Specifying replace in add.rule()
In quantstrat, the replace argument specifies whether or not to ignore all other signals on the same date when the strategy acts upon one signal. This is generally not a desired quality in a well-crafted trading system. Therefore, for your exit rule, you should set replace to FALSE.
Furthermore, you will be working with a new rule. Previously, the exit rule you worked with was when the market environment was no longer conducive to a trade. In this case, you will be working with a rule that sells when the DVO has crossed a certain threshold. In particular, you will be working with the thresholdexit rule now.
This exercise is part of the course
Financial Trading in R
Exercise instructions
- Set the
replaceinput inside the arguments input toFALSE.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Fill in the replace argument in add.rule()
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "thresholdexit", sigval = TRUE, orderqty = "all",
ordertype = "market", orderside = "long",
replace = ___, prefer = "Open"),
type = "exit")