8.4 Buy and Hold

We want to compare buy and hold strategy.

We first get the data

getSymbols("SPY", from=from, to=to, adjust=TRUE)

8.4.1 Step 1: Initialization

rm.strat("buyHold")

#Initial Setup
initPortf("buyHold", "SPY", initDate = initDate)
initAcct("buyHold", portfolios = "buyHold",
         initDate = initDate, initEq = initEq)

8.4.2 Steps 2-4: Applying trading rule

Since buy and sell are not given by trading rule, we directly add transaction to it.

We first add the transaction to buy at the beginning:

FirstDate <- first(time(SPY))
# Enter order on the first date
BuyDate <- FirstDate
equity = getEndEq("buyHold", FirstDate)
FirstPrice <- as.numeric(Cl(SPY[BuyDate,]))
UnitSize = as.numeric(trunc(equity/FirstPrice))
addTxn("buyHold", Symbol = "SPY", 
       TxnDate = BuyDate, TxnPrice = FirstPrice,
       TxnQty = UnitSize, TxnFees = 0)

We first add the transaction to sell at the end:

LastDate <- last(time(SPY))
# Exit order on the Last Date
LastPrice <- as.numeric(Cl(SPY[LastDate,]))
addTxn("buyHold", Symbol = "SPY", 
       TxnDate = LastDate, TxnPrice = LastPrice,
       TxnQty = -UnitSize , TxnFees = 0)

8.4.3 Step 5: Evaluation

After updates, we can plot the trading position.

updatePortf(Portfolio = "buyHold")

## [1] "buyHold"

updateAcct(name = "buyHold")

## [1] "buyHold"

updateEndEq(Account = "buyHold")

## [1] "buyHold"

chart.Posn("buyHold", Symbol = "SPY")

Now we are ready to compare buy-hold and the simple trading rule.

# Compare strategy and market
rets <- PortfReturns(Account = account.st)
rets.bh <- PortfReturns(Account = "buyHold")
returns <- cbind(rets, rets.bh)
charts.PerformanceSummary(
  returns, geometric = FALSE,
  wealth.index = TRUE, 
  main = "Strategy vs. Market")