[R-SIG-Finance] quantstrat help

[Nick White]

Raghu,

I highly recommend you start with Guy Yollin's excellent lectures @
http://www.r-programming.org/papers

Begin with understanding the `blotter` package.

Guy's notes then proceed onto quantstrat and each successive lecture
introduces progressively more advanced features. Lecture 1 will more than
sufficiently cover what you're trying to do.

There's a learning curve to quantstrat -- but if you follow Guy's lectures
it will be about as painless as its possible to be.

n.



On Fri, Oct 17, 2014 at 11:31 PM, Raghuraman Ramachandran <
optionsraghu at gmail.com> wrote:

> Thx Josh.
>
> Here is the code:
>
> require(quantmod)
> require(TTR)
> getSymbols('^GSPC')
> colnames(GSPC)=c("Open","High","Low","Close","Volume","AdjPrice")
> for (i in 1: nrow(GSPC))
> {
>   GSPC$signal[i]=ifelse((GSPC$Close[i]>1.02*GSPC$Open[i]), 1
> ,ifelse(GSPC$Close[i]<= 0.98*GSPC$Open[i], -1, 0))
> }
>
> So there will be consecutive days of longs or shorts but how to ignore
> the subsequent signals and take the first occurrences inside
> quantstrat pls?
>
> Rgds
> Raghu
>
> On Fri, Oct 17, 2014 at 12:50 PM, Joshua Ulrich <josh.m.ulrich at gmail.com>
> wrote:
> > On Fri, Oct 17, 2014 at 4:37 AM, Raghuraman Ramachandran
> > <optionsraghu at gmail.com> wrote:
> >> 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.
> >>
> > Then only take the first signal.  If you want more specific
> > instructions about how to do that, then provide more specific details
> > about your problem (e.g. your actual code).
> >
> >> 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.
> >
> > a) Yes.
> > b) Yes.
> >
> >> 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?
> >>
> > Rules are processed in the order described in the Details section of
> > ?add.rule.  You can change the order, but it is strongly discouraged
> > because it's very easy to create unrealistic behavior if you modify
> > the order incorrectly.
> >
> >> Sincere thanks for the guidance,
> >> Raghu
> >>
> >
> > --
> > Joshua Ulrich  |  about.me/joshuaulrich
> > FOSS Trading  |  www.fosstrading.com
>
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