Question

我正在尝试实施一项策略，以更新每个酒吧的限价单。该策略将在关闭旧头寸时始终打开一个新头寸，因此我总是需要一个结账单和一个结账单。

如果我使用replace=T，退出顺序将删除我的进入顺序，这意味着要用两个小节来更改位置而不是一个。如果我使用replace=F，则它将保持添加订单，而旧订单保持不变。我所寻找的行为也不是。

是否可以通过标签修改未结订单？例如，更改我标记为ShortExit的限价单和标记为LongEntry的限价单的价格吗？

require(quantstrat)

stock.str='IBM' # what are we trying it on

currency('USD')
stock(stock.str,currency='USD',multiplier=1)

startDate='2006-12-31'
initEq=1000000

strat.st<-portfolio.st <-account.st <- 'bbands'
rm.strat(portfolio.st)
rm.strat(account.st)
strategy(strat.st, store=TRUE)
initPortf(portfolio.st, symbols=stock.str)
initAcct(account.st,portfolios='bbands')
initOrders(portfolio=portfolio.st)
addPosLimit(portfolio.st, stock.str, startDate, 100, 1 ) #set max pos


kchannel <- function(HLC,n){
  center <- SMA(Cl(HLC),n)
  atr <- ATR(HLC,n)$atr
  up <- center + 2*atr
  dn <- center - 2*atr
  mom <- momentum(center)
  out <- merge(center,atr,up,dn,mom)
  colnames(out) <- c("center","atr","up","dn","mom")
  return(out)
}

add.indicator(strategy = strat.st, 
              name = "kchannel", 
              arguments = list(HLC = quote(HLC(mktdata)), 
                               n=n
              ), 
              label='kc')

add.signal(strategy = strat.st,
           name="sigThreshold",
           arguments = list(column="mom.kc",
                            thresh=0,
                            relationship="gt"),
           label="long")

add.signal(strategy = strat.st,
           name="sigThreshold",
           arguments = list(column="mom.kc",
                            thresh=0,
                            relationship="lt"),
           label="short")

add.rule(strategy = strat.st,name='ruleSignal',
         arguments = list(sigcol="long",
                          sigval=TRUE,
                          orderqty=200,
                          orderside="long",
                          replace=T,
                          ordertype='limit',
                          prefer="dn",
                          osFUN=osMaxPos),
         type='enter',
         label="LongEntry")

add.rule(strategy = strat.st,name='ruleSignal',
         arguments = list(sigcol="short",
                          sigval=TRUE,
                          orderqty=-200,
                          orderside="short",
                          replace=T,
                          ordertype='limit',
                          prefer="up",
                          osFUN=osMaxPos),
         type='enter',
         label="ShortEntry")

add.rule(strategy = strat.st,name='ruleSignal',
         arguments = list(sigcol="short",
                          sigval=TRUE,
                          orderqty="all",
                          orderside="long",
                          replace=T,
                          ordertype='limit',
                          prefer="dn",
                          osFUN=osMaxPos),
         type='exit',
         label="LongExit")

add.rule(strategy = strat.st,name='ruleSignal',
         arguments = list(sigcol="long",
                          sigval=TRUE,
                          orderqty="all",
                          orderside="short",
                          replace=T,
                          ordertype='limit',
                          prefer="up",
                          osFUN=osMaxPos),
         type='exit',
         label="ShortExit")


getSymbols(stock.str,from=startDate,index.class=c('POSIXt','POSIXct'), src='yahoo')
start_t<-Sys.time()
out<-try(applyStrategy(strategy='bbands' , portfolios='bbands') )
updatePortf(Portfolio='bbands')

chart.Posn(Portfolio='bbands',Symbol=stock.str)

Quantstrat：更新多个限价单的价格（输入+退出）

0 个答案: