Greetings I have been trying to model stoplosses in quantstrat. Since intra day lows can be spurious whipsaws, I would like to model a stop loss that triggers a market order at the open of the next day if the stop was triggered based on the close of the previous day. As of now it appears that using stoplimit orders triggers the market order based on the high( for short open positions) or the low( for long open positions). I?ve tried playing around with the prefer = option but I haven?t been able to see any changes based on this setting.? Any help on how I can model these stop orders would be appreciated.? Many thanks to Ilya Kipnis for pointing me to this group. Also many thanks in advance.? Regards Sent from Yahoo Mail for iPhone
Stop Loss orders in quantstrat
2 messages · Sanjay Mansabdar, Brian G. Peterson
On 02/10/2018 12:14 AM, Sanjay Mansabdar via R-SIG-Finance wrote:
I have been trying to model stoplosses in quantstrat. Since intra day lows can be spurious whipsaws, I would like to model a stop loss that triggers a market order at the open of the next day if the stop was triggered based on the close of the previous day. As of now it appears that using stoplimit orders triggers the market order based on the high( for short open positions) or the low( for long open positions). I?ve tried playing around with the prefer = option but I haven?t been able to see any changes based on this setting. Any help on how I can model these stop orders would be appreciated. Many thanks to Ilya Kipnis for pointing me to this group. Also many thanks in advance.
Sanjay, There are two basic approaches to what you want to do: - construct a signal to fire for the case that you are describing There should be nothing stopping you from firing a signal based on the close price and using a regular market order to enter on the Open of the next bar. Your rule (presumably calling ruleSignal) should use prefer='Open' Stops on bars are inherently a guess. So we've chosen to have the stop entry enter on the least favorable price. This is documented, and shouldn't be surprising behavior. - use higher frequency data If you really must use stops for this, then use higher frequency data. If this still produces what you feel to be surprising behavior, then please produce a *minimal* reproducible example and enter an issue on the quantstrat github. Regards, Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock