My strategy involves a universe with more than 1000 stocks. Since the entry rules are complex, I've generated the entry signals with a separate program. The resulting table for entry signals includes these columns: Symbol, EntryDate, EntryTime, ExitDate.
The backtest has to run on intraday basis. I have intraday data OHLCV for every stock involved. The period to be tested spans several years. Each trade has to be closed market on close on ExitDate at the latest (time stop). Stop loss and take profit have to be handled prior to close on ExitDate. Stop loss has to be tightened up once if a profit target is met. Can I backtest such a type of strategy using quantstrat? Especially: - Can I inject pre-generated signals to quantstrat? - Can quantstrat/R handle such an amount of data? Mike _______________________________________________ [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.
