Questions about Quantstrat

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Questions about Quantstrat

Rodger Dodger
Hi All,

Ive been building a testing an intraday strategy in quantstrat Ive got most
of the logic up and running fine but Im running into a road block with two
issues, which I haven't found any documentation to help me anywhere in the
forum histories.

1. Because its an intraday system, I want to limit the total number of
trades the system attempts to execute on any given day. How would I best
approach this?

2. I would like to introduce dynamic position sizing where the size of the
position is determinedly the distance between the entry level and the stop
level and targets risking a fixed percentage of the account equity. Again,
Im at a loss as to where to start with this.

If anyone is able to give me some pointers I'd be extremely grateful.

Many thanks.
Roj.

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Re: Questions about Quantstrat

Ilya Kipnis
1) Take a look at the actual code for some of the signals such as
sigCrossover, then implement another signal function that takes the running
sum of your signals. Granted, if some of those signals are limit orders
that don't fire off, this isn't perfect.

2) Take a look at my osDollarATR function.

On Sun, Jan 26, 2020 at 12:40 PM Rodger Dodger <[hidden email]>
wrote:

> Hi All,
>
> Ive been building a testing an intraday strategy in quantstrat Ive got most
> of the logic up and running fine but Im running into a road block with two
> issues, which I haven't found any documentation to help me anywhere in the
> forum histories.
>
> 1. Because its an intraday system, I want to limit the total number of
> trades the system attempts to execute on any given day. How would I best
> approach this?
>
> 2. I would like to introduce dynamic position sizing where the size of the
> position is determinedly the distance between the entry level and the stop
> level and targets risking a fixed percentage of the account equity. Again,
> Im at a loss as to where to start with this.
>
> If anyone is able to give me some pointers I'd be extremely grateful.
>
> Many thanks.
> Roj.
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] 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.
>

        [[alternative HTML version deleted]]

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