Writing sell rules with quantstrat
I also realized a logic fault. The stop-limit order I had created used the buy signal which is obviously not correct. The sell should occur anytime price reaches a certain point regardless of the buy signal. I will re-implement the same thing using a combination of a rule and an indicator (separate column with price that is 15% higher than purchase price). Thanks for your help! /Sergey
On Wed, Feb 15, 2012 at 8:16 PM, Sergey Pisarenko <drseergio at gmail.com> wrote:
Brian, I think this has to do with the fact that stop-limit order triggers whenever the price is below the threshold. In other words, if I buy shares for 30 and set a stop-limit order at 50 the stop-limit order will trigger next day because the price is already below 50. It seems that the stop-limit in its current implementation is not designed for the case of gains. Instead, it works only for losses. When I set threshold to say 0.9 (10% loss) I see that it behaves as expected and the order is executed only when the price goes down 10%. /Sergey On Wed, Feb 15, 2012 at 9:30 AM, Sergey Pisarenko <drseergio at gmail.com> wrote:
Thanks, that's a good idea. I have checked the high prices and I see that the price does not reach that level. To further troubleshoot I have changed the profit target to 50% (threshold=1.5). With that in place I still got very similar results:
p<-getPortfolio('p')
p$symbols$B$txn
? ? ? ? ? Txn.Qty Txn.Price Txn.Value Txn.Avg.Cost Pos.Qty Pos.Avg.Cost 2009-01-01 ? ? ? 0 ? ? ?0.00 ? ? ? ? 0 ? ? ? ? 0.00 ? ? ? 0 ? ? ? ? 0.00 2010-07-07 ? ?1000 ? ? 33.19 ? ? 33190 ? ? ? ?33.19 ? ?1000 ? ? ? ?33.19 2010-07-09 ? -1000 ? ? 50.61 ? ?-50610 ? ? ? ?50.61 ? ? ? 0 ? ? ? ? 0.00 2010-07-09 ? ?1000 ? ? 34.05 ? ? 34050 ? ? ? ?34.05 ? ?1000 ? ? ? ?34.05 2010-07-14 ? -1000 ? ? 55.32 ? ?-55320 ? ? ? ?55.32 ? ? ? 0 ? ? ? ? 0.00 2010-07-14 ? ?1000 ? ? 36.18 ? ? 36180 ? ? ? ?36.18 ? ?1000 ? ? ? ?36.18 2010-07-27 ? -1000 ? ? 55.65 ? ?-55650 ? ? ? ?55.65 ? ? ? 0 ? ? ? ? 0.00 2010-07-27 ? ?1000 ? ? 38.00 ? ? 38000 ? ? ? ?38.00 ? ?1000 ? ? ? ?38.00 Prices of 50 are nowhere close to the prices for that time period: ? ? ? ? ? ? ? ? ? Open ? High ? ?Low ? ? ?Close ?Volume ? ? ? ? ?Adjusted 2010-07-07 ? 32.73 ? 33.22 ?32.19 ? ?33.19 ?54388300 ? ? ? 31.95 2010-07-08 ? 33.79 ? 33.90 ?32.95 ? ?33.74 ?47070000 ? ? ? 32.48 2010-07-09 ? 33.28 ? 34.17 ?32.12 ? ?34.05 ?48454800 ? ? ? 32.78 2010-07-12 ? 35.64 ? 37.00 ?35.42 ? ?36.76 ?72391600 ? ? ? 35.39 2010-07-13 ? 37.72 ? 37.76 ?35.71 ? ?36.88 ?85975400 ? ? ? 35.51 2010-07-14 ? 36.23 ? 36.85 ?35.70 ? ?36.18 ?45008600 ? ? ? 34.83 2010-07-15 ? 36.68 ? 39.81 ?36.52 ? ?38.92 ?75737600 ? ? ? 37.47 2010-07-16 ? 38.52 ? 38.54 ?37.07 ? ?37.10 ?50505300 ? ? ? 35.72 2010-07-19 ? 36.00 ? 36.08 ?34.58 ? ?35.75 ?55491300 ? ? ? 34.42 /Sergey On Wed, Feb 15, 2012 at 8:41 AM, Brian G. Peterson <brian at braverock.com> wrote:
On Wed, 2012-02-15 at 08:35 -0800, Sergey Pisarenko wrote:
Consequently, this also causes multiple buy transactions to trigger. I would expect the stoplimit orders execute only when the closing price reaches the stoplimit order.
I'll look at it more closely when I have time, but if the High goes through your limit, you will execute at the limit. Regards, ? - Brian
-- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock