[R-SIG-Finance] rule delays

[Stephen Choularton]

Hi

I thought I had found a solution to this by adding the signal:

add.signal(strategy.st, name="sigFormula",
     arguments = list(columns = c("longEntry"),
     formula = "lag(longEntry, 8) == 1", cross=FALSE), label="fixedExit")


and a new rule:

add.rule(strategy.st, name = "ruleSignal",
     arguments = list(sigcol = "fixedExit",
     sigval = TRUE,
     orderqty = "all",
     ordertype = "market",
     orderside = "long", TxnFees = txnFees,
     replace = FALSE,
     prefer = "Open"), type= "exit", path.dep = TRUE)

I placed the rule before the old exit one assuming it would then take 
precedent and because the rule was a sell all one it would do no harm 
for the other rule to trigger as all = 0 at that stage.

It made a difference but I was not sure if it was working properly (ie 
sell either when the normal sale is triggered or on 8 days whichever is 
the earlier).  So I temporarily removed the old longExit signal and 
associated rule.  That should have mean that I only got sales on the 8th 
trading day after a purchase but this showed up in the order book:

            Order.Qty Order.Price        Order.Type Order.Side 
Order.Threshold Order.Status Order.StatusTime      Prefer Order.Set 
Txn.Fees Rule              Time.In.Force
2003-08-07 "3261"    "2.92237690558407" "market"   "long" 
NA              "closed"     "2003-08-08 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
2003-08-19 "all"     "2.95346608774812" "market"   "long" 
NA              "closed"     "2003-08-20 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
2003-11-11 "3073"    "3.92345478910284" "market"   "long" 
NA              "closed"     "2003-11-12 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
2003-11-21 "all"     "3.66852349535765" "market"   "long" 
NA              "closed"     "2003-11-24 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
2003-12-10 "2638"    "3.46333489307494" "market"   "long" 
NA              "closed"     "2003-12-11 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
2003-12-22 "all"     "3.01565066991264" "market"   "long" 
NA              "closed"     "2003-12-23 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
2004-01-13 "3591"    "3.07782903424074" "market"   "long" 
NA              "closed"     "2004-01-14 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
2004-01-23 "all"     "2.9223831234205"  "market"   "long" 
NA              "closed"     "2004-01-26 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
2004-01-28 "3603"    "2.76693721260026" "market"   "long" 
NA              "closed"     "2004-01-29 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
2004-01-30 "all"     "2.81046206762993" "market"   "long" 
NA              "closed"     "2004-02-02 00:00:00" "Open" NA        
"-8"     "ruleSignal.rule" ""
Please note the last line shows a purchase and sale only two calendar 
days apart.  They were weekdays.  That is not in accordance with the 
indicator or rule I wrote.   In fact mktdata shows:

2004-01-28                 1         0         1         0
2004-01-29                 0         0         0         0
2004-01-30                 0         0         0         0
2004-02-02                 0         0         0         0
2004-02-03                 0         0         0         0
2004-02-04                 0         0         0         0
2004-02-05                 0         0         0         0
2004-02-06                 0         0         0         0
2004-02-09                 0         0         0         1

with the signals on the correct days.

Just a sanity check.  Can anyone tell me where I am going wrong, 
presumably in writing that rule.

----------------------------------------------------------------------------------------------------------------------------------- 

Stephen Choularton PhD, FIoD

On 27/05/2016 4:43 PM, Stephen Choularton wrote:
> Hi
>
> I am trying to implement Harry's Connor's RSI from his book Quantative 
> Trading ...
>
> I have it working as is and have varied it to some shares in the ASX.
>
> However, I want to pursue the idea of a fixed time (8 day) sell rule 
> that takes place if the normal rule doesn't produce a sale before.
>
> I added this rule at line 127 of the file 3. strategy.R:
>
> add.rule(strategy.st, name = "ruleSignal",
>     arguments = list(sigcol = "longExit",
>     sigval = TRUE,
>     orderqty = "all", delay = 691200,
>     ordertype = "market",
>     orderside = "long", TxnFees = txnFees,
>     replace = FALSE,
>     prefer = "Open"), type= "exit", path.dep = TRUE)
>
> but it seems to have no effect.
>
> I attach all the code. You run it in the numbered order of the files.
>
> I wonder if anyone can help me make this sort of rule work.
>
> ----------------------------------------------------------------------------------------------------------------------------------- 
>
> Stephen Choularton PhD, FIoD
> 0413 545 182