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

[Ilya Kipnis]

Have you all forgotten about my sigAND function?

On Sun, Feb 1, 2015 at 10:12 AM, Mark Knecht <markknecht at gmail.com> wrote:

> 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
>
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