[R-SIG-Finance] systematic trading w/ quantstrat

[Ethan Smith]

Hi All,

I have largely developed my own homegrown  system for trading which is loosely composed of some indicator functions and what I call a scanner. This was great for learning, but has become unwieldly so I’m looking to move to something more structured

I’ve been looking at quantstrat  and it seems to fit closely to hat I need which can roughly be defined by:

Strategy: a named systematic methodology for producing trading revenue composed of:
• Universe criteria: criteria defining for which instruments this strategy is intended to work. (eg: All US equities, SPY constituents, US small caps ex OTC, etc.)
• Trading Rules: Conditions for entering and Exiting trades, based on
o Signals:  conditions defined by the state of one or more 
• Security Indicators: named, quantified time series values for each security in the universe
• Market Indicators: named, quantified time series values for market conditions
o Rebalancing Events: time based events at which positions are adjusted based on portfolio risk

I have gone through most of the quantstrat demos and overview articles I could find, but still have a few questions:
1. Where/how does one implement universe rules? Most of the examples just start with a small list of symbols and I’m not sure how to extrapolate that. I can define liquidity rules with signals/indicators, but other universe criteria don’t seem to have a natural home. I also have a 3rd party time series universe feed that I’d like to feed into this, as well as back-test some ETF constituent models that change over time


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