[R-SIG-Finance] R quantstrat - filter consecutive entries

[Andreas Henneck]

Hi Jasen et al,

thanks for the quick response and invite. I'll be glad to do post
questions on github.

sigThreshold, cross = TRUE responds as programmed and the same as I
would expect sigCrossover to work, when passing one parameter as a
constant. Just wording for the long side: Two consecutive entry signals
occur, i.e. stoch crosses the 0.25 threshold from below on a second
lower low, while the BB crossing has not switched to "short" yet. It is
more a question of the strategy not detecting a lower low well and thus
filtering a bad order to begin with. So the ways I am looking to explore
are:

   - objective for quantstrat programing:  filter consecutive entries
after an order has already been placed and filled.  How can quantstrat
solve this?

   - objective for strategy: improve the filter to be more responsive to
detect the change of direction. The literature suggests MAs for filters.
Any tips on specific I should explore?

Thanks and kind regards,
Andreas


Am 28.05.2020 um 18:36 schrieb Jasen Mackie:
> Hi Andreas
>
> Thanks for the question. In future, feel free to ask a question by
> creating an issue on the project repo -
> https://github.com/braverock/quantstrat/issues.
>
> You are looking for the ?sigCrossover function.
>
> The project README
> <https://github.com/braverock/quantstrat/blob/master/README.md> on
> GitHub can also help with more learning materials and as usual look
> into the demo folder for concrete examples.
>
> Good luck.
>
> Regards
> Jasen
>
> On Thu, 28 May 2020 at 12:18, Andreas Henneck <hennecke.andreas using web.de
> <mailto:hennecke.andreas using web.de>> wrote:
>
>     Dear all, being new to this list, kindly allow me to introduce
>     myself: I
>     am an engineer by education, marketer of automation products by
>     profession and R fan of a few years. i am currently learning to
>     program
>     technical trading rules for backtesting. The purpose is to stablize
>     investments and learn to trade. As neither a search through the last
>     three years of e-mail from this list nor a search through
>     stackexchange
>     et al revealed an answer I would like to dare a post. I hope I  am not
>     being to basic with my request.
>
>     This first self-written strategy on EOD data is looking to follow
>     trends
>     utilizing Bollinger Bands for indicating direction and Stochastik
>     fastD
>     to detect entry points and exits with overbought and oversold
>     positions.
>     My first version codes long only trades. The rules work all fine, the
>     problem is this:
>
>     Stochastic crosses a 0.25 threshold from below more than once,
>     i.e. in a
>     slight downward trend thus triggering multiple consecutive entry
>     orders,
>     before any exits or stops have triggered. This essentially increases
>     position size.
>
>     The essential question: What is the solution to entering a trade more
>     than once?
>
>     Looking forward to your responses and insight. Any additional tips for
>     quantstrat thinking or coding are appreciated. Below find some
>     hopefully
>     illustrating code snippets.
>
>     Kind regards,
>     Andreas
>
>     ##Not run <- not sure that I am using this properly here.
>
>     # Create indicators
>
>     BBTMDir = function(HLC, n = 10, sd = 1, nFastK = 5, nFastD = 2) {
>
>       bb_dir <- # rules not essential to the problem, values look
>     something
>     like: round(runif(5))
>
>     # Stochastic overbought and oversold indicator. Symmetry for
>     simplicity:
>
>        sto_sig <- sigThreshold(label = "StochSig", data = sto, column =
>     "fastD",
>                                threshold = 0.25, relationship = "gt",
>     cross
>     = TRUE) * 1 +
>          sigThreshold(label = "StochSig", data = sto, column = "fastD",
>                       threshold = 0.75, relationship = "lt", cross =
>     TRUE) * -1
>        merge(bb_dir, sto_sig)  # return the two columns
>
>     # ... standard boiler plate quantstrat setup ...
>
>     s <- add.indicator( s, 'BBTMDir', label='BBTM',
>                          arguments=list( HLC = quote(HLC(mktdata))) )
>
>     # Entry and exit rules based on bb_dir => BBDIR.BBTM as filter and
>     StochSig.BBTM like this:
>
>     s <- add.signal( s, 'sigFormula', label='StochEntryLong',
>                       arguments = list(cross = TRUE, formula = "BBDir.BBTM
>     == 1 & StochSig.BBTM == 1"))
>     s <- add.signal( s, 'sigFormula', label='StochExitLong',
>                       arguments = list(cross = TRUE, formula = "BBDir.BBTM
>     == 1 & StochSig.BBTM == -1"))
>
>     # as I am still learning and testing this, there are only these two
>     simple rules for now:
>
>     s <- add.rule(
>        s, name='ruleSignal', type='enter', label='ChgDirLong',
>        arguments = list(
>          sigcol="StochEntryLong", sigval=TRUE, orderqty=orderQ,
>          TxnFees=.txnfees,
>          ordertype='market', orderside='long', orderset = "ocolong"
>        )
>     )
>
>     s <- add.rule(
>        s, name='ruleSignal', type='exit', label='ExitChgDir',
>        arguments = list(
>          sigcol="StochExitLong", sigval=TRUE, replace = TRUE,
>     orderqty="all",
>          ordertype='market', orderside='long', orderset = "ocolong"
>        )
>     )
>
>     # ...
>
>     applyStrategy( ...
>
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