[R-SIG-Finance] quantstrat maCross demo problem

[Brian G. Peterson]

On 07/10/2012 09:15 PM, hifin wrote:
> I'm using R 2.15.1 and latest version of all packages. When I ran the maCross
> demo, (AAPL from 1999-12-31 and LONG only), I got the following results:
<snip>
> However, when I change the startdate from 1999-12-31 to 2005-12-31, it
> returns
<snip>
> It starts with a SHORT position while the demo code should be LONG ONLY.
> Can anybody tell me what the problem is? Thanks!

I don't know what the root cause it yet, but I was able to replicate it. 
  As a short workaround, using orderqty='all' for the exit order solves 
the problem, as does using osMaxPos.  I'll dig deeper on the root cause 
of why the exit order fires there when I have a bit more time.

Regards,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock