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Quantstrat - trading not just Crossovers (e.g. Moving Average)
3 messages · Igor Chernukhin, Brian G. Peterson, Joshua Ulrich
On Mon, 2011-08-22 at 17:19 +0200, igor_vilcek_external at tatrabanka.sk wrote:
Hi, I've encountered a problem in quanstrat framework, in case I want to trade not just signalCrossovers (or better said, the modified version of a Crossover). Specifically i would like to e.g. go Long if Price>MovingAverage and Exit if Price<MovingAverage. This means, that if we have on a <b>starting </b>day Price>MovingAverage (not a crossover, just "above"), i want the system to buy immediately on a starting day. However, just once. If i tried sigComparison, this solved the problem with trading immediately on a starting day, but started trading <b>anytime</b> a Price>MovingAverage (every day in a row). To sum up, I need to know how to modify sigCrossover to trade also in case "ABOVE" (not just crossover, e.g. on a start day if condition is met) or how to modify sigComparison to make only 1 Long order (not every day the condition is met, only on 1st and then not until Exit is made).
use osMaxPos and set a maximum position instead of the default osNoOp order sizing function. Details in the documentation, or I can work up a quick example later in the week. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
2 days later
On Mon, Aug 22, 2011 at 10:33 AM, Brian G. Peterson <brian at braverock.com> wrote:
On Mon, 2011-08-22 at 17:19 +0200, igor_vilcek_external at tatrabanka.sk wrote:
Hi, I've encountered a problem in quanstrat framework, in case I want to trade not just signalCrossovers (or better said, the modified version of a Crossover). Specifically i would like to e.g. go Long if Price>MovingAverage and Exit if Price<MovingAverage. This means, that if we have on a <b>starting </b>day Price>MovingAverage (not a crossover, just "above"), i want the system to buy immediately on a starting day. However, just once. If i tried sigComparison, this solved the problem with trading immediately on a starting day, but started trading <b>anytime</b> a Price>MovingAverage (every day in a row). To sum up, I need to know how to modify sigCrossover to trade also in case "ABOVE" (not just crossover, e.g. on a start day if condition is met) or how to modify sigComparison to make only 1 Long order (not every day the condition is met, only on 1st and then not until Exit is made).
use osMaxPos and set a maximum position instead of the default osNoOp order sizing function. Details in the documentation, or I can work up a quick example later in the week.
I just wrote a blog post with an example strategy that uses osMaxPos and addPosLimit to do this. Here's the link: http://goo.gl/yBKDr Best, Josh
Regards, ?- Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
-- Joshua Ulrich | FOSS Trading: www.fosstrading.com