[R-SIG-Finance] Need help with replication of a strategy using 'Quantstrat' & 'IKTrading' packages

Adarsh KP adarshpl7 at gmail.com
Mon Dec 12 18:57:04 CET 2016


Dear All,

I am trying to replicate core strategy (for a single instrument) from the
book 'Following the trend' by Andreas Clenow. Details about the strategy
are in the picture in this link
(*https://drive.google.com/file/d/0B5GQskyO5V5SVU1SdTFhY2txWEk/view?usp=sharing
<https://drive.google.com/file/d/0B5GQskyO5V5SVU1SdTFhY2txWEk/view?usp=sharing>*).
I was able to add entry indicators, signals & rules, but need help with the
exit part (6th & 7th bullet points in the picture). Also, I am not able to
update the portfolio, hence cannot plot performance charts. I would be very
grateful for your help if you could look into the code attached and help me
resolve this issue.


-- 
Best
,

*Adarsh KP*

Research Associate in Finance,
Indian School of Business (ISB),
Hyderabad, India.
+91-9126140440
<https://www.linkedin.com/profile/view?id=204329912&trk=nav_responsive_tab_profile>

ᐧ
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