I have been trying to implement what Brian has suggested for a simple long only macd based strategy. Given that I am new to quantstrat, this may be quite an elementary question, but here goes. 1. I have a simple long only MACD based system that gives me entry and exit signals on T.2. On the basis os a long signal I trigger a market order to buy on T+1, at the open.3. Based on this execution, I need to set a hard stop on the position entered in #2, that is x% below the execution price of 2, with the comparison being done at the close of each day, and if the signal triggers on some day D, the order is executed as a market sell order on the next day D+1.My signal essentially says "Check to see if the closing price on any day is less than the execution prices of the last opening trade minus a threshold and if it is, trigger a signal".4. This clearly needs, at any point, the value of the execution price of the market order in #2, the timestamp of #2 5.Finally the rule that triggers the market sell order described in #3 would need to know the existing position size as well. I am not quite sure how to extract these state variables to include in the signal and in the rule. Any help on this would be appreciated. Thanks in advance.
On Tuesday, February 13, 2018, 12:42:07 PM GMT+5:30, Sanjay Mansabdar <sanjay.mansab...@yahoo.com> wrote: I am not sure how to reply to digest messages in the thread, so apologies in advance for errors @Brian, I think there is no error with the implementation as it stands of stop limit orders. However IMHO stop loss logic is not necessarily the same thing as stop limit orders and perhaps needs to be thought of separately. I will try and follow the route you have suggested. Thanks Regards [[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.