So I changed the following: 1) orderqty = all
in all of the exit rules to 2) orderqty = -numshares So essentially reversing the original trade. This allowed the code to generate trades. I also lengthened the date range to include data from 2007-07-02 to 2007-12-30 to get more data points for the test. http://r.789695.n4.nabble.com/file/n3493332/basketStrategy.R basketStrategy.R As you can see the trades for IBM are generated based on the rule specified. However, one of the trades for CAT is using the rule added to the strategy for IBM (it's trading 65 shares). I'm not sure if this is the entry trade because the entry trade should be a short sale of 348 shares. Instead a purchase of 65 shares is made as the first ever trade for CAT. You can see the same theme progress for UTX and MSFT. I think there is some rule overlapping going on here and its likely because I am not using the features of this package correctly. If there was a way to remove a rule once processing of a symbol has completed I think that might work. But you guys might have more 'clean' and 'efficient' ways to think about this problem. [1] "2007-08-10 IBM 65 @ 112.64" [1] "2007-08-14 IBM -65 @ 112.05" [1] "2007-08-23 IBM 65 @ 111.45" [1] "2007-09-12 IBM -65 @ 116" [1] "2007-09-18 IBM 65 @ 116.63" [1] "2007-10-03 IBM -65 @ 116.4" [1] "2007-10-08 IBM 65 @ 117.77" [1] "2007-10-17 IBM -65 @ 115.78" [1] "2007-10-29 IBM 65 @ 114.8" [1] "2007-11-01 IBM -65 @ 113.65" [1] "2007-11-02 IBM 65 @ 114.59" [1] "2007-11-05 IBM -65 @ 113.4" [1] "2007-11-23 IBM 65 @ 104.05" [1] "2007-11-26 IBM -65 @ 101.97" [1] "2007-11-27 IBM 65 @ 103.83" [1] "2007-12-11 IBM -65 @ 106.99" [1] "2007-12-12 IBM 65 @ 108.47" [1] "2007-12-14 IBM -65 @ 105.77" [1] "2007-12-20 IBM 65 @ 108.84" [1] "2007-08-02 CAT 65 @ 80.67" [1] "2007-08-02 CAT -348 @ 80.67" [1] "2007-08-03 CAT -65 @ 78.96" [1] "2007-08-03 CAT 348 @ 78.96" [1] "2007-08-06 CAT 65 @ 81" [1] "2007-08-06 CAT -348 @ 81" [1] "2007-08-09 CAT -65 @ 78.48" [1] "2007-08-09 CAT 348 @ 78.48" [1] "2007-08-23 CAT 65 @ 75.17" [1] "2007-08-23 CAT -348 @ 75.17" [1] "2007-08-28 CAT -65 @ 74.16" [1] "2007-08-28 CAT 348 @ 74.16" [1] "2007-08-29 CAT 65 @ 75.04" [1] "2007-08-29 CAT -348 @ 75.04" [1] "2007-08-30 CAT -65 @ 74.66" [1] "2007-08-30 CAT 348 @ 74.66" [1] "2007-08-31 CAT 65 @ 75.77" [1] "2007-08-31 CAT -348 @ 75.77" [1] "2007-09-07 CAT -65 @ 73.44" [1] "2007-09-07 CAT 348 @ 73.44" [1] "2007-09-18 CAT 65 @ 77.46" [1] "2007-09-18 CAT -348 @ 77.46" [1] "2007-10-11 CAT -65 @ 79.44" [1] "2007-10-11 CAT 348 @ 79.44" [1] "2007-10-12 CAT 65 @ 80.3" [1] "2007-10-12 CAT -348 @ 80.3" [1] "2007-10-15 CAT -65 @ 78.84" [1] "2007-10-15 CAT 348 @ 78.84" [1] "2007-11-02 CAT 65 @ 74.76" [1] "2007-11-02 CAT -348 @ 74.76" [1] "2007-11-05 CAT -65 @ 73.5" [1] "2007-11-05 CAT 348 @ 73.5" [1] "2007-11-06 CAT 65 @ 74.92" [1] "2007-11-06 CAT -348 @ 74.92" [1] "2007-11-07 CAT -65 @ 73.6" [1] "2007-11-07 CAT 348 @ 73.6" [1] "2007-11-28 CAT 65 @ 71.19" [1] "2007-11-28 CAT -348 @ 71.19" [1] "2007-12-14 CAT -65 @ 73.39" [1] "2007-12-14 CAT 348 @ 73.39" [1] "2007-12-24 CAT 65 @ 72.7" [1] "2007-12-24 CAT -348 @ 72.7" [1] "2007-08-02 UTX -348 @ 74.76" [1] "2007-08-02 UTX 648 @ 74.76" [1] "2007-08-03 UTX 348 @ 73.93" [1] "2007-08-03 UTX -648 @ 73.93" [1] "2007-08-06 UTX -348 @ 74.85" [1] "2007-08-06 UTX 648 @ 74.85" [1] "2007-08-07 UTX 348 @ 74.15" [1] "2007-08-07 UTX -648 @ 74.15" [1] "2007-08-13 UTX -348 @ 74.01" [1] "2007-08-13 UTX 648 @ 74.01" [1] "2007-08-14 UTX 348 @ 72.78" [1] "2007-08-14 UTX -648 @ 72.78" [1] "2007-08-17 UTX -348 @ 73.82" [1] "2007-08-17 UTX 648 @ 73.82" [1] "2007-08-21 UTX 348 @ 72.94" [1] "2007-08-21 UTX -648 @ 72.94" [1] "2007-08-22 UTX -348 @ 73.87" [1] "2007-08-22 UTX 648 @ 73.87" [1] "2007-08-28 UTX 348 @ 72" [1] "2007-08-28 UTX -648 @ 72" [1] "2007-08-29 UTX -348 @ 74.35" [1] "2007-08-29 UTX 648 @ 74.35" [1] "2007-09-05 UTX 348 @ 73.45" [1] "2007-09-05 UTX -648 @ 73.45" [1] "2007-09-06 UTX -348 @ 75.01" [1] "2007-09-06 UTX 648 @ 75.01" [1] "2007-09-07 UTX 348 @ 73.79" [1] "2007-09-07 UTX -648 @ 73.79" [1] "2007-09-10 UTX -348 @ 74.49" [1] "2007-09-10 UTX 648 @ 74.49" [1] "2007-10-03 UTX 348 @ 79.67" [1] "2007-10-03 UTX -648 @ 79.67" [1] "2007-10-05 UTX -348 @ 80.84" [1] "2007-10-05 UTX 648 @ 80.84" [1] "2007-10-08 UTX 348 @ 80.36" [1] "2007-10-08 UTX -648 @ 80.36" [1] "2007-10-09 UTX -348 @ 81.2" [1] "2007-10-09 UTX 648 @ 81.2" [1] "2007-10-10 UTX 348 @ 80.5" [1] "2007-10-10 UTX -648 @ 80.5" [1] "2007-10-31 UTX -348 @ 76.59" [1] "2007-10-31 UTX 648 @ 76.59" [1] "2007-11-01 UTX 348 @ 74.72" [1] "2007-11-01 UTX -648 @ 74.72" [1] "2007-11-05 UTX -348 @ 76.11" [1] "2007-11-05 UTX 648 @ 76.11" [1] "2007-11-07 UTX 348 @ 74.46" [1] "2007-11-07 UTX -648 @ 74.46" [1] "2007-11-13 UTX -348 @ 75.33" [1] "2007-11-13 UTX 648 @ 75.33" [1] "2007-11-14 UTX 348 @ 74.92" [1] "2007-11-14 UTX -648 @ 74.92" [1] "2007-11-20 UTX -348 @ 74.32" [1] "2007-11-20 UTX 648 @ 74.32" [1] "2007-11-21 UTX 348 @ 72.78" [1] "2007-11-21 UTX -648 @ 72.78" [1] "2007-11-27 UTX -348 @ 74" [1] "2007-11-27 UTX 648 @ 74" [1] "2007-12-14 UTX 348 @ 76.69" [1] "2007-12-14 UTX -648 @ 76.69" [1] "2007-12-21 UTX -348 @ 77.83" [1] "2007-12-21 UTX 648 @ 77.83" [1] "2007-08-07 MSFT 648 @ 29.55" [1] "2007-08-07 MSFT -1000 @ 29.55" [1] "2007-08-09 MSFT -648 @ 29.3" [1] "2007-08-09 MSFT 1000 @ 29.3" [1] "2007-08-23 MSFT 648 @ 28.3" [1] "2007-08-23 MSFT -1000 @ 28.3" [1] "2007-08-28 MSFT -648 @ 27.93" [1] "2007-08-28 MSFT 1000 @ 27.93" [1] "2007-08-29 MSFT 648 @ 28.59" [1] "2007-08-29 MSFT -1000 @ 28.59" [1] "2007-09-05 MSFT -648 @ 28.48" [1] "2007-09-05 MSFT 1000 @ 28.48" [1] "2007-09-06 MSFT 648 @ 28.91" [1] "2007-09-06 MSFT -1000 @ 28.91" [1] "2007-09-07 MSFT -648 @ 28.44" [1] "2007-09-07 MSFT 1000 @ 28.44" [1] "2007-09-11 MSFT 648 @ 28.93" [1] "2007-09-11 MSFT -1000 @ 28.93" [1] "2007-09-17 MSFT -648 @ 28.73" [1] "2007-09-17 MSFT 1000 @ 28.73" [1] "2007-09-18 MSFT 648 @ 28.93" [1] "2007-09-18 MSFT -1000 @ 28.93" [1] "2007-09-19 MSFT -648 @ 28.67" [1] "2007-09-19 MSFT 1000 @ 28.67" [1] "2007-09-24 MSFT 648 @ 29.08" [1] "2007-09-24 MSFT -1000 @ 29.08" [1] "2007-10-19 MSFT -648 @ 30.17" [1] "2007-10-19 MSFT 1000 @ 30.17" [1] "2007-10-22 MSFT 648 @ 30.51" [1] "2007-10-22 MSFT -1000 @ 30.51" [1] "2007-11-07 MSFT -648 @ 35.52" [1] "2007-11-07 MSFT 1000 @ 35.52" [1] "2007-11-20 MSFT 648 @ 34.58" [1] "2007-11-20 MSFT -1000 @ 34.58" [1] "2007-11-26 MSFT -648 @ 32.97" [1] "2007-11-26 MSFT 1000 @ 32.97" [1] "2007-12-05 MSFT 648 @ 34.15" [1] "2007-12-05 MSFT -1000 @ 34.15" [1] "2007-12-17 MSFT -648 @ 34.39" [1] "2007-12-17 MSFT 1000 @ 34.39" [1] "2007-12-18 MSFT 648 @ 34.74" [1] "2007-12-18 MSFT -1000 @ 34.74" -- View this message in context: http://r.789695.n4.nabble.com/quantstrat-custom-indicators-tp3491259p3493332.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. 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