[R-SIG-Finance] setting quantstrat stoplimit threshold to a signal value

bb01100100 kel.graham at gmail.com
Thu Jun 30 10:15:17 CEST 2011


I am testing a simple strategy in quantstrat, whereby I would like to set a
'stoplimit' order equal to 75% of the Donchian Channel range.

If the Donchian Channel is as follows:

 a. low = 92.20
 b. high = 110.50

Then I would like to set my 'stoplimit' to: low + (high - low) * 0.75,
giving a price of 105.925

My question is: How can I correctly access mktdata's signal information,
e.g. mktdata$mySignalValue for use in the threshold parameter of add.rule()?

If my approach is wrong, then a backup question is: In quantstrat, how do I
set a long stop / stoplimit order above the market at a price derived from
the signals added to the strategy via add.signal()?

I have tried to use formulas in the add.rule() function's 'threshold'
parameter as below:

myStrat = add.rule(myStrat, name='ruleSignal',
   threshold=(mktdata$tradeSignal.low + ((mktdata$tradeSignal.high -
mktdata$tradeSignal.low)*0.75) - mktdata$SPY.High),

but I get an error:

[1] "Setup completed"
Added a position limit for  SPY 
Error in NextMethod(.Generic) : 
  dims [product 1] do not match the length of object [504]
In addition: Warning messages:
1: In max(i) : no non-missing arguments to max; returning -Inf
2: In max(getOrders(portfolio = portfolio, symbol = symbol, status = "open", 
  no non-missing arguments, returning NA
3: In if (!is.null(ordertype) & is.na(charmatch(ordertype, c("market",  :
  the condition has length > 1 and only the first element will be used
4: In if (is.na(charmatch(ordertype, c("market", "limit", "stoplimit",  :
  the condition has length > 1 and only the first element will be used

Which, I assume, means that I'm passing a big list of values from my
threshold formula instead of a specific value.

I have tried using last() on the above formula, but this uses the last value
of the entire mktdata series.

Also, I have searched quite a lot, but all of the examples I have seen look
for a signal and then buy at market, so I'm bit stuck. Any help, pointers or
guidance to a relevant example would be much appreciated.


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