Has anybody managed to recreate this stratgey using quantstrat ?
Amarjit ----Original message---- >From : [email protected] Date : 14/09/2014 - 08:24 (GMTST) To : [email protected] Subject : Re: [R-SIG-Finance] questions about adaptive indicator, intra-day trading and package 'parallel' braverock, I'm trying to code a hans123-like strategy, be unfamiliar with fine control in R and quantstrat, it's hard for me to code the rules below. could you help to give me an example ? 1. market opens at 9:00, closes at 15:00, and the trading period is 1-min 2. determine hband = highest high of the day at 9:30 (that's, the highest high of the recent 30 min at 9:30 ) 3. determine lband = lowest low of the day at 9:30 (that's, the lowest low of the recent 30 min at 9:30 ) 4. from 9:31 to 14:55, if close of the 1-min bar cross above hband, enter long; if close cross under lband, enter short; 5. if positon is long,and close cross under hband/2+lband/2, exit long; if position is short,and close cross above hband/2+lband/2, exit short; 6. exit all position at 14:55 7. having 2 loss trades, stop trading today. regards, -- View this message in context: http://r.789695.n4.nabble.com/questions-about-adaptive-indicator-intra-day-trading-and-package-parallel-tp4696562p4696923.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] 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. _______________________________________________ [email protected] 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.
