quantstrat questions

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Quantstrat is under active development so you should probably ask on
the R-SIG-Finance list where the developers hang out.

Michael
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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______________________________________________
R-help at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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.weylandt at 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.bos at 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}}

______________________________________________
R-help at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.