I am very new to quantstrat and R. I have been playing with the pair_trade
example and have been wondering how to implement stop losses that are non
indicator based. I would like to implement a stop loss based on the
movement of the spread. I have looked at the macd example for risk stop
losses however when i apply that same syntax to the pair_trade it does not
affect the system at all. Can anyone help?
The Changes i made to the orignal example code are, labeling the entries as
Long or Short. Then adding 2 additional rules as chain and having them use
a threshold multiplier or +/- .05
*My code for the Rules Section of the example*
pairStrat <- add.rule(strategy=pairStrat, name='ruleSignal',
arguments=list(sigcol="cross.dn", sigval=TRUE,
orderqty=1e6, ordertype='market',
orderside=NULL,
osFUN='osSpreadMaxPos'),
type='enter',
label = 'Long')
pairStrat <- add.rule(strategy=pairStrat, name='ruleSignal',
arguments=list(sigcol="cross.up", sigval=TRUE,
orderqty=-1e6, ordertype='market',
orderside=NULL,
osFUN='osSpreadMaxPos'),
type='enter',
label = 'Short')
pairStrat <- add.rule(strategy=pairStrat, name='ruleSignal',
arguments=list(sigcol="cross.mid.fb", sigval=TRUE,
orderqty='all', ordertype='market',
orderside=NULL),
type='exit')
pairStrat <- add.rule(strategy=pairStrat, name='ruleSignal',
arguments=list(sigcol="cross.mid.fa", sigval=TRUE,
orderqty='all', ordertype='market',
orderside=NULL),
type='exit')
pairStrat <- add.rule(strategy=pairStrat, name'ruleSignal',
arguments=list(sigcol="cross.dn", sigval=TRUE,
orderqty='all', ordertype='stoplimit',
orderside=NULL,
threshold = -.05, tmult=TRUE,
orderset='exit2'),
type = 'chain',
parent = 'Long',
label = 'LongStop')
pairStrat <- add.rule(strategy=pairStrat, name'ruleSignal',
arguments=list(sigcol="cross.dn", sigval=TRUE,
orderqty='all', ordertype='stoplimit',
orderside=NULL,
threshold = .05, tmult=TRUE,
orderset='exit2'),
type = 'chain',
parent = 'Short',
label = 'ShortStop')
Thanks
Derek
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