[R-SIG-Finance] Quantstrat Position Accounting System: Netting vs Hedging Systems
@yh@nyuk@e|78 @end|ng |rom gm@||@com
Sat Nov 7 22:11:41 CET 2020
In quantstrat, as described in package documentation, orders turn into
transactions, transactions turn into positions, positions turn into
trades. And the underlying logic of how you define a position (using
netting or hedging system) or a trade (flat-to-flat or FIFO etc)
significantly affects the mechanics of money management rules (stop loss
etc) and trade statistics (profit factor etc).
For defining positions, the netting vs hedging systems are defined as
The original implementation of quantstrat is based on a netting system
where after having a long position, each additional long trade increases
the current position amount (unless you have a position limit) and the
stop-loss/take profit is applied to the total position as a whole and not
to the individual long trades separately.
My question is that is there a way to apply stop loss and take profit to
each opened trade independently, regardless of order side (long or short)
and previous positions? If yes, would you provide an example of it?
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