Fractals indicator (Bill Williams) R Quantstrat

External question — Quantitative Finance Stack Exchange Author: GeV 126 Original post: https://quant.stackexchange.com/questions/18634 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Hi has anyone seen or know how to create an indicator for fractals in quantstrat? fractals explained http://forex-indicators.net/bill-williams/fractals example code (only interested in type 1 fractal) http://forexsb.com/forum/topic/68/fractals/

External answer — Quantitative Finance Stack Exchange Author: Kumar Original post: https://quant.stackexchange.com/a/18645 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Most technical indicators must be available in the TTR package. However, if they are not then you can write a custom indicator for use in quantstrat as follows. fractalindicator.up <- function(x) { High <- Hi(x); Bars <- nrow(x) afFrUp <- rep(NA, Bars) for(iBar in seq(8,Bars-2)) { if(High[iBar-1]<High[iBar-2] && High[iBar]<High[iBar-2]) { #Fractal type 1 if( High[iBar-4]<High[iBar-2] && High[iBar-3]<High[iBar-2] ) afFrUp[iBar+1]=High[iBar-2]; } } names(afFrDn) <- "F.Up" } fractalindicator.dn <- function(x) { Low <- Lo(x); Bars <- nrow(x) afFrDn <- rep(NA, Bars) for(iBar in seq(8,Bars-2)) { if(Low[iBar-1]>Low[iBar-2] && Low[iBar]>Low[iBar-2]) { #Fractal type 1 if( Low[iBar-4]>Low[iBar-2] && Low[iBar-3]>Low[iBar-2] ) afFrDn[iBar+1]=Low[iBar-2]; } } names(afFrDn) <- "F.Down" } #Add indicators add.indicator(strategy = "fractal", name = "fractalindicator.up", arguments = list(x = quote(mktdata)), label="fractalup") #Add indicators add.indicator(strategy = "fractal", name = "fractalindicator.dn", arguments = list(x = quote(mktdata)), label="fractaldn") I have defined two here, fractalindicator.up and fractalindicator.dn. You can work with these just like you do in a regular quantstrat strategy. I may be wrong in constructing the indicator so check the logic. It is also possible to combine the two functions into one with an additional parameter. Also, quantstrat related questions are best asked on r-sig-finance mailing list. The authors of quantstrat and many more R enthusiasts are very active on that mailing list.

External answer — Quantitative Finance Stack Exchange Author: GeV 126 Original post: https://quant.stackexchange.com/a/18672 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. so i had to do a couple changes to get it fully working for me, but Rohit you pretty much got it close. Again this is what worked in my env fractalindicator.up <- function(x) { x$FUp <- 0 High <- Hi(x); Bars <- nrow(x) for(iBar in seq(8,Bars-2)) { if(High[[iBar-1]]<High[[iBar-2]] && High[[iBar]]<High[[iBar-2]]) { #Fractal type 1 if( High[[iBar-4]]<High[[iBar-2]] && High[[iBar-3]]<High[[iBar-2]] ) #afFrUp[iBar+1]=High[iBar-2]; x$FUp[iBar]= 1; } } return(x$FUp) } fractalindicator.dn <- function(x) { x$FDown <- 0 Low <- Lo(x); Bars <- nrow(x) for(iBar in seq(8,Bars-2)) { if(Low[[iBar-1]]>Low[[iBar-2]] && Low[[iBar]]>Low[[iBar-2]]) { #Fractal type 1 if( Low[[iBar-4]]>Low[[iBar-2]] && Low[[iBar-3]]>Low[[iBar-2]] ) #afFrDn[iBar+1]=Low[iBar-2]; x$FDown[iBar]=1; } } return(x$FDown) } I needed to return an xts object and include [[]] to access values in the dataframe Pasted below is the full code (without analytics), I used the boilerplate code from Ilya Kipnis so full credit goes to him (please source the code from the link and not copy and paste from this) https://github.com/IlyaKipnis/DSTrading/blob/master/demo/TVI2.R The strategy just buys as soon as it gets and up fractal and exits on a down fractal, obviously this is not a strategy anyone would trade, This is just an example of using fractals. require(quantstrat) require(IKTrading) require(devtools) require(DSTrading) require(PerformanceAnalytics) options("getSymbols.warning4.0"=FALSE) rm(list=ls(.blotter), envir=.blotter) currency('USD') Sys.setenv(TZ="UTC") symbols <- "SPY" suppressMessages(getSymbols(symbols, from="1998-01-01", to="2015-05-15")) stock(symbols, currency="USD", multiplier=1) initDate="1990-01-01" tradeSize <- 10000 initEq <- tradeSize*length(symbols) account.st <- 0 strategy.st <- portfolio.st <- account.st <- "fractal" rm.strat(portfolio.st) rm.strat(strategy.st) initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD') initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD',initEq=initEq) initOrders(portfolio.st, initDate=initDate) strategy(strategy.st, store=TRUE) #new fractalindicator.up <- function(x) { x$FUp <- 0 High <- Hi(x); Bars <- nrow(x) for(iBar in seq(8,Bars-2)) { if(High[[iBar-1]]<High[[iBar-2]] && High[[iBar]]<High[[iBar-2]]) { #Fractal type 1 if( High[[iBar-4]]<High[[iBar-2]] && High[[iBar-3]]<High[[iBar-2]] ) #afFrUp[iBar+1]=High[iBar-2]; x$FUp[iBar]= 1; } } return(x$FUp) } fractalindicator.dn <- function(x) { x$FDown <- 0 Low <- Lo(x); Bars <- nrow(x) for(iBar in seq(8,Bars-2)) { if(Low[[iBar-1]]>Low[[iBar-2]] && Low[[iBar]]>Low[[iBar-2]]) { #Fractal type 1 if( Low[[iBar-4]]>Low[[iBar-2]] && Low[[iBar-3]]>Low[[iBar-2]] ) #afFrDn[iBar+1]=Low[iBar-2]; x$FDown[iBar]=1; } } return(x$FDown) } #Add indicators add.indicator(strategy = "fractal", name = "fractalindicator.up", arguments = list(x = quote(mktdata)), label="fractalup") #Add indicators add.indicator(strategy = "fractal", name = "fractalindicator.dn", arguments = list(x = quote(mktdata)), label="fractaldn") applyIndicators(strategy=strategy.st, mktdata) # # mktdata$FDown.FDownCompare <- 1 # mktdata$FUp.FUpCompare <- 1 add.signal(strategy.st, name = "sigComparison", arguments = list(columns=c("fractalup", "fractaldn"), relationship="gt"), label="upFractal") add.signal(strategy.st, name = "sigComparison", arguments = list(columns=c("fractaldn", "fractalup"), relationship="gt"), label="downFractal") applySignals(strategy=strategy.st,mktdata) #enter rule add.rule(strategy.st, name = "ruleSignal", arguments = list(sigcol="upFractal", sigval=TRUE, ordertype="market", orderside=NULL, replace=FALSE, prefer="close", orderqty=1), type="enter",path.dep=TRUE,label="ruleUp") #exit rule add.rule(strategy.st, name = "ruleSignal", arguments = list(sigcol="downFractal", sigval=TRUE, orderqty="all", orderqty=-1, ordertype="market", orderside=NULL, replace=FALSE, prefer="open"), type="enter",path.dep=TRUE,label="ruleDown") #apply strategy t1 <- Sys.time() out <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st,debug=TRUE ) t2 <- Sys.time() print(t2-t1)