[R-SIG-Finance] quanstrat rule to exit same day close (using daily data)

[OpenTrades]

In quantstrat, if your have a signal on bar t, the rule will be executed 
at bar t+1. In your case, this means that the order will be added for 
the next day.

Use the 'prefer'-argument to specify which of next day's rates (open, 
low, high, close) you want to use.


On 12-05-12 23:45, algotr8der wrote:
> 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:
>
> http://stackoverflow.com/questions/10441614/quantstrat-in-r-setting-a-date-based-exit-signal
>
> 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
> your problem.
>
> 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.
>
>
> --
> View this message in context: http://r.789695.n4.nabble.com/quanstrat-rule-to-exit-same-day-close-using-daily-data-tp4629612.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
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-- 
Jan Humme - OpenTrades

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