Hi
I just downloaded what I thought was the latest quatstrat and then the
xts update as I got this:
Failed with error: ‘package 'xts' 0.7-6.11 was found, but >= 0.7.6.15 is
required by 'quantstrat'’
>
but when I ordered my long rules 'enter' then 'exit' the problem of
running into that crossing zero problem was still there. When I turned
the order back to 'exit' then 'enter' it worked again.
I downloaded this zip and installed locally on windows:
Specify, build, and back-test quantitative financial trading and
portfolio strategies
------------------------------------------------------------------------
*Download: *
*Package source (.tar.gz)
<http://r-forge.r-project.org/src/contrib/quantstrat_0.4.0.tar.gz>* |
*Windows multi-arch binary (.zip)
<http://r-forge.r-project.org/bin/windows/contrib/latest/quantstrat_0.4.0.zip>*
| *MacOS X leopard binary (.tgz)
<http://r-forge.r-project.org/bin/macosx/leopard/contrib/latest/quantstrat_0.4.0.tgz>*
------------------------------------------------------------------------
*Logs: * Linux x86_32 Linux x86_64 Windows x86_32/x86_64 MacOS X
Leopard
Daily build: patched
<http://r-forge.r-project.org/R/?group_id=316&log=build_src&pkg=quantstrat&flavor=patched>
patched
<http://r-forge.r-project.org/R/?group_id=316&log=build_src&pkg=quantstrat&flavor=patched>
patched
<http://r-forge.r-project.org/R/?group_id=316&log=build_win64&pkg=quantstrat&flavor=patched>
| devel
<http://r-forge.r-project.org/R/?group_id=316&log=build_win64&pkg=quantstrat&flavor=devel>
patched
<http://r-forge.r-project.org/R/?group_id=316&log=build_mac&pkg=quantstrat&flavor=patched>
| devel (N/A)
Daily check: offline* patched
<http://r-forge.r-project.org/R/?group_id=316&log=check_x86_64_linux&pkg=quantstrat&flavor=patched>
| devel
<http://r-forge.r-project.org/R/?group_id=316&log=check_x86_64_linux&pkg=quantstrat&flavor=devel>
offline* patched
<http://r-forge.r-project.org/R/?group_id=316&log=check_x86_64_mac&pkg=quantstrat&flavor=patched>
| devel (N/A)
------------------------------------------------------------------------
To install this package directly within R type:
*|install.packages("quantstrat", repos="http://R-Forge.R-project.org";)|*
Version: *0.4.0* | Last change: *2011-02-04 23:07:03+01* | Rev.: *548*
Have I got the wrong quantstrat?
Stephen Choularton Ph.D., FIoD
On 28/01/2011 6:07 AM, Brian G. Peterson wrote:
On 01/27/2011 12:53 PM, Stephen Choularton wrote:
I note that the list
"pre","risk","order","rebalance",
"exit","enter","entry","post"
Contains types that are not in the notes. Can I find some further info
on what they are for?
Well, with the exception of 'order', they all (currently) call
RuleProc by default, as described in the documentation.
In that regard, they are all 'the same', but will be accessed in the
stated order. Since the rule functions themselves are composed of
*any* R function, you could do just about anything with a given slot.
That said, the names should be pretty evident, 'pre' and 'post' for
pre and post processing at a given observation (we occasionally use a
function in these slots to set or remove hold, for example),
'rebalance' for portfolio rules (you'd need to write custom
rebalancing functions, 'enter' and 'entry' are synonyms for each other
because I mistyped one as the other a couple times and puzzled over
why things weren't working.
Per the documentation (thanks to the Stephen's report, Aleksandr's
sleuthing, and Josh's patch), for each observation, rules will be
evaluated by type, in the order they were declared within that type.
'Stacking' of rules is possible, as is having one rule cancel orders
placed by another rule before they have the opportunity to be worked
by the 'order' slot. The 'order' slot, by default, also per the
documentation, will call ruleOrderProc, though this may be changed by
the user to call custom order processing.
When Joshua says he has 'committed' the changes, does that mean if I
download quantstrat the amendments will be incorporated in it?
R-Forge builds changes from SVN daily, so within 24 hours it should
show up in the tarball or binary package.
And finally (for the moment ;-) thanks for the way you all have helped
me solve my problems.
Regards,
- Brian
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