[R-SIG-Finance] Quantstrat: Multiple instruments, pre-generated signals

[Mike]

Ilya,

> Yes, you definitely can. You can definitely inject pre-generated
> signals as additional columns on your data ahead of time, and then
> use add.signal to work with them later, skipping the add.indicator
> step entirely.

So if the strategy involves 1000 stocks quantstrat's object would
get 1000 additional columns?

> Quantstrat/R *can* handle such an amount of data, but understand that
> quantstrat will loop over each instrument individually,

Does this mean, when there are multiple entry signals at the same
day and time and I like to discard some of them (because of
insufficient cash) that I can not do this on a random basis? The idea
would be to add a Monte Carlo simulation at such points, but I'm not
sure how long such a calculation would take.

> and the loops
> occur by signal observations.

What do you mean by this?

> That said, the "handle these prior to close" is a bit *vague* as far
> as objective implementation goes. What does "prior to close" mean?
> 3:55 PM EST?

I just referred to the time stop rule one paragraph above. The exit
should be like a three-leg logical or-rule:

My trades start at EntryDate, EntryTime and exit (at the latest)
with the close of the last bar of ExitDate. But a trade is closed out
earlier, if a take profit or a stop loss is met.

So if at any day during the trade's lifetime a bar at 3:55 PM EST
(or whenever) mets a take profit or a stop loss, the trade should be
closed - even if the last bar of ExitDate is not yet reached.

Thanks
Mike


> On Wed, Dec 18, 2024 at 5:40 PM Mike <mike9 using posteo.nl> wrote:
> 
> > My strategy involves a universe with more than 1000 stocks. Since
> > the entry rules are complex, I've generated the entry signals with
> > a separate program. The resulting table for entry signals includes
> > these columns: Symbol, EntryDate, EntryTime, ExitDate.
> >
> > The backtest has to run on intraday basis. I have intraday data
> > OHLCV for every stock involved.  The period to be tested spans
> > several years.
> >
> > Each trade has to be closed market on close on ExitDate at the
> > latest (time stop).
> >
> > Stop loss and take profit have to be handled prior to close on
> > ExitDate. Stop loss has to be tightened up once if a profit target
> > is met.
> >
> > Can I backtest such a type of strategy using quantstrat?
> > Especially:
> > - Can I inject pre-generated signals to quantstrat?
> > - Can quantstrat/R handle such an amount of data?
> >
> > Mike