qantstrat same period execution
I know that there has already been several posts regarding this matter, but I feel I still need clarification. I understand that if the signal triggered at time n, then order will be executed on tim n+1 if using daily of lower frequency data. It is possible to change the price by prefer parameter, but it is not possible to execute order at the same time as signal triggered. The lag parameter in ruleSignal function is useful, but only on lower frequency data as it does not account for weekends. The other option is to add a new column 'PervClose' and link it via add.signal FUN. However this is not convenient if you have many indicators and they depend not only on Closing price. I could live with this but... I was watching yollin slides I replicated his code. Outcome was that his orders executed 1 day earlier. Was this an update? what is the execution time linked to? Thanks to anyone who could help -- View this message in context: http://r.789695.n4.nabble.com/qantstrat-same-period-execution-tp4652598.html Sent from the Rmetrics mailing list archive at Nabble.com.