[R-SIG-Finance] quantstrat help

[Raghuraman Ramachandran]

Thanks Josh, Ilya, Nick. I will start on those lectures of Guy.
Josh> Thx for correcting the vectorization part of the code. It is a
steep curve indeed but enjoyable!

Best Rgds
Raghu

On Fri, Oct 17, 2014 at 2:06 PM, Nick White <n-e-w at qtradr.net> wrote:
> 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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>
>