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.weyla...@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....@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
>>
>>
>> ***************************************************************
>>
>> This message is for the named person's use only. It may\...{{dropped:15}}
>>
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>
> ______________________________________________
> R-help@r-project.org mailing list
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
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