I like to backtest this strategy on EOD data: 1. If a long/short signal occurs on day 0 (signal day) then enter long/short on day 1 if the price exeeds signal day's high (long) or drops below signal day's low (short). 2. On execution of the entry order issue 2 exit orders combined by OCO: a. Stop loss at x% of entry price b. MOC of entry day (later I also like to backtest longer periods) So the basic strategy holds the stock/asset for one day only (=one bar).
Is there a way to exit on the entry bar anyway? How would I to this by setting allowMagicalThinking=T? Or can I trigger entry and the 2 exit orders by the same sigcol? Would I have to make the entry rule non-path-dependent to have it executed before the exit rule? Mike _______________________________________________ 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.
