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
[[alternative HTML version deleted]]
_______________________________________________
[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.
