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

Ilya Kipnis ||y@@k|pn|@ @end|ng |rom gm@||@com
Sat Aug 10 18:28:46 CEST 2019

Quantstrat isn't particularly designed for universal rules. What you should
do, in this case, is to codify the universal rules beforehand (EG rank all
your assets by some sort of fundamental value rank, like top 10% of E/P
ratios as an example), then cbind that data to your OHLC data before
beginning your quantstrat analysis, and simply refer to those columns with
your add.signal code and so on.

On Sat, Aug 10, 2019 at 12:07 PM Ethan Smith <ethan.b.smith using gmail.com>

> 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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