[R-SIG-Finance] quantstrat & custom indicators

[algotr8der]

So I changed the following:

1) orderqty = all 

in all of the exit rules to 

2) orderqty = -numshares

So essentially reversing the original trade. This allowed the code to
generate trades. I also lengthened the date range to include data from
2007-07-02 to 2007-12-30 to get more data points for the test. 

http://r.789695.n4.nabble.com/file/n3493332/basketStrategy.R
basketStrategy.R 

As you can see the trades for IBM are generated based on the rule specified.
However, one of the trades for CAT is using the rule added to the strategy
for IBM (it's trading 65 shares). I'm not sure if this is the entry trade
because the entry trade should be a short sale of 348 shares. Instead a
purchase of 65 shares is made as the first ever trade for CAT. You can see
the same theme progress for UTX and MSFT.

I think there is some rule overlapping going on here and its likely because
I am not using the features of this package correctly. If there was a way to
remove a rule once processing of a symbol has completed I think that might
work. But you guys might have more 'clean' and 'efficient' ways to think
about this problem.

[1] "2007-08-10 IBM 65 @ 112.64"
[1] "2007-08-14 IBM -65 @ 112.05"
[1] "2007-08-23 IBM 65 @ 111.45"
[1] "2007-09-12 IBM -65 @ 116"
[1] "2007-09-18 IBM 65 @ 116.63"
[1] "2007-10-03 IBM -65 @ 116.4"
[1] "2007-10-08 IBM 65 @ 117.77"
[1] "2007-10-17 IBM -65 @ 115.78"
[1] "2007-10-29 IBM 65 @ 114.8"
[1] "2007-11-01 IBM -65 @ 113.65"
[1] "2007-11-02 IBM 65 @ 114.59"
[1] "2007-11-05 IBM -65 @ 113.4"
[1] "2007-11-23 IBM 65 @ 104.05"
[1] "2007-11-26 IBM -65 @ 101.97"
[1] "2007-11-27 IBM 65 @ 103.83"
[1] "2007-12-11 IBM -65 @ 106.99"
[1] "2007-12-12 IBM 65 @ 108.47"
[1] "2007-12-14 IBM -65 @ 105.77"
[1] "2007-12-20 IBM 65 @ 108.84"
[1] "2007-08-02 CAT 65 @ 80.67"
[1] "2007-08-02 CAT -348 @ 80.67"
[1] "2007-08-03 CAT -65 @ 78.96"
[1] "2007-08-03 CAT 348 @ 78.96"
[1] "2007-08-06 CAT 65 @ 81"
[1] "2007-08-06 CAT -348 @ 81"
[1] "2007-08-09 CAT -65 @ 78.48"
[1] "2007-08-09 CAT 348 @ 78.48"
[1] "2007-08-23 CAT 65 @ 75.17"
[1] "2007-08-23 CAT -348 @ 75.17"
[1] "2007-08-28 CAT -65 @ 74.16"
[1] "2007-08-28 CAT 348 @ 74.16"
[1] "2007-08-29 CAT 65 @ 75.04"
[1] "2007-08-29 CAT -348 @ 75.04"
[1] "2007-08-30 CAT -65 @ 74.66"
[1] "2007-08-30 CAT 348 @ 74.66"
[1] "2007-08-31 CAT 65 @ 75.77"
[1] "2007-08-31 CAT -348 @ 75.77"
[1] "2007-09-07 CAT -65 @ 73.44"
[1] "2007-09-07 CAT 348 @ 73.44"
[1] "2007-09-18 CAT 65 @ 77.46"
[1] "2007-09-18 CAT -348 @ 77.46"
[1] "2007-10-11 CAT -65 @ 79.44"
[1] "2007-10-11 CAT 348 @ 79.44"
[1] "2007-10-12 CAT 65 @ 80.3"
[1] "2007-10-12 CAT -348 @ 80.3"
[1] "2007-10-15 CAT -65 @ 78.84"
[1] "2007-10-15 CAT 348 @ 78.84"
[1] "2007-11-02 CAT 65 @ 74.76"
[1] "2007-11-02 CAT -348 @ 74.76"
[1] "2007-11-05 CAT -65 @ 73.5"
[1] "2007-11-05 CAT 348 @ 73.5"
[1] "2007-11-06 CAT 65 @ 74.92"
[1] "2007-11-06 CAT -348 @ 74.92"
[1] "2007-11-07 CAT -65 @ 73.6"
[1] "2007-11-07 CAT 348 @ 73.6"
[1] "2007-11-28 CAT 65 @ 71.19"
[1] "2007-11-28 CAT -348 @ 71.19"
[1] "2007-12-14 CAT -65 @ 73.39"
[1] "2007-12-14 CAT 348 @ 73.39"
[1] "2007-12-24 CAT 65 @ 72.7"
[1] "2007-12-24 CAT -348 @ 72.7"
[1] "2007-08-02 UTX -348 @ 74.76"
[1] "2007-08-02 UTX 648 @ 74.76"
[1] "2007-08-03 UTX 348 @ 73.93"
[1] "2007-08-03 UTX -648 @ 73.93"
[1] "2007-08-06 UTX -348 @ 74.85"
[1] "2007-08-06 UTX 648 @ 74.85"
[1] "2007-08-07 UTX 348 @ 74.15"
[1] "2007-08-07 UTX -648 @ 74.15"
[1] "2007-08-13 UTX -348 @ 74.01"
[1] "2007-08-13 UTX 648 @ 74.01"
[1] "2007-08-14 UTX 348 @ 72.78"
[1] "2007-08-14 UTX -648 @ 72.78"
[1] "2007-08-17 UTX -348 @ 73.82"
[1] "2007-08-17 UTX 648 @ 73.82"
[1] "2007-08-21 UTX 348 @ 72.94"
[1] "2007-08-21 UTX -648 @ 72.94"
[1] "2007-08-22 UTX -348 @ 73.87"
[1] "2007-08-22 UTX 648 @ 73.87"
[1] "2007-08-28 UTX 348 @ 72"
[1] "2007-08-28 UTX -648 @ 72"
[1] "2007-08-29 UTX -348 @ 74.35"
[1] "2007-08-29 UTX 648 @ 74.35"
[1] "2007-09-05 UTX 348 @ 73.45"
[1] "2007-09-05 UTX -648 @ 73.45"
[1] "2007-09-06 UTX -348 @ 75.01"
[1] "2007-09-06 UTX 648 @ 75.01"
[1] "2007-09-07 UTX 348 @ 73.79"
[1] "2007-09-07 UTX -648 @ 73.79"
[1] "2007-09-10 UTX -348 @ 74.49"
[1] "2007-09-10 UTX 648 @ 74.49"
[1] "2007-10-03 UTX 348 @ 79.67"
[1] "2007-10-03 UTX -648 @ 79.67"
[1] "2007-10-05 UTX -348 @ 80.84"
[1] "2007-10-05 UTX 648 @ 80.84"
[1] "2007-10-08 UTX 348 @ 80.36"
[1] "2007-10-08 UTX -648 @ 80.36"
[1] "2007-10-09 UTX -348 @ 81.2"
[1] "2007-10-09 UTX 648 @ 81.2"
[1] "2007-10-10 UTX 348 @ 80.5"
[1] "2007-10-10 UTX -648 @ 80.5"
[1] "2007-10-31 UTX -348 @ 76.59"
[1] "2007-10-31 UTX 648 @ 76.59"
[1] "2007-11-01 UTX 348 @ 74.72"
[1] "2007-11-01 UTX -648 @ 74.72"
[1] "2007-11-05 UTX -348 @ 76.11"
[1] "2007-11-05 UTX 648 @ 76.11"
[1] "2007-11-07 UTX 348 @ 74.46"
[1] "2007-11-07 UTX -648 @ 74.46"
[1] "2007-11-13 UTX -348 @ 75.33"
[1] "2007-11-13 UTX 648 @ 75.33"
[1] "2007-11-14 UTX 348 @ 74.92"
[1] "2007-11-14 UTX -648 @ 74.92"
[1] "2007-11-20 UTX -348 @ 74.32"
[1] "2007-11-20 UTX 648 @ 74.32"
[1] "2007-11-21 UTX 348 @ 72.78"
[1] "2007-11-21 UTX -648 @ 72.78"
[1] "2007-11-27 UTX -348 @ 74"
[1] "2007-11-27 UTX 648 @ 74"
[1] "2007-12-14 UTX 348 @ 76.69"
[1] "2007-12-14 UTX -648 @ 76.69"
[1] "2007-12-21 UTX -348 @ 77.83"
[1] "2007-12-21 UTX 648 @ 77.83"
[1] "2007-08-07 MSFT 648 @ 29.55"
[1] "2007-08-07 MSFT -1000 @ 29.55"
[1] "2007-08-09 MSFT -648 @ 29.3"
[1] "2007-08-09 MSFT 1000 @ 29.3"
[1] "2007-08-23 MSFT 648 @ 28.3"
[1] "2007-08-23 MSFT -1000 @ 28.3"
[1] "2007-08-28 MSFT -648 @ 27.93"
[1] "2007-08-28 MSFT 1000 @ 27.93"
[1] "2007-08-29 MSFT 648 @ 28.59"
[1] "2007-08-29 MSFT -1000 @ 28.59"
[1] "2007-09-05 MSFT -648 @ 28.48"
[1] "2007-09-05 MSFT 1000 @ 28.48"
[1] "2007-09-06 MSFT 648 @ 28.91"
[1] "2007-09-06 MSFT -1000 @ 28.91"
[1] "2007-09-07 MSFT -648 @ 28.44"
[1] "2007-09-07 MSFT 1000 @ 28.44"
[1] "2007-09-11 MSFT 648 @ 28.93"
[1] "2007-09-11 MSFT -1000 @ 28.93"
[1] "2007-09-17 MSFT -648 @ 28.73"
[1] "2007-09-17 MSFT 1000 @ 28.73"
[1] "2007-09-18 MSFT 648 @ 28.93"
[1] "2007-09-18 MSFT -1000 @ 28.93"
[1] "2007-09-19 MSFT -648 @ 28.67"
[1] "2007-09-19 MSFT 1000 @ 28.67"
[1] "2007-09-24 MSFT 648 @ 29.08"
[1] "2007-09-24 MSFT -1000 @ 29.08"
[1] "2007-10-19 MSFT -648 @ 30.17"
[1] "2007-10-19 MSFT 1000 @ 30.17"
[1] "2007-10-22 MSFT 648 @ 30.51"
[1] "2007-10-22 MSFT -1000 @ 30.51"
[1] "2007-11-07 MSFT -648 @ 35.52"
[1] "2007-11-07 MSFT 1000 @ 35.52"
[1] "2007-11-20 MSFT 648 @ 34.58"
[1] "2007-11-20 MSFT -1000 @ 34.58"
[1] "2007-11-26 MSFT -648 @ 32.97"
[1] "2007-11-26 MSFT 1000 @ 32.97"
[1] "2007-12-05 MSFT 648 @ 34.15"
[1] "2007-12-05 MSFT -1000 @ 34.15"
[1] "2007-12-17 MSFT -648 @ 34.39"
[1] "2007-12-17 MSFT 1000 @ 34.39"
[1] "2007-12-18 MSFT 648 @ 34.74"
[1] "2007-12-18 MSFT -1000 @ 34.74"

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