
This mailing list is great. I just subscribed to find out more about the finance/trading part of R. Knowing that the pair trade demo broke let's me know about the pair trading functionality. I haven't used it but will put it on my to do list. A friend of mine is trading ETF pairs, so I will let him know about. 
 

> Date: Wed, 4 Apr 2012 10:28:44 -0500
> From: gsee000@gmail.com
> To: andreas.mikkelsen@stud.hibo.no
> CC: r-sig-finance@r-project.org
> Subject: Re: [R-SIG-Finance] quantstrat - problems with ordersize function
> 
> The pair_trade demo broke in revision 982. We're aware of it and (and
> working on it?).
> 
> Until it's fixed, you can checkout an older revision (981 or earlier)
> and the pair_trade demo will hopefully work as advertised..
> 
> Best,
> Garrett
> 
> On Wed, Apr 4, 2012 at 10:16 AM, Andreas Mikkelsen
> <andreas.mikkelsen@stud.hibo.no> wrote:
> > Hi everyone,
> >
> > I am currently writing my master thesis in finance . The scope of the thesis
> > is to backtest on historical data whether the pairs trading strategy is
> > profitable or not.
> >
> > I have a couple of questions regarding the pairs trading demo script in the
> > quantstrat package.  I managed to run it without any mishap, but as far as I
> > can see, there are at no time a long / short leg in the transactions.  I.e.
> > [1] "2009-03-03 SPY 1e+06 @ 67.1509470105226"
> > [1] "2009-03-09 SPY 1e+06 @ 65.2725988423961"
> > [1] "2009-03-03 DIA 1e+06 @ 63.717805901226"
> > [1] "2009-03-09 DIA 1e+06 @ 62.0397741136174"
> >
> > >From what I can understand it goes long at the same time on both stocks?
> > Which would not equal a pairs trading strategy. In the summary page of
> > blotter I could not find a single date with entries on both the long and
> > short.  Has any one else experienced this?
> >
> > Further on I have tried to adjust the script from the package to our needs
> > with a fellow student and our prof. What we can’t seem to figure out is how
> > to adjust the orderqty with osFUN.
> > What we are trying to do is to make every order a fixed amount with equal
> > dollar amount on either leg whenever the trade signal is activated.
> > Attached is our efforts so far.
> > http://r.789695.n4.nabble.com/file/n4532216/Quantstrat_PairTrade11.R
> > Quantstrat_PairTrade11.R
> > Best regards,
> > Andreas Mikkelsen
> >
> >
> > --
> > View this message in context: http://r.789695.n4.nabble.com/quantstrat-problems-with-ordersize-function-tp4532216p4532216.html
> > Sent from the Rmetrics mailing list archive at Nabble.com.
> >
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