[R-SIG-Finance] Signal and Rule question in Quantstrat

[Mark Knecht]

On Sun, Feb 1, 2015 at 6:31 AM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> On Sun, Feb 1, 2015 at 8:20 AM, Mark Knecht <markknecht at gmail.com> wrote:
>> On Sun, Feb 1, 2015 at 5:48 AM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
>>> On Fri, Jan 23, 2015 at 8:49 AM, Isak Engdahl <isak.engdahl at gmail.com> wrote:
>>>> Dear members,
>>>>
>>>> I have a questions how to set up the signals and rules correct for this
>>>> stategy in Quantstrat.
>>>>
>>>> Price must be above SMA=250 and below the 20 line in the Slow Stochastic
>>>> indicator.
>>>>
>>>> The trigger for a buy signal is when the signal line of the stochastic
>>>> indicator close above the 20 line.
>>>>
>>>> Enter trade
>>>> PRICE > SMA=250
>>>> Slow Stochastic < 20 and crossing above the 20 line
>>>>
>>>> Exit trade
>>>> PRICE < SMA=250
>>>> Slow Stoch > 80 and closes below the 80 line
>>>>
>>>> The rules and examples can be found here:
>>>> http://stockcharts.com/public/1107832
>>>>
>>>> Here is the code I have come up with now. Please help!
>>>>
>>> Help with what?  You haven't stated any problem.
>>>
>>
>> Joshua,
>>    I think Isak provided code and asked if it works, or what he has to
>> do to make it work. It didn't seem a wholly unreasonable question. (to
>> me...)
>> Mark
>>
> I don't know how to answer "does this code work?"  It doesn't do much.
> It just defines a strategy, some indicators, signals, and rules.  I'm
> not suggesting it's a wholly unreasonable question; but I doubt it's
> going to result in anyone providing help to Isak.
>
> I suspect most people are not going to take the time to run this
> strategy, then ensure he set it up correctly, and make any necessary
> fixes.  In short, Isak needs to put in more effort and come back when
> he has a more specific question.
>

OK, I see your point.

I'll likely go away and be quiet now but without running Isak's code
myself I will say I've been quiet on this list for months now as I
pretty much quit trying to understand how to do what I think is at the
root of Isak's question. (As I read it he's saying 'How to I combine
multiple indicators into a singlerule?') It's not hard in quantstrat
to write indicators, and it's not difficult to create a strategy based
on a single indicator - there are lots of provided examples. However,
as I remember it from months and months ago (I could be wrong, it
might have change, I don't know as I haven't looked) it seemed quite
difficult to turn groups of indicators into executable rules, such as
his entry rule:

PRICE > SMA=250
Slow Stochastic < 20 and crossing above the 20 line

so maybe you can point him to something that addresses just that issue.

For awhile I started creating custom indicator functions outside of
quantstrat such that my 'custom indicator' was pretty much the whole
rule so I didn't have to deal with figuring this out. To me it felt
like it was mostly a documentation/example file question but I got
tired of being a squeeky wheel and stopped working with quantstrat all
together. (I do this trading stuff for fun. To me it wasn't fun. I
bought a MatLab license and I have fun but I keep coming back to R
saying 'Can it be more fun now?')

Anyway, I totally get your point. His code won't run because (I think)
he cannot yet figure out how write a rule using multiple indicators
and in the general case completely inside of quantstrat neither could
I.

FOR CLARITY: I'm not complaining. OpenSource is what it is, it
wouldn't be there without folks like you and the other developers, and
then we user types all make different choices. That's really cool. I'm
only writing this for my own reasons to say why I haven't posted in
months. That said I may be back as my TradeStation/MatLab environment
is working pretty well and I'd like to look at using the R server to
augment things a bit more.

Cheers,
Mark