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

[Jasen Mackie]

Right i see. A minimum reproducible example will be helpful to understand
the questions properly and the repo on GH would be the ideal place to
continue the discussion.

Thanks
Jasen

On Fri, 29 May 2020 at 03:45, Andreas Henneck <hennecke.andreas using web.de>
wrote:

> 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>
> 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( ...
>>
>> _______________________________________________
>> R-SIG-Finance using r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>
>

	[[alternative HTML version deleted]]