backtesting

> stock(stock.str, currency="USD",multiplier=1)
[1] "GOOG"
> #use paste with ^ to get index data
> getSymbols(stock.str,from=initDate)
[1] "GOOG"
>
> start_t<-Sys.time()
> out<-try(applyStrategy(strategy='s' , portfolios='bbands'))
[1] "2009-03-04 GOOG 10 @ 318.92"
[1] "2009-03-09 GOOG 10 @ 290.89"
[1] "2009-04-16 GOOG -10 @ 388.74"
[1] "2009-05-28 GOOG -10 @ 410.4"
[1] "2009-07-07 GOOG 10 @ 396.63"
[1] "2009-07-15 GOOG -10 @ 438.17"
[1] "2010-01-22 GOOG 10 @ 550.01"
[1] "2010-03-04 GOOG -10 @ 554.59"
[1] "2010-04-26 GOOG 10 @ 531.64"
[1] "2010-05-04 GOOG 10 @ 506.37"
[1] "2010-05-20 GOOG 10 @ 475.01"
[1] "2010-06-29 GOOG 10 @ 454.26"
[1] "2010-08-04 GOOG -10 @ 506.32"
[1] "2010-08-19 GOOG 10 @ 467.97"
[1] "2010-09-17 GOOG -10 @ 490.15"
[1] "2010-09-24 GOOG -10 @ 527.29"
[1] "2010-10-15 GOOG -10 @ 601.45"
[1] "2010-11-12 GOOG 10 @ 603.29"
[1] "2010-11-30 GOOG 10 @ 555.71"
[1] "2011-01-05 GOOG -10 @ 609.07"
[1] "2011-01-14 GOOG -10 @ 624.18"
[1] "2011-03-01 GOOG 10 @ 600.76"
[1] "2011-03-07 GOOG 10 @ 591.66"
[1] "2011-03-10 GOOG 10 @ 580.3"
[1] "2011-03-16 GOOG 10 @ 557.1"
[1] "2011-04-15 GOOG 10 @ 530.7"
[1] "2011-05-16 GOOG 10 @ 518.42"
[1] "2011-05-23 GOOG 10 @ 518.39"
[1] "2011-06-10 GOOG 10 @ 509.51"
[1] "2011-06-15 GOOG 10 @ 502.95"
[1] "2011-07-05 GOOG -10 @ 532.44"
[1] "2011-07-15 GOOG -10 @ 597.62"
[1] "2011-08-18 GOOG 10 @ 504.88"
> # look at the order book
> png("/tmp/backtest-GOOG.png",1200,800)
> end_t<-Sys.time()
> end_t-start_t
Time difference of 47.82402 secs
> updatePortf(Portfolio='bbands',Dates=paste('::',as.Date(Sys.time()),sep=''))
[1] "bbands"
> chart.Posn(Portfolio='bbands',Symbol=stock.str)
> plot(add_BBands(on=1,sd=SD,n=N))
> getOrderBook('bbands')
$bbands
$bbands$GOOG
Order.Qty Order.Price Order.Type Order.Side Order.Threshold
2009-01-31 "0"       NA          "init"     "long"     "0"
2009-03-04 "10"      "318.92"    "market"   "long"     NA
2009-03-09 "10"      "290.89"    "market"   "long"     NA
2009-04-16 "-10"     "388.74"    "market"   "long"     NA
2009-05-28 "-10"     "410.4"     "market"   "long"     NA
2009-07-07 "10"      "396.63"    "market"   "long"     NA
2009-07-15 "-10"     "438.17"    "market"   "long"     NA
2010-01-22 "10"      "550.01"    "market"   "long"     NA
2010-03-04 "-10"     "554.59"    "market"   "long"     NA
2010-04-26 "10"      "531.64"    "market"   "long"     NA
2010-05-04 "10"      "506.37"    "market"   "long"     NA
2010-05-20 "10"      "475.01"    "market"   "long"     NA
2010-06-29 "10"      "454.26"    "market"   "long"     NA
2010-08-04 "-10"     "506.32"    "market"   "long"     NA
2010-08-19 "10"      "467.97"    "market"   "long"     NA
2010-09-17 "-10"     "490.15"    "market"   "long"     NA
2010-09-24 "-10"     "527.29"    "market"   "long"     NA
2010-10-15 "-10"     "601.45"    "market"   "long"     NA
2010-11-12 "10"      "603.29"    "market"   "long"     NA
2010-11-30 "10"      "555.71"    "market"   "long"     NA
2011-01-05 "-10"     "609.07"    "market"   "long"     NA
2011-01-14 "-10"     "624.18"    "market"   "long"     NA
2011-03-01 "10"      "600.76"    "market"   "long"     NA
2011-03-07 "10"      "591.66"    "market"   "long"     NA
2011-03-10 "10"      "580.3"     "market"   "long"     NA
2011-03-16 "10"      "557.1"     "market"   "long"     NA
2011-04-15 "10"      "530.7"     "market"   "long"     NA
2011-05-16 "10"      "518.42"    "market"   "long"     NA
2011-05-23 "10"      "518.39"    "market"   "long"     NA
2011-06-10 "10"      "509.51"    "market"   "long"     NA
2011-06-15 "10"      "502.95"    "market"   "long"     NA
2011-07-05 "-10"     "532.44"    "market"   "long"     NA
2011-07-15 "-10"     "597.62"    "market"   "long"     NA
2011-08-18 "10"      "504.88"    "market"   "long"     NA
Order.Status Order.StatusTime Order.Set Txn.Fees
2009-01-31 "closed"     "2009-01-31"     "1"       "0"
2009-03-04 "closed"     "2009-03-05"     NA        "0"
2009-03-09 "closed"     "2009-03-10"     NA        "0"
2009-04-16 "closed"     "2009-04-17"     NA        "0"
2009-05-28 "closed"     "2009-05-29"     NA        "0"
2009-07-07 "closed"     "2009-07-08"     NA        "0"
2009-07-15 "closed"     "2009-07-16"     NA        "0"
2010-01-22 "closed"     "2010-01-25"     NA        "0"
2010-03-04 "closed"     "2010-03-05"     NA        "0"
2010-04-26 "closed"     "2010-04-27"     NA        "0"
2010-05-04 "closed"     "2010-05-05"     NA        "0"
2010-05-20 "closed"     "2010-05-21"     NA        "0"
2010-06-29 "closed"     "2010-06-30"     NA        "0"
2010-08-04 "closed"     "2010-08-05"     NA        "0"
2010-08-19 "closed"     "2010-08-20"     NA        "0"
2010-09-17 "closed"     "2010-09-20"     NA        "0"
2010-09-24 "closed"     "2010-09-27"     NA        "0"
2010-10-15 "closed"     "2010-10-18"     NA        "0"
2010-11-12 "closed"     "2010-11-15"     NA        "0"
2010-11-30 "closed"     "2010-12-01"     NA        "0"
2011-01-05 "closed"     "2011-01-06"     NA        "0"
2011-01-14 "closed"     "2011-01-18"     NA        "0"
2011-03-01 "closed"     "2011-03-02"     NA        "0"
2011-03-07 "closed"     "2011-03-08"     NA        "0"
2011-03-10 "closed"     "2011-03-11"     NA        "0"
2011-03-16 "closed"     "2011-03-17"     NA        "0"
2011-04-15 "closed"     "2011-04-18"     NA        "0"
2011-05-16 "closed"     "2011-05-17"     NA        "0"
2011-05-23 "closed"     "2011-05-24"     NA        "0"
2011-06-10 "closed"     "2011-06-13"     NA        "0"
2011-06-15 "closed"     "2011-06-16"     NA        "0"
2011-07-05 "closed"     "2011-07-06"     NA        "0"
2011-07-15 "closed"     "2011-07-18"     NA        "0"
2011-08-18 "closed"     "2011-08-19"     NA        "0"


attr(,"class")
[1] "order_book"
> tradeStats('bbands')[,c('Num.Trades')]
[1] 33
> faber.stats<-tradeStats("bbands")[,c("Symbol","Num.Trades","Net.Trading.PL","maxDrawdown")]
> faber.stats
Symbol Num.Trades Net.Trading.PL maxDrawdown
GOOG   GOOG         33         6351.7    -10667.6