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.
Deze oefening maakt deel uit van de cursus
Financial Trading in R
Oefeninstructies
- Set the
replaceinput inside the arguments input toFALSE.
Praktische interactieve oefening
Probeer deze oefening eens door deze voorbeeldcode in te vullen.
# 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")