Issues about "maCross" demo in Quantstrat

Hi,

I ran the demo "maCross" successfully in R. When I enable the commented code, it works also OK and I suppose to get both long and short position happening in the backtesting result.


However, I can only see either long or short and never happen at the same time. It seems like that the "exit" and new "entry" can not be at the same day.
Any insights? The code in the graph is the only part I changed.

Thanks a lot.
--

Sincerely,
John Han

Hi John,
   I don't know but that demo doesn't seem to generate shorts for me
either. However there seem to be a number of small inconsistencies in
the code and the current documentation isn't easy to understand. (For
me anyway) The following is based on me running R ver 2.15.3

1) I get some errors starting the run in the first few lines which may
be caused by some package not being explicitly loaded?

initPortf(portfolio.st,symbols=stock.str, initDate=initDate)

Error in exists(paste("portfolio", name, sep = "."), envir = .blotter,  :
  object '.blotter' not found

initAcct(account.st,portfolios=portfolio.st, initDate=initDate)

Error in exists(paste("account", name, sep = "."), envir = .blotter,
inherits = TRUE) :
  object '.blotter' not found

initOrders(portfolio=portfolio.st,initDate=initDate)

Error in getPortfolio(portfolio) :
  Portfolio macross  not found, use initPortf() to create a new portfolio

2) The crossover rules use 'columns' and 'column'. Not sure if that
affects the underlying stratMACROSS structure.

3) The long entry/exit uses 100/all, which the short uses -100/100.
Why the inconsistency?

4) Really it's an initialization issue but in the rules greater
than/less than isn't the same as crosses above/crosses below. I'm
unclear if that's somehow handled in the code setup. Maybe this is
handled by name="sigCrossover", but the relationship="gte"/"lt"
implies (to me) just a logical check. (Would like to find the right
docs to better understand that.

5) In RStudio I don't know how to make sense of the stratMACROSS
structure. It's fairly unreadable to my old eyes.

6) It seems that chart.Posn command doesn't actually draw anything
until I run at least one of the add.SMA commands.

   Overall I'm actually pretty excited about all the capabilities
these geniuses are trying to give us. However right now it's a
learning experience.

HTH,
Mark