I am also unclear about results Amarjit.

Furthermore, why is the position = 0.0 after entering long at 2002-10-30
13:00:00 (see flat Positionfill and CumPL lines) ? There's a long signal at
2002-10-30 12:00:00 (see mktdata xts object) and the condition to enter
long is satisfied (i.e.: .threshold) at 13:00:00 (see order book). Is this
another anomaly with blotter/quantstrat ?

Pablo



On Sat, May 10, 2014 at 3:17 PM, amarjit chandhial <
a.chandhial@btinternet.com> wrote:

>
>
> I am unclear. There are 3 different results, which of these is correct ?
>
>
> (a) Humme, Peterson pp.34/78
> http://www.rinfinance.com/agenda/2013/workshop/Humme+Peterson.pdf
>
>
>
> (b) Guy Yollin pp.24/78
>
> https://4310b1a9-a-a8fb2076-s-sites.googlegroups.com/a/r-programming.org/home/files/quantstrat-IV.pdf?attachauth=ANoY7cojS8K93NCMEI2gr1eWPE6nFGkEZAncLma__qYUXHgRzbbQCi1zrOZa5DnAANVw6nGZU9ppV1s69und3U7_uErEyb18pGOyH0UJsXtCsndrvcZWR4fB4mIJePELsQcuf3ksoDg3w7JV0TH_kpR3NDGBiDYzX9f43piDIk6vhfK5JMK68K1K7yqCZcHZ0krZzhRJ9Wq3KIZt5-399IqQ-Eeytar1o2n-VpqgoBIefXlC5iT6rlM%3D&attredirects=0
>
>
>
> (c) The latest run of the demo, blotter(rev 1607), quantstrat(rev 1610) -
> chart.Posn attached.
>
>
>
> Amarjit
>
>
>
>    *From:* Joshua Ulrich <josh.m.ulrich@gmail.com>
> *To:* Pablo Rios <pablo.javier.rios@gmail.com>
> *Cc:* r-sig-finance <r-sig-finance@r-project.org>
> *Sent:* Friday, 9 May 2014, 12:26
>
> *Subject:* Re: [R-SIG-Finance] Luxor strategy (quantstrat) - Why are
> successive short (and long) trades happening ?
>
> On Thu, May 8, 2014 at 11:09 PM, Pablo Rios <pablo.javier.rios@gmail.com>
> wrote:
> > Thanks for your quick response Joshua.
> >
> > Does the code changes in r1609 intend to fix the successive short (or
> long)
> > trades that I'm describing in my email, or only the Warning: stack
> imbalance
> > in 'lapply' message ? Although this warning message is no longer
> reported,
> > and the results of the Luxor strategy changed after r1609 (ex.:
> > Net.Trading.PL value changed, among other variables), I'm still
> observing
> > the same behaviour of successive short (or long) trades running the Luxor
> > demo code with the GBP/USD demo data available in quantstrat.
> >
> r1609 only intended to fix the stack imbalance warning (as it says in
> the commit log).
>
> > Moreover, if I run luxor.1.strategy.basic.R demo code with a longer
> GBP/USD
> > time series, using 30 minutes bars as in the demo data (ex.: three
> years), I
> > observed up to 5 successive short trades (i.e., Pos.Qty value of
> > GBPUSD$posPL xts object equal to -500,000) and 4 successive long trades.
> >
> > Further, looking at the firstCross.c in r1609 I'm seeing in the
> > switch(int_rel) statement that all comparisons are done by greater than
> > ('>'). I don't know whether this is correct or not.
> >
> That was a careless error on my part.  r1610 corrects the comparisons.
> Thank you very much for catching this.
>
> > Thanks for your support, I'm eager to finally adopt quantstrat !
> >
> > Pablo
> >
> >
> > On Thu, May 8, 2014 at 8:09 AM, Joshua Ulrich <josh.m.ulrich@gmail.com>
> > wrote:
> >>
> >> On Wed, May 7, 2014 at 7:05 PM, fc_11 <jyorio@gmail.com> wrote:
> >> > i also am getting the "Warning: stack imbalance in 'lapply'," warning
> >> > since
> >> > the 1608 upgrade
> >> >
> >> Fixed in r1609.
> >> --
> >> Joshua Ulrich  |  about.me/joshuaulrich
> >> FOSS Trading  |  www.fosstrading.com
> >>
> >> _______________________________________________
> >> R-SIG-Finance@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.
> >
> >
>
> _______________________________________________
> R-SIG-Finance@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.
>
>
>

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