[R-SIG-Finance] Quantstrat pair trade

G See gsee000 at gmail.com
Mon May 9 16:55:49 CEST 2011

See attached for an example of a pair trade in quantstrat using a single
portfolio and custom order sizing function.

On Mon, May 9, 2011 at 5:30 AM, Brian G. Peterson <brian at braverock.com>wrote:

> On Sun, 2011-05-08 at 13:46 -0500, G See wrote:
> > Thank you Brian. That was extremely helpful.  It now runs, and I think
> > it does what I wanted it to do.
> Thank you!  This is a much cleaner example of how you can extend
> existing functionality without having to extensively rewrite the
> infrastructure!  This version should probably go to algotr8der and to
> the list. It's much better than the first attempt.
> > I will probably make it a little more sophisticated with regard to
> > order sizing and dividend accounting, but here's what I've got.
> May I include this example in the quantstrat demos ?
> (credited to you, of course)

Of course.  That's why I made it.

> Incidentally, I am in the middle of changing function buildSpread (in
> FinancialInstrument) to allow for other spreading methods (there is an
> unexposed function that does this now), and will eventually add ratio
> calculator utility functions too.
> Regards,
>  - Brian
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
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