I am also unclear about results Amarjit. Furthermore, why is the position = 0.0 after entering long at 2002-10-30 13:00:00 (see flat Positionfill and CumPL lines) ? There's a long signal at 2002-10-30 12:00:00 (see mktdata xts object) and the condition to enter long is satisfied (i.e.: .threshold) at 13:00:00 (see order book). Is this another anomaly with blotter/quantstrat ?
Pablo On Sat, May 10, 2014 at 3:17 PM, amarjit chandhial < a.chandh...@btinternet.com> wrote: > > > I am unclear. There are 3 different results, which of these is correct ? > > > (a) Humme, Peterson pp.34/78 > http://www.rinfinance.com/agenda/2013/workshop/Humme+Peterson.pdf > > > > (b) Guy Yollin pp.24/78 > > https://4310b1a9-a-a8fb2076-s-sites.googlegroups.com/a/r-programming.org/home/files/quantstrat-IV.pdf?attachauth=ANoY7cojS8K93NCMEI2gr1eWPE6nFGkEZAncLma__qYUXHgRzbbQCi1zrOZa5DnAANVw6nGZU9ppV1s69und3U7_uErEyb18pGOyH0UJsXtCsndrvcZWR4fB4mIJePELsQcuf3ksoDg3w7JV0TH_kpR3NDGBiDYzX9f43piDIk6vhfK5JMK68K1K7yqCZcHZ0krZzhRJ9Wq3KIZt5-399IqQ-Eeytar1o2n-VpqgoBIefXlC5iT6rlM%3D&attredirects=0 > > > > (c) The latest run of the demo, blotter(rev 1607), quantstrat(rev 1610) - > chart.Posn attached. > > > > Amarjit > > > > *From:* Joshua Ulrich <josh.m.ulr...@gmail.com> > *To:* Pablo Rios <pablo.javier.r...@gmail.com> > *Cc:* r-sig-finance <r-sig-finance@r-project.org> > *Sent:* Friday, 9 May 2014, 12:26 > > *Subject:* Re: [R-SIG-Finance] Luxor strategy (quantstrat) - Why are > successive short (and long) trades happening ? > > On Thu, May 8, 2014 at 11:09 PM, Pablo Rios <pablo.javier.r...@gmail.com> > wrote: > > Thanks for your quick response Joshua. > > > > Does the code changes in r1609 intend to fix the successive short (or > long) > > trades that I'm describing in my email, or only the Warning: stack > imbalance > > in 'lapply' message ? Although this warning message is no longer > reported, > > and the results of the Luxor strategy changed after r1609 (ex.: > > Net.Trading.PL value changed, among other variables), I'm still > observing > > the same behaviour of successive short (or long) trades running the Luxor > > demo code with the GBP/USD demo data available in quantstrat. > > > r1609 only intended to fix the stack imbalance warning (as it says in > the commit log). > > > Moreover, if I run luxor.1.strategy.basic.R demo code with a longer > GBP/USD > > time series, using 30 minutes bars as in the demo data (ex.: three > years), I > > observed up to 5 successive short trades (i.e., Pos.Qty value of > > GBPUSD$posPL xts object equal to -500,000) and 4 successive long trades. > > > > Further, looking at the firstCross.c in r1609 I'm seeing in the > > switch(int_rel) statement that all comparisons are done by greater than > > ('>'). I don't know whether this is correct or not. > > > That was a careless error on my part. r1610 corrects the comparisons. > Thank you very much for catching this. > > > Thanks for your support, I'm eager to finally adopt quantstrat ! > > > > Pablo > > > > > > On Thu, May 8, 2014 at 8:09 AM, Joshua Ulrich <josh.m.ulr...@gmail.com> > > wrote: > >> > >> On Wed, May 7, 2014 at 7:05 PM, fc_11 <jyo...@gmail.com> wrote: > >> > i also am getting the "Warning: stack imbalance in 'lapply'," warning > >> > since > >> > the 1608 upgrade > >> > > >> Fixed in r1609. > >> -- > >> Joshua Ulrich | about.me/joshuaulrich > >> FOSS Trading | www.fosstrading.com > >> > >> _______________________________________________ > >> R-SIG-Finance@r-project.org mailing list > >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance > >> -- Subscriber-posting only. If you want to post, subscribe first. > >> -- Also note that this is not the r-help list where general R questions > >> should go. > > > > > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > > > [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
