[R] quantstrat questions

[Sven Duve]

You need to code a function which returns either a 1 for long and a 0 for flat based on any conditions like, so something like


MASig <- function(MA1, MA2, MA3){
k <- 0
if((MA1 > MA2) && (MA2 > MA3)){k <- 1}
return(k)
}

you then use this in your signalfunction in quantstrat.

dont nail me for the syntax, but something like this is what you looking for. i think...

But pls check with R-SIG finance again.



Am 24 Jul 2012 um 21:22 schrieb "R. Michael Weylandt" <michael.weylandt at gmail.com>:

> Quantstrat is under active development so you should probably ask on
> the R-SIG-Finance list where the developers hang out.
> 
> Michael
> 
> On Tue, Jul 24, 2012 at 3:17 PM, Bos, Roger <roger.bos at rothschild.com> wrote:
>> Quantstrat useRs,
>> 
>> I have a number of questions about how to use quantstrat that I have accumulated since I have begun playing with it.  First, can the orderqty be dynamic?  All of the examples I have seen are based on placing an order for 100 shares when a rule is triggered.  Is it possible to set it up to buy the maximum number of shares given the starting or current equity?  Similar to that question, I think most examples buy 100 shares each time a buy is triggered?  Is it possible to make the rules only buy at the first buy trigger?  So the fund is either long 100% equity or in cash for a fixed starting equity.
>> 
>> Another idea I would like to try to implement is a slow trading strategy where you have to keep a position for at least x days after a buy.  For example some small cap or international funds have a penalty for trading in and out too quickly.  It would be nice to test how much such a restriction hurts you?
>> 
>> My final question is how to create a rule that uses more than one signal.  Here I have an code sample below.  In the sample I add three moving averages, ma50, ma160, and ma200:
>> 
>> 
>>        #Adding indicators to a strategy
>>        stratName <- add.indicator(strategy = stratName, name = "SMA", arguments =
>>        list(x=quote(Cl(mktdata)), n=50),label= "ma50" )
>>        stratName <- add.indicator(strategy = stratName, name = "SMA", arguments =
>>        list(x=quote(Cl(mktdata)), n=160),label= "ma160")
>>        stratName <- add.indicator(strategy = stratName, name = "SMA", arguments =
>>        list(x=quote(Cl(mktdata)), n=200),label= "ma200")
>> 
>>        #Adding signals to a strategy
>>        stratName <- add.signal(strategy = stratName,name="sigCrossover",arguments =
>>        list(columns=c("ma50","ma160"), relationship="gte"),label="ma50.gt.ma160")
>>        stratName <- add.signal(strategy = stratName,name="sigCrossover",arguments =
>>        list(column=c("ma50","ma160"),relationship="lt"),label="ma50.lt.ma160")
>> 
>>        stratName <- add.signal(strategy = stratName,name="sigCrossover",arguments =
>>        list(columns=c("ma50","ma200"), relationship="gte"),label="ma50.gt.ma200")
>>        stratName <- add.signal(strategy = stratName,name="sigCrossover",arguments =
>>        list(column=c("ma50","ma200"),relationship="lt"),label="ma50.lt.ma200")
>> 
>> 
>> How would I modify the rules below to enter when ma50 greater than both ma160 and ma200 and exit when ma50 is below both ma160 and ma200?
>> 
>>        #Add rules to a strategy
>>        stratName <- add.rule(strategy = stratName,name='ruleSignal', arguments =
>>        list(sigcol="maFast.gt.maSlow",sigval=TRUE, orderqty=100, ordertype='market', orderside='long'),type='enter')
>>        stratName <- add.rule(strategy = stratName,name='ruleSignal', arguments =
>>        list(sigcol="maFast.lt.maSlow",sigval=TRUE, orderqty='all', ordertype='market', orderside='long'),type='exit')
>> 
>> Thanks to everyone who helped develop quantstrat and blotter,
>> 
>> Roger
>> 
>> 
>> ***************************************************************
>> 
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>> 
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> 
> ______________________________________________
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> and provide commented, minimal, self-contained, reproducible code.
>