[R-SIG-Finance] Writing sell rules with quantstrat

[Joshua Ulrich]

On Sat, May 3, 2014 at 4:16 PM, fc_11 <jyorio at gmail.com> wrote:
> i've been trying to implement a similar 'holding period based' exit in a
> similar fashion and tried Sergey's code today.  i get the following error
> upon running applyStrategy using either sergey's 'seller' function and rule
> or mine:
>
> Error in .firstCross(dindex, curIndex, "gt") :
>   REAL() can only be applied to a 'numeric', not a 'integer'
>
Thanks for the report. Patched in r1608 on R-Forge.

>
>
> my exit logic:
> add.rule(strategy.st, name = 'maxHoldingPeriod',arguments=list(x =
> quote(Cl(mktdata)[,1]),timestamp,portfolio.st,maxp=10),type='exit',
> enabled=TRUE)
>
>
>
> maxHoldingPeriod <- function (x, timestamp, portfolio, symbol,maxp)
> {
>   # updatePortf(portfolio, Symbols=symbol) #may or maynot work
>   position<-(getPos(portfolio,symbol,timestamp,Columns=c("Pos.Qty")))
>   position_init<-index(position)
>   pheld<-paste0(position_init, "/", timestamp)
>   period<-as.numeric(nrow(x[pheld]))
>   result<-as.xts(0,order.by=timestamp)
>   colnames(result)<-c('HoldingPeriod')
>   if(period>=maxp)
>   {
>     if(position[,1]>0)
>     {
>       result<-1
>       addOrder(portfolio, symbol, timestamp, qty='all', ordertype='market',
> side='long', prefer = 'Open',replace = TRUE,
>                return = FALSE, ..., TxnFees = 0, label = "MaxBarLong")
>     }
>     if(position[,1]<0)
>     {
>       result<-1
>       addOrder(portfolio, symbol, timestamp, qty='all', ordertype='market',
> side='short', prefer = 'Open',replace = TRUE,
>                return = FALSE, ..., TxnFees = 0, label = "MaxBarShort")
>     }
>   }
>   return(result)
> }
>
>

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Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com