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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