[R-SIG-Finance] Basket stop loss implementation quantstrat

[Brian G. Peterson]

Yes, it comes at a cost, as I said in my message, and as the
documentation for applyStrategy.rebalancing describes.

In the demo folder, see any of the 'rebalancing' demos for sample code.

Regards,

Brian

On Tue, 2016-12-13 at 19:37 +0000, Aaron wrote:
> Hi Brian,
> 
> 
> Thank you for the reply.
> 
> 
> I'm going to go out on a limb and assume that rebalancing in this way
> will come at the cost of considerable overhead(?). I plan on testing
> 28 symbols with a minimum data periodicity of 15 minutes (over a
> period of ~10 years). How significant would the extra overhead be in
> a situation like this?
> 
> 
> I have not yet got into rebalancing rules in quantstrat. Is there an
> example I could look up which could point me in the right direction?
> 
> 
> Also, as my objective appears to be outside the scope of normal
> quantstrat applications, are you able to provide some sketch code as
> to how such an operation would be managed? I'm more than happy to
> have a dig at this myself but somewhere to start would be nice.
> 
> 
> Cheers,
> 
> Aaron
> 
> 
> ________________________________
> From: Brian G. Peterson <brian at braverock.com>
> Sent: Tuesday, 13 December 2016 5:32 AM
> To: Aaron; r-sig-finance at r-project.org
> Subject: Re: [R-SIG-Finance] Basket stop loss implementation
> quantstrat
> 
> On Mon, 2016-12-12 at 17:17 +0000, Aaron wrote:
> > 
> > Is it possible to implement a basket or portfolio stoploss in
> > quantstrat? That is, I would like to trade a number of symbols
> > simultaneously and use accumulated p/l across all symbols as a
> > global
> > stoploss/take profit.
> > 
> > I have not seen any examples of this in quanstrat, likely as this
> > method of position management is normally seen in foreign exhange
> > trading and not stocks.
> > 
> > Is it possible to do or would it require getting a list of possible
> > entry prices for all symbols and performing post-hoc  position
> > management?
> quantstrat isn't really optimized for this kind of rule.
> 
> You could do it with a rebalance rule, but it will add a cross-symbol
> loop on every rebalance period.
> 
> Brian
> 
> 
> 	[[alternative HTML version deleted]]
> 
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