I am trying to backtest a strategy that requires an exit on the close (same day as the entry). I have searched through Rmetrics and stackoverflow and found the following post:
http://stackoverflow.com/questions/10441614/quantstrat-in-r-setting-a-date-based-exit-signal Brian Peterson said the following: >quantstrat, as described in the manual, is a signals-based framework. It is not designed for filters based trades really. >You could do what you want by using the delay argument to your exit rule. Set the delay to be one day, and the prefer argument to prefer a different price column. >I'm not going to write it for you, but that is enough information to solve your problem. Now this was a solution to exit at a future time stamp. I want to exit the *same* day (I am using daily data for my test) which is why I'm not sure if setting a delay really works for what I want to do. Is this at all possible? Appreciate the direction. -- View this message in context: http://r.789695.n4.nabble.com/quanstrat-rule-to-exit-same-day-close-using-daily-data-tp4629612.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.
