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

[Ilya Kipnis]

sigComparison for price > SMA250. sigThreshold with stochastic with cross =
FALSE
sigAND with cross = TRUE

See some of my old posts on my blog.

On Sun, Feb 1, 2015 at 5:25 PM, Isak Engdahl <isak.engdahl at gmail.com> wrote:

> Dear all,
>
> Yes i'm trying to use function SigAnd, but I think I have the logic
> wrong...
>
> Here are the rules:
> 1. Price > SMA 250
> 2. Stochastic signal line must be below 20 and cross above this level.
> Then buy.
>
> How do I write such a rule in quantstrat?
>
> Kind Regards,
> Isak Engdahl
>
>
>
> On Sunday, February 1, 2015, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
>
>> 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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>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>
>>
>
> --
>
>
> Kind Regards
> Isak Engdahl
>
>

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