Garrett is correct, sorry, I'm still a little sleep-deprived from R/Finance.
Rule execution order is discussed in the documentation for add.rule, and 'enter' rules are processed last. I wonder if we should consider moving 'rebalance' rules to the end of the order, or adding a exit rule type that is specifically evaluated after entry rules. The code change would be trivial, as that is processed in a switch statement. On Sun, 2012-05-13 at 15:46 -0500, G See wrote: > Brian, > > I can't get that to work. It used to be that exit orders would fire > before enter orders and if you did not have a position, they were > effectively not sent. > > I tried to test this by making a tiny change to the maCross.R demo. I > changed the second add.signal call so that it had > relationship="gte" > just like the first add.signal call. In other words, you should get > an enter and exit at the same time. So, you should never have a > position. Nevertheless, you end up with a position of short 600 > shares. If that's not right, then I doubt that adding prefer="Open" > to one and prefer="Close" to the other will work. > > Garrett > On Sun, May 13, 2012 at 3:20 PM, Brian G. Peterson <[email protected]> > wrote: > > On Sun, 2012-05-13 at 15:55 -0400, s p wrote: > >> 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). > > > > Sure you can, if the signal is on the same observation. > > > > I'm not sure how realistic a backtest of market on open and market on > > close is going to be, of course, because of slippage, but it should > > 'work' in quantstrat. > > > > Your entry rule would use prefer='Open' and your exit rule would use > > prefer='Close'. > > > > -- > > Brian G. Peterson > > http://braverock.com/brian/ > > Ph: 773-459-4973 > > IM: bgpbraverock > > > > _______________________________________________ > > [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. > > _______________________________________________ > [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. -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock _______________________________________________ [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.
