[R-SIG-Finance] quantstrat help

Raghuraman Ramachandran optionsraghu at gmail.com
Fri Oct 17 11:37:31 CEST 2014


Dear guRus

I am trying to understand the quantstrat package. My signal is very
simple. I want to buy if daily close > 2% of open and vice versa. But
my signals produce consecutive 1s (when market is going higher) and
-1s (when market is going lower) so I want to avoid buying (or
selling) more if already bought or sold.

My question is:
Is it possible to tell quantstrat a) Please do not buy if already
bought and if a new buy signal appears and b) Please buy even though
if already bought and a new signal appears.
Also, when a leave a trailing stop which takes precedence? A trailing
stop or a new signal on the opposite side and is it possible to change
this precedence please?

Sincere thanks for the guidance,
Raghu



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