[R-SIG-Finance] quantstrat - trailingStop offsets?

[Mark Knecht]

On Mon, Oct 13, 2014 at 7:29 AM, Mark Knecht <markknecht at gmail.com> wrote:
> Good morning,
>    Base question: Are there any quantstrat examples showing how to set
> a minimum profit target before a trailing stop kicks in?
>
>    For example, for a risk stop of 5% and a trailing stop of 3%, I
> don't want to the trailing stop to be executed until I have met a
> minimum profit of at least 2% resulting in a maximum approximate loss
> of 1% if the trailing stop executes.
>
>    I don't see anything in addOrder to do that but I suspect there's
> someway to handle it.
>
> Thanks,
> Mark

I think this is possibly intended to be done in the order sizing
function by setting the size to zero until the minimum gain is met.

<SNIP>
      orderqty <- osFUN(strategy = strategy, data = mktdata,
                        timestamp = timestamp, orderqty = orderqty,
ordertype = ordertype,
                        orderside = orderside, portfolio = portfolio,
                        symbol = symbol, ... = ..., ruletype = ruletype,
                        orderprice = as.numeric(orderprice))
    }
    if (!is.null(orderqty) && orderqty != 0 && length(orderprice)) {
      addOrder(portfolio = portfolio, symbol = symbol,
               timestamp = timestamp, qty = orderqty, price =
as.numeric(orderprice),
               ordertype = ordertype, side = orderside, orderset = orderset,
               threshold = threshold, status = "open", replace = replace,
               delay = delay, tmult = tmult, ... = ..., prefer = prefer,
               TxnFees = TxnFees, label = label, time.in.force = time.in.force)
    }
<SNIP>

If there's a more canned way to do it I'd appreciate understanding it
but for now I'll proceed in that direction.

Sorry for the noise,
Mark