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....@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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