quantstrat help

Raghu,

I highly recommend you start with Guy Yollin's excellent lectures @
http://www.r-programming.org/papers

Begin with understanding the `blotter` package.

Guy's notes then proceed onto quantstrat and each successive lecture
introduces progressively more advanced features. Lecture 1 will more than
sufficiently cover what you're trying to do.

There's a learning curve to quantstrat -- but if you follow Guy's lectures
it will be about as painless as its possible to be.

n.



On Fri, Oct 17, 2014 at 11:31 PM, Raghuraman Ramachandran
<optionsraghu at gmail.com> wrote:

Thx Josh.

Here is the code:

require(quantmod)
require(TTR)
getSymbols('^GSPC')
colnames(GSPC)=c("Open","High","Low","Close","Volume","AdjPrice")
for (i in 1: nrow(GSPC))
{
  GSPC$signal[i]=ifelse((GSPC$Close[i]>1.02*GSPC$Open[i]), 1
,ifelse(GSPC$Close[i]<= 0.98*GSPC$Open[i], -1, 0))
}

So there will be consecutive days of longs or shorts but how to ignore
the subsequent signals and take the first occurrences inside
quantstrat pls?

Rgds
Raghu

On Fri, Oct 17, 2014 at 12:50 PM, Joshua Ulrich <josh.m.ulrich at gmail.com>
wrote:

On Fri, Oct 17, 2014 at 4:37 AM, Raghuraman Ramachandran
<optionsraghu at gmail.com> wrote:

Dear guRus

I am trying to understand the quantstrat package. My signal is very
simple. I want to buy if daily close > 2% of open and vice versa. But
my signals produce consecutive 1s (when market is going higher) and
-1s (when market is going lower) so I want to avoid buying (or
selling) more if already bought or sold.

Then only take the first signal.  If you want more specific
instructions about how to do that, then provide more specific details
about your problem (e.g. your actual code).

My question is:
Is it possible to tell quantstrat a) Please do not buy if already
bought and if a new buy signal appears and b) Please buy even though
if already bought and a new signal appears.

a) Yes.
b) Yes.

Also, when a leave a trailing stop which takes precedence? A trailing
stop or a new signal on the opposite side and is it possible to change
this precedence please?

Rules are processed in the order described in the Details section of
?add.rule.  You can change the order, but it is strongly discouraged
because it's very easy to create unrealistic behavior if you modify
the order incorrectly.

Sincere thanks for the guidance,
Raghu

--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com