Dear all, In quantstrat, as described in package documentation, orders turn into transactions, transactions turn into positions, positions turn into trades. And the underlying logic of how you define a position (using netting or hedging system) or a trade (flat-to-flat or FIFO etc) significantly affects the mechanics of money management rules (stop loss etc) and trade statistics (profit factor etc).
For defining positions, the netting vs hedging systems are defined as follows: https://www.metatrader5.com/en/mobile-trading/iphone/help/trade/general_concept The original implementation of quantstrat is based on a netting system where after having a long position, each additional long trade increases the current position amount (unless you have a position limit) and the stop-loss/take profit is applied to the total position as a whole and not to the individual long trades separately. My question is that is there a way to apply stop loss and take profit to each opened trade independently, regardless of order side (long or short) and previous positions? If yes, would you provide an example of it? Best regards Ayhan [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org 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.
