[R-SIG-Finance] quanstrat rule to exit same day close (using daily data)
algotr8der at gmail.com
Sat May 12 23:45:39 CEST 2012
I am trying to backtest a strategy that requires an exit on the close (same
day as the entry). I have searched through Rmetrics and stackoverflow and
found the following post:
Brian Peterson said the following:
>quantstrat, as described in the manual, is a signals-based framework. It is
not designed for filters based trades really.
>You could do what you want by using the delay argument to your exit rule.
Set the delay to be one day, and the prefer
argument to prefer a different price column.
>I'm not going to write it for you, but that is enough information to solve
Now this was a solution to exit at a future time stamp. I want to exit the
*same* day (I am using daily data for my test) which is why I'm not sure if
setting a delay really works for what I want to do. Is this at all possible?
Appreciate the direction.
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