Hi All,
I have largely developed my own homegrown system for trading which is
loosely composed of some indicator functions and what I call a scanner.
This was great for learning, but has become unwieldly so I?m looking to
move to something more structured
I?ve been looking at quantstrat and it seems to fit closely to hat I need
which can roughly be defined by:
Strategy: a named systematic methodology for producing trading revenue
composed of:
? Universe criteria: criteria defining for which instruments this strategy
is intended to work. (eg: All US equities, SPY constituents, US small caps
ex OTC, etc.)
? Trading Rules: Conditions for entering and Exiting trades, based on
o Signals: conditions defined by the state of one or more
? Security Indicators: named, quantified time series values for each
security in the universe
? Market Indicators: named, quantified time series values for market
conditions
o Rebalancing Events: time based events at which positions are adjusted
based on portfolio risk
I have gone through most of the quantstrat demos and overview articles I
could find, but still have a few questions:
1. Where/how does one implement universe rules? Most of the examples just
start with a small list of symbols and I?m not sure how to extrapolate
that. I can define liquidity rules with signals/indicators, but other
universe criteria don?t seem to have a natural home. I also have a 3rd
party time series universe feed that I?d like to feed into this, as well as
back-test some ETF constituent models that change over time
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