okay so that means I can't use quantstrat for strategies where the entry and exit are on the same bar (in this case daily bar).
I can do this in blotter - which I guess is fine. Thanks for the feedback. On Sun, May 13, 2012 at 3:46 PM, OpenTrades <[email protected]> wrote: > In quantstrat, if your have a signal on bar t, the rule will be executed > at bar t+1. In your case, this means that the order will be added for the > next day. > > Use the 'prefer'-argument to specify which of next day's rates (open, low, > high, close) you want to use. > > > > On 12-05-12 23:45, algotr8der wrote: > >> 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<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<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<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. >> >> > > -- > Jan Humme - OpenTrades > > WWW: http://www.opentrades.nl > Email: jan at opentrades dot nl > Twitter: @opentrades > > > ______________________________**_________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/**listinfo/r-sig-finance<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. > [[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.
