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

[Kent Russell]

See if this helps 
http://www.google.com/m/url?ei=ULhXTtiYCqOIsgeo54kY&q=http://timelyportfolio.blogspot.com/2011/07/quantstrat-to-build-on-part-6.html&ved=0CCcQFjAE&usg=AFQjCNHmJsPa1uDfZKwfqPsHy42kxK7nlg


Kent

On Aug 26, 2011, at 7:39 AM, igor_vilcek_external at tatrabanka.sk wrote:

> Thanks, works fine for me in this case.
> 
> I am just wondering, however, how to use this solution in case i want to 
> set my own order sizing function (e.g. order size based on a % of current 
> portfolio equity).
> 
> In other words, how to trade my system (above Moving Average, not 
> crossover) and use flexible order quantity as well.
> 
> Igor Vilèek
> 
> 
> 
> 
> Joshua Ulrich <josh.m.ulrich at gmail.com> 
> 25.08.2011 03:16
> 
> To
> "Brian G. Peterson" <brian at braverock.com>
> cc
> igor_vilcek_external at tatrabanka.sk, r-sig-finance at r-project.org
> Subject
> Re: [R-SIG-Finance] Quantstrat - trading not just Crossovers (e.g. Moving 
> Average)
> 
> 
> 
> 
> 
> 
> 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
> 
> 
> 
> 
> 
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