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#thanks so much to the developers of quantstrat
#99% of this code comes from the demos in the quantstrat package   
#in this I make changes to the signal and rule
#to illustrate how sigCrossover and sigComparison
#work   
require(quantstrat)   
#now let's define our silly countupdown function
CUD <- function(price,n) {
	#CUD takes the n-period sum of 1 (up days) and -1 (down days)
	temp<-runSum(ifelse(ROC(price,1,type="discrete") > 0,1,-1),n)
	colnames(temp) <- "CUD"
	temp
}   
ReturnNumbers <- function(price,n) {
	#just return an xts with 0 for every period
	as.xts(rep(0,NROW(price)),order.by=index(price))
}   
try(rm("order_book.CUD",pos=.strategy),silent=TRUE)
try(rm("account.CUD","portfolio.CUD",pos=.blotter),silent=TRUE)
try(rm("port.st","symbols","symbol","stratCUD","initDate","initEq",
	'start_t','end_t','num_periods'),silent=TRUE)   
#specify this for the rolling periods to use for our signal
num_periods=50   # Initialize a strategy object
stratCUD <- strategy("CUD")   # Add an indicator
stratCUD <- add.indicator(strategy = stratCUD, name = "CUD",
	arguments = list(price = quote(Cl(mktdata)),n=num_periods),
	label="CUD")
stratCUD <- add.indicator(strategy = stratCUD, name = "ReturnNumbers",
	arguments = list(price = quote(Cl(mktdata)),n=0),
	label="ReturnNumbers")   
# these are the same rules from the original sigThreshold
# I provide these as an illustration of sigCrossover and sigComparison
# sigComparison gives 1 (TRUE) or 0 (FALSE)
# sigCrossover gives 1(TRUE) or NA
# enter when CUD > 0
stratCUD <- add.signal(strategy = stratCUD, name="sigComparison",
	arguments = list(columns=c("CUD","ReturnNumbers"),relationship="gte"),
	label="CUD.gte.0")
# exit when CUD < 0
stratCUD <- add.signal(strategy = stratCUD, name="sigComparison",
	arguments = list(columns=c("CUD","ReturnNumbers"),relationship="lt"),
	label="CUD.lt.0")   stratCUD <- add.rule(strategy = stratCUD, name='ruleSignal', 
	arguments = list(sigcol="CUD.gte.0", sigval=TRUE, orderqty=1000,
	ordertype='market', orderside='long', pricemethod='market', replace=FALSE),
	type='enter', path.dep=TRUE)
stratCUD <- add.rule(strategy = stratCUD, name='ruleSignal',
	arguments = list(sigcol="CUD.lt.0", sigval=TRUE, orderqty='all',
	ordertype='market', orderside='long', pricemethod='market', replace=FALSE),
	type='exit', path.dep=TRUE)       currency("USD")
symbols = c("GSPC","GDAXI")
for (symbol in symbols) {
	stock(symbol, currency="USD",multiplier=1)
	#use paste with ^ to get index data
	getSymbols(paste("^",symbol,sep=""),adjust=T,from="1900-12-31")
	assign(symbol,to.weekly(get(symbol)))
}       initDate='1950-12-31'
initEq=100000
port.st<-'CUD' #use a string here for easier changing of parameters and re-trying   
initPortf(port.st, symbols=symbols, initDate=initDate)
initAcct(port.st, portfolios=port.st, initDate=initDate)
initOrders(portfolio=port.st, initDate=initDate)   print("setup completed")   
# Process the indicators and generate trades
start_t<-Sys.time()
out<-try(applyStrategy(strategy=stratCUD , portfolios=port.st ) )
end_t<-Sys.time()
print("Strategy Loop:")
print(end_t-start_t)     start_t<-Sys.time()
updatePortf(Portfolio=port.st,Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("trade blotter portfolio update:")
print(end_t-start_t)   
# hack for new quantmod graphics, remove later
themelist<-chart_theme()
themelist$col$up.col<-'lightgreen'
themelist$col$dn.col<-'pink'   for(symbol in symbols){
	dev.new()
	chart.Posn(Portfolio=port.st,Symbol=symbol,theme=themelist)
	#add the CUD indicator to the bottom of the chart
	plot(add_TA(CUD(get(symbol)[,4],n=num_periods)))
}
mktdata[1:200] #will show how mktdata is used in quantstrat