Ilya, > Yes, you definitely can. You can definitely inject pre-generated > signals as additional columns on your data ahead of time, and then > use add.signal to work with them later, skipping the add.indicator > step entirely.
So if the strategy involves 1000 stocks quantstrat's object would get 1000 additional columns? > Quantstrat/R *can* handle such an amount of data, but understand that > quantstrat will loop over each instrument individually, Does this mean, when there are multiple entry signals at the same day and time and I like to discard some of them (because of insufficient cash) that I can not do this on a random basis? The idea would be to add a Monte Carlo simulation at such points, but I'm not sure how long such a calculation would take. > and the loops > occur by signal observations. What do you mean by this? > That said, the "handle these prior to close" is a bit *vague* as far > as objective implementation goes. What does "prior to close" mean? > 3:55 PM EST? I just referred to the time stop rule one paragraph above. The exit should be like a three-leg logical or-rule: My trades start at EntryDate, EntryTime and exit (at the latest) with the close of the last bar of ExitDate. But a trade is closed out earlier, if a take profit or a stop loss is met. So if at any day during the trade's lifetime a bar at 3:55 PM EST (or whenever) mets a take profit or a stop loss, the trade should be closed - even if the last bar of ExitDate is not yet reached. Thanks Mike > On Wed, Dec 18, 2024 at 5:40 PM Mike <[email protected]> wrote: > > > 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.
