[R-SIG-Finance] Quantstrat - trading not just Crossovers (e.g. Moving Average)

[Joshua Ulrich]

On Mon, Aug 22, 2011 at 10:33 AM, Brian G. Peterson <brian at braverock.com> wrote:
> On Mon, 2011-08-22 at 17:19 +0200, igor_vilcek_external at tatrabanka.sk
> wrote:
>> Hi,
>>
>> I've encountered a problem in quanstrat framework, in case I want to trade
>> not just signalCrossovers (or better said, the modified version of a
>> Crossover).
>>
>> Specifically i would like to e.g. go Long if Price>MovingAverage and Exit
>> if Price<MovingAverage.
>>
>> This means, that if we have on a <b>starting </b>day Price>MovingAverage
>> (not a crossover, just "above"), i want the system to buy immediately on a
>> starting day. However, just once.
>>
>> If i tried sigComparison, this solved the problem with trading immediately
>> on a starting day, but started trading <b>anytime</b> a
>> Price>MovingAverage (every day in a row).
>>
>> To sum up, I need to know how to modify sigCrossover to trade also in case
>> "ABOVE" (not just crossover, e.g. on a start day if condition is met) or
>> how to modify sigComparison to make only 1 Long order (not every day the
>> condition is met, only on 1st and then not until Exit is made).
>
> use osMaxPos and set a maximum position instead of the default osNoOp
> order sizing function.
>
> Details in the documentation, or I can work up a quick example later in
> the week.
>

I just wrote a blog post with an example strategy that uses osMaxPos
and addPosLimit to do this.  Here's the link: http://goo.gl/yBKDr

Best,
Josh

> Regards,
>
>  - Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>

--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com