[R-SIG-Finance] quantstrat with intraday data

[Jim Green]

On 3 May 2012 00:07, G See <gsee000 at gmail.com> wrote:
> If a stock splits in half, don't you think you should adjust for that
> before performing technical analysis?  You'd treat that big jump in
> price the same as a real price jump even though if you had a position
> in the stock, your PnL would be unaffected by the split?

sorry I was unclear... that would generate wrong signals..  I think
the correct way to use split/dividend adjusted daily data for
technical analysis is:
1, for each day, generate signals using adjusted data till before that
day, in a walking forward fashion.
2, for pnl logistics, use trade based adjustments or position adjustments.

the above are not currently supported by quantstrat and underlying
blotter but is really a nice to have. is qmao addressing the them in
some way?

Jim.