[R-SIG-Finance] quantstrat - macross demo problem

[Stephen Choularton]

I note that the list

"pre","risk","order","rebalance",
                "exit","enter","entry","post"

Contains types that are not in the notes.  Can I find some further info 
on what they are for?

When Joshua says he has 'committed' the changes, does that mean if I 
download quadstrat the amendments will be incorporated in it?

And finally (for the moment ;-) thanks for the way you all have helped 
me solve my problems.

Stephen Choularton Ph.D., FIoD


On 28/01/2011 2:55 AM, Joshua Ulrich wrote:
> On Wed, Jan 26, 2011 at 6:42 AM, Brian G. Peterson<brian at braverock.com>  wrote:
>> On 01/25/2011 09:47 PM, Aleksandr Rudnev wrote:
>>> On Tue, Jan 25, 2011 at 3:54 PM, Stephen Choularton
>>> <stephen at organicfoodmarkets.com.au>    wrote:
>>>> ...
>>>>
>>>> The rules will be executed by type, in the order listed above.
>>>> ...
>>>> Has anyone got this problem and solved it?
>>> I have seen similar thing, but never had time to trace it before today...
>>>
>>> It seems like a defect in applyRules (if we take mentioned note as a
>>> spec) or in add.rule, or in ruleOrderProc, depending on how you look
>>> at it, but I guess authors will comment on that.
>>> Basically, what's happening is that "rules" list in strategy is
>>> populated with lists of rules of different type, each of such lists
>>> ("order", "entry", "exit", etc) is created and added to "rules" when
>>> add.rule is invoked first time for such type (lazy initialization). In
>>> applyRules "rules" are iterated in order corresponding to how
>>> different types of rules were added. In your case you start with
>>> "enter" type, then add "exit".
>>> Workaround would to first add "exit" rule(s), then "enter" rule(s).
>> This is correct.  Thank You for the detailed examination of the code.
>>
> I second that.  Aleksandr did most of the work, which made it very
> easy to patch.
>
>> The lines in question in applyRules() are a loop around a switch:
>>
>> l506 and following:
>>
>> for ( type in names(strategy$rules)){
>>         switch( type ,
>>
>> I'll need to think about an alternate formulation in applyRules() that would
>> work the rule types in order as described in the documentation (which was
>> our intent).
>>
>> Any input on fixes gladly accepted.
>>
> I've committed the patch below.  Rather than looping over
> names(strategy$rules), I create a factor that will sort in the same
> order as described in the documentation.  Obviously, if a new new rule
> type is created, it must be added to this list.
>
> types<- sort(factor(names(strategy$rules),
>    levels=c("pre","risk","order","rebalance",
>                 "exit","enter","entry","post")))
> for ( type in types ) {
>    switch( type ,
>
> The maCross demo now works correctly when the short rules are uncommented.
>
> Best,
> --
> Joshua Ulrich  |  FOSS Trading: www.fosstrading.com
>
>
>> Regards,
>>
>>   - Brian
>>
>>
>> --
>> Brian G. Peterson
>> http://braverock.com/brian/
>> Ph: 773-459-4973
>> IM: bgpbraverock
>>
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