cl(SPY),2)
        
        signal<-ifelse(rsi2>90,-1,0)
        
        temp<-ifelse(rsi2<10,1,0)
        
        signal<-signal+temp
        sma<-SMA(Cl(SPY),200)
        sma<-ifelse(sma<Cl(SPY),1,0)
        #temp<-ifelse(Cl(VIX)>SMA(Cl(VIX),2),1,0)
        #signal<-signal*temp
        signal<-signal*sma
        
#blotter code
        symbols<-c('SPY')
        SPY<-Cl(SPY)
        initDate=time(get(symbols)[1])
        initEq=10000
        rm(list=ls(envir=.blotter),envir=.blotter)
        ltportfolio='rsi2'
        ltaccount='rsi2'
        initPortf(ltportfolio,symbols, initDate=initDate)
        initAcct(ltaccount,portfolios=c(ltportfolio), initDate=initDate,initEq=initEq)
        currency("USD")
        stock(symbol,currency="USD",multiplier=1)
        
        signal[is.na(signal)]<-0        
        
        
        
        for(i in 2:length(signal))
        {
                currentDate= time(signal)[i]
                equity = 10000 #getEndEq(ltaccount, currentDate)
                position = getPosQty(ltportfolio, Symbol=symbols[1], Date=currentDate)  
                print(position)
print(currentDate)
                if(position==0)
                {               
                        #open a new position if signal is !=0
                        if((signal[i])!=0 )
                        {
                                print('open position')
                                closePrice<-as.double(Cl(SPY[currentDate]))
                                print(closePrice)
                                unitSize = as.numeric(trunc((equity/closePrice)))
                                print(unitSize)
                                commssions=-unitSize*closePrice*0.0003
                                addTxn(ltportfolio, Symbol=symbols[1],  TxnDate=currentDate, TxnPrice=closePrice, TxnQty = as.integer(unitSize*signal[i]) , TxnFees=commssions, verbose=T)
                                
                        }
                        
                }
                else
                {
                        #position is open. If signal is 0 - close it.
                        if((position)>0 &rsi2[currentDate]>70)
                        {
                                position = getPosQty(ltportfolio, Symbol=symbols[1], Date=currentDate)
                                closePrice<-as.double((Cl(SPY[currentDate])))#as.double(get(symbols[1])[i+100])
                                commssions=-position*closePrice*0.0003
                                addTxn(ltportfolio, Symbol=symbols[1],  TxnDate=currentDate, TxnPrice=closePrice, TxnQty = -position , TxnFees=commssions, verbose=T)
                                
                        }
                        else if((position)<0 &rsi2[currentDate]<30)
                        {
                                position = getPosQty(ltportfolio, Symbol=symbols[1], Date=currentDate)
                                closePrice<-as.double((Cl(SPY[currentDate])))#as.double(get(symbols[1])[i+100])
                                commssions=-position*closePrice*0.0003
                                addTxn(ltportfolio, Symbol=symbols[1],  TxnDate=currentDate, TxnPrice=closePrice, TxnQty = -position , TxnFees=commssions, verbose=T)
                                
                        }
                }       
                updatePortf(ltportfolio, Dates = currentDate)
                updateAcct(ltaccount, Dates = currentDate)
updateEndEq(ltaccount, Dates = currentDate)
        }
        rez1<-(getPortfolio(ltaccount))
        plot(cumsum(rez1$symbols$SPY$txn[,9]))
        return(rez1)
}