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<!DOCTYPE html>
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<title>Backtesting Strategies with R</title>
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<meta name="author" content="Tim Trice">
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<ul class="summary">
<li class="chapter" data-level="1" data-path="index.html"><a href="index.html"><i class="fa fa-check"></i><b>1</b> Introduction</a><ul>
<li class="chapter" data-level="1.1" data-path="index.html"><a href="index.html#r-resources"><i class="fa fa-check"></i><b>1.1</b> R Resources</a></li>
<li class="chapter" data-level="1.2" data-path="index.html"><a href="index.html#libraries"><i class="fa fa-check"></i><b>1.2</b> Libraries</a></li>
<li class="chapter" data-level="1.3" data-path="index.html"><a href="index.html#sessioninfo"><i class="fa fa-check"></i><b>1.3</b> SessionInfo</a></li>
</ul></li>
<li class="chapter" data-level="2" data-path="terminology.html"><a href="terminology.html"><i class="fa fa-check"></i><b>2</b> Terminology</a></li>
<li class="chapter" data-level="3" data-path="using-quantstrat.html"><a href="using-quantstrat.html"><i class="fa fa-check"></i><b>3</b> Using Quantsrat</a><ul>
<li class="chapter" data-level="3.1" data-path="using-quantstrat.html"><a href="using-quantstrat.html#settings-and-variables"><i class="fa fa-check"></i><b>3.1</b> Settings and Variables</a></li>
<li class="chapter" data-level="3.2" data-path="using-quantstrat.html"><a href="using-quantstrat.html#symbols"><i class="fa fa-check"></i><b>3.2</b> Symbols</a></li>
<li class="chapter" data-level="3.3" data-path="using-quantstrat.html"><a href="using-quantstrat.html#checkBlotterUpdate"><i class="fa fa-check"></i><b>3.3</b> checkBlotterUpdate()</a></li>
</ul></li>
<li class="chapter" data-level="4" data-path="get-symbols.html"><a href="get-symbols.html"><i class="fa fa-check"></i><b>4</b> Get Symbols</a><ul>
<li class="chapter" data-level="4.1" data-path="get-symbols.html"><a href="get-symbols.html#yahoo"><i class="fa fa-check"></i><b>4.1</b> Yahoo!</a></li>
<li class="chapter" data-level="4.2" data-path="get-symbols.html"><a href="get-symbols.html#google"><i class="fa fa-check"></i><b>4.2</b> Google</a></li>
<li class="chapter" data-level="4.3" data-path="get-symbols.html"><a href="get-symbols.html#mysql"><i class="fa fa-check"></i><b>4.3</b> MySQL</a></li>
<li class="chapter" data-level="4.4" data-path="get-symbols.html"><a href="get-symbols.html#fred"><i class="fa fa-check"></i><b>4.4</b> FRED</a></li>
<li class="chapter" data-level="4.5" data-path="get-symbols.html"><a href="get-symbols.html#oanda"><i class="fa fa-check"></i><b>4.5</b> OANDA</a></li>
</ul></li>
<li class="chapter" data-level="5" data-path="basic-strategy.html"><a href="basic-strategy.html"><i class="fa fa-check"></i><b>5</b> Basic Strategy</a><ul>
<li class="chapter" data-level="5.1" data-path="basic-strategy.html"><a href="basic-strategy.html#strategy-setup"><i class="fa fa-check"></i><b>5.1</b> Strategy Setup</a></li>
<li class="chapter" data-level="5.2" data-path="basic-strategy.html"><a href="basic-strategy.html#add-indicators"><i class="fa fa-check"></i><b>5.2</b> Add Indicators</a></li>
<li class="chapter" data-level="5.3" data-path="basic-strategy.html"><a href="basic-strategy.html#add-signals"><i class="fa fa-check"></i><b>5.3</b> Add Signals</a></li>
<li class="chapter" data-level="5.4" data-path="basic-strategy.html"><a href="basic-strategy.html#add-rules"><i class="fa fa-check"></i><b>5.4</b> Add Rules</a></li>
<li class="chapter" data-level="5.5" data-path="basic-strategy.html"><a href="basic-strategy.html#apply-strategy"><i class="fa fa-check"></i><b>5.5</b> Apply Strategy</a></li>
</ul></li>
<li class="chapter" data-level="6" data-path="data-quality.html"><a href="data-quality.html"><i class="fa fa-check"></i><b>6</b> Data Quality</a><ul>
<li class="chapter" data-level="6.1" data-path="data-quality.html"><a href="data-quality.html#yahoo-vs.google"><i class="fa fa-check"></i><b>6.1</b> Yahoo! vs. Google</a></li>
<li class="chapter" data-level="6.2" data-path="data-quality.html"><a href="data-quality.html#examining-trades"><i class="fa fa-check"></i><b>6.2</b> Examining Trades</a></li>
</ul></li>
<li class="chapter" data-level="7" data-path="parameter-optimization.html"><a href="parameter-optimization.html"><i class="fa fa-check"></i><b>7</b> Parameter Optimization</a><ul>
<li class="chapter" data-level="7.1" data-path="parameter-optimization.html"><a href="parameter-optimization.html#add-distribution"><i class="fa fa-check"></i><b>7.1</b> Add Distribution</a></li>
<li class="chapter" data-level="7.2" data-path="parameter-optimization.html"><a href="parameter-optimization.html#add-distribution-constraint"><i class="fa fa-check"></i><b>7.2</b> Add Distribution Constraint</a></li>
<li class="chapter" data-level="7.3" data-path="parameter-optimization.html"><a href="parameter-optimization.html#running-parallel"><i class="fa fa-check"></i><b>7.3</b> Running Parallel</a></li>
<li class="chapter" data-level="7.4" data-path="parameter-optimization.html"><a href="parameter-optimization.html#apply-paramset"><i class="fa fa-check"></i><b>7.4</b> Apply Paramset</a></li>
</ul></li>
<li class="chapter" data-level="8" data-path="stop-loss.html"><a href="stop-loss.html"><i class="fa fa-check"></i><b>8</b> Stop-Loss Orders</a><ul>
<li class="chapter" data-level="8.1" data-path="stop-loss.html"><a href="stop-loss.html#add-indicators-1"><i class="fa fa-check"></i><b>8.1</b> Add Indicators</a></li>
<li class="chapter" data-level="8.2" data-path="stop-loss.html"><a href="stop-loss.html#add-signals-1"><i class="fa fa-check"></i><b>8.2</b> Add Signals</a></li>
<li class="chapter" data-level="8.3" data-path="stop-loss.html"><a href="stop-loss.html#add-rules-1"><i class="fa fa-check"></i><b>8.3</b> Add Rules</a></li>
<li class="chapter" data-level="8.4" data-path="stop-loss.html"><a href="stop-loss.html#add-position-limit"><i class="fa fa-check"></i><b>8.4</b> Add Position Limit</a></li>
<li class="chapter" data-level="8.5" data-path="stop-loss.html"><a href="stop-loss.html#enable-rules"><i class="fa fa-check"></i><b>8.5</b> Enable Rules</a></li>
<li class="chapter" data-level="8.6" data-path="stop-loss.html"><a href="stop-loss.html#apply-strategy-1"><i class="fa fa-check"></i><b>8.6</b> Apply Strategy</a></li>
</ul></li>
<li class="chapter" data-level="9" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html"><i class="fa fa-check"></i><b>9</b> Stop Loss Optimization</a><ul>
<li class="chapter" data-level="9.1" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-indicators-2"><i class="fa fa-check"></i><b>9.1</b> Add Indicators</a></li>
<li class="chapter" data-level="9.2" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-signals-2"><i class="fa fa-check"></i><b>9.2</b> Add Signals</a></li>
<li class="chapter" data-level="9.3" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-rules-2"><i class="fa fa-check"></i><b>9.3</b> Add Rules</a></li>
<li class="chapter" data-level="9.4" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-position-limit-1"><i class="fa fa-check"></i><b>9.4</b> Add Position Limit</a></li>
<li class="chapter" data-level="9.5" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-distribution-1"><i class="fa fa-check"></i><b>9.5</b> Add Distribution</a></li>
<li class="chapter" data-level="9.6" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-distribution-constraint-1"><i class="fa fa-check"></i><b>9.6</b> Add Distribution Constraint</a></li>
<li class="chapter" data-level="9.7" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#enable-rules-1"><i class="fa fa-check"></i><b>9.7</b> Enable Rules</a></li>
<li class="chapter" data-level="9.8" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#apply-paramset-1"><i class="fa fa-check"></i><b>9.8</b> Apply Paramset</a></li>
</ul></li>
<li class="chapter" data-level="10" data-path="trailing-stops.html"><a href="trailing-stops.html"><i class="fa fa-check"></i><b>10</b> Trailing Stops</a><ul>
<li class="chapter" data-level="10.1" data-path="trailing-stops.html"><a href="trailing-stops.html#osfixeddollar"><i class="fa fa-check"></i><b>10.1</b> osFixedDollar</a></li>
<li class="chapter" data-level="10.2" data-path="trailing-stops.html"><a href="trailing-stops.html#add-indicators-3"><i class="fa fa-check"></i><b>10.2</b> Add Indicators</a></li>
<li class="chapter" data-level="10.3" data-path="trailing-stops.html"><a href="trailing-stops.html#add-signals-3"><i class="fa fa-check"></i><b>10.3</b> Add Signals</a></li>
<li class="chapter" data-level="10.4" data-path="trailing-stops.html"><a href="trailing-stops.html#add-rules-3"><i class="fa fa-check"></i><b>10.4</b> Add Rules</a></li>
<li class="chapter" data-level="10.5" data-path="trailing-stops.html"><a href="trailing-stops.html#enable-rules-2"><i class="fa fa-check"></i><b>10.5</b> Enable Rules</a></li>
<li class="chapter" data-level="10.6" data-path="trailing-stops.html"><a href="trailing-stops.html#save-strategy"><i class="fa fa-check"></i><b>10.6</b> Save Strategy</a></li>
</ul></li>
<li class="chapter" data-level="11" data-path="obtaining-resources.html"><a href="obtaining-resources.html"><i class="fa fa-check"></i><b>11</b> Obtaining Resources</a><ul>
<li class="chapter" data-level="11.1" data-path="obtaining-resources.html"><a href="obtaining-resources.html#amazon-web-services"><i class="fa fa-check"></i><b>11.1</b> Amazon Web Services</a></li>
<li class="chapter" data-level="11.2" data-path="obtaining-resources.html"><a href="obtaining-resources.html#getting-started"><i class="fa fa-check"></i><b>11.2</b> Getting Started</a><ul>
<li class="chapter" data-level="11.2.1" data-path="obtaining-resources.html"><a href="obtaining-resources.html#installing-quantstrat"><i class="fa fa-check"></i><b>11.2.1</b> Installing Quantstrat</a></li>
</ul></li>
<li class="chapter" data-level="11.3" data-path="obtaining-resources.html"><a href="obtaining-resources.html#testing-resources"><i class="fa fa-check"></i><b>11.3</b> Testing Resources</a></li>
<li class="chapter" data-level="11.4" data-path="obtaining-resources.html"><a href="obtaining-resources.html#changing-instances"><i class="fa fa-check"></i><b>11.4</b> Changing Instances</a></li>
<li class="chapter" data-level="11.5" data-path="obtaining-resources.html"><a href="obtaining-resources.html#stop-the-server"><i class="fa fa-check"></i><b>11.5</b> Stop the Server</a></li>
<li class="chapter" data-level="11.6" data-path="obtaining-resources.html"><a href="obtaining-resources.html#reading-resources"><i class="fa fa-check"></i><b>11.6</b> Reading Resources</a></li>
</ul></li>
<li class="chapter" data-level="12" data-path="analyzing-results.html"><a href="analyzing-results.html"><i class="fa fa-check"></i><b>12</b> Analyzing Results</a><ul>
<li class="chapter" data-level="12.1" data-path="analyzing-results.html"><a href="analyzing-results.html#apply-strategy-2"><i class="fa fa-check"></i><b>12.1</b> Apply Strategy</a></li>
<li class="chapter" data-level="12.2" data-path="analyzing-results.html"><a href="analyzing-results.html#chart-positions"><i class="fa fa-check"></i><b>12.2</b> Chart Positions</a></li>
<li class="chapter" data-level="12.3" data-path="analyzing-results.html"><a href="analyzing-results.html#trade-statistics"><i class="fa fa-check"></i><b>12.3</b> Trade Statistics</a><ul>
<li class="chapter" data-level="12.3.1" data-path="analyzing-results.html"><a href="analyzing-results.html#trade-related"><i class="fa fa-check"></i><b>12.3.1</b> Trade Related</a></li>
<li class="chapter" data-level="12.3.2" data-path="analyzing-results.html"><a href="analyzing-results.html#profit-related"><i class="fa fa-check"></i><b>12.3.2</b> Profit Related</a></li>
<li class="chapter" data-level="12.3.3" data-path="analyzing-results.html"><a href="analyzing-results.html#averages"><i class="fa fa-check"></i><b>12.3.3</b> Averages</a></li>
<li class="chapter" data-level="12.3.4" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-summary"><i class="fa fa-check"></i><b>12.3.4</b> Performance Summary</a></li>
<li class="chapter" data-level="12.3.5" data-path="analyzing-results.html"><a href="analyzing-results.html#per-trade-statistics"><i class="fa fa-check"></i><b>12.3.5</b> Per Trade Statistics</a></li>
<li class="chapter" data-level="12.3.6" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-statistics"><i class="fa fa-check"></i><b>12.3.6</b> Performance Statistics</a></li>
<li class="chapter" data-level="12.3.7" data-path="analyzing-results.html"><a href="analyzing-results.html#risk-statistics"><i class="fa fa-check"></i><b>12.3.7</b> Risk Statistics</a></li>
<li class="chapter" data-level="12.3.8" data-path="analyzing-results.html"><a href="analyzing-results.html#buy-and-hold-performance"><i class="fa fa-check"></i><b>12.3.8</b> Buy and Hold Performance</a></li>
<li class="chapter" data-level="12.3.9" data-path="analyzing-results.html"><a href="analyzing-results.html#strategy-vs.market"><i class="fa fa-check"></i><b>12.3.9</b> Strategy vs. Market</a></li>
<li class="chapter" data-level="12.3.10" data-path="analyzing-results.html"><a href="analyzing-results.html#riskreturn-scatterplot"><i class="fa fa-check"></i><b>12.3.10</b> Risk/Return Scatterplot</a></li>
<li class="chapter" data-level="12.3.11" data-path="analyzing-results.html"><a href="analyzing-results.html#relative-performance"><i class="fa fa-check"></i><b>12.3.11</b> Relative Performance</a></li>
<li class="chapter" data-level="12.3.12" data-path="analyzing-results.html"><a href="analyzing-results.html#portfolio-summary"><i class="fa fa-check"></i><b>12.3.12</b> Portfolio Summary</a></li>
<li class="chapter" data-level="12.3.13" data-path="analyzing-results.html"><a href="analyzing-results.html#order-book"><i class="fa fa-check"></i><b>12.3.13</b> Order Book</a></li>
<li class="chapter" data-level="12.3.14" data-path="analyzing-results.html"><a href="analyzing-results.html#maximum-adverse-excursion"><i class="fa fa-check"></i><b>12.3.14</b> Maximum Adverse Excursion</a></li>
<li class="chapter" data-level="12.3.15" data-path="analyzing-results.html"><a href="analyzing-results.html#maximum-favorable-excursion"><i class="fa fa-check"></i><b>12.3.15</b> Maximum Favorable Excursion</a></li>
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<li class="chapter" data-level="12.4" data-path="analyzing-results.html"><a href="analyzing-results.html#account-summary"><i class="fa fa-check"></i><b>12.4</b> Account Summary</a><ul>
<li class="chapter" data-level="12.4.1" data-path="analyzing-results.html"><a href="analyzing-results.html#equity-curve"><i class="fa fa-check"></i><b>12.4.1</b> Equity Curve</a></li>
<li class="chapter" data-level="12.4.2" data-path="analyzing-results.html"><a href="analyzing-results.html#account-performance-summary"><i class="fa fa-check"></i><b>12.4.2</b> Account Performance Summary</a></li>
<li class="chapter" data-level="12.4.3" data-path="analyzing-results.html"><a href="analyzing-results.html#cumulative-returns"><i class="fa fa-check"></i><b>12.4.3</b> Cumulative Returns</a></li>
<li class="chapter" data-level="12.4.4" data-path="analyzing-results.html"><a href="analyzing-results.html#distribution-analysis"><i class="fa fa-check"></i><b>12.4.4</b> Distribution Analysis</a></li>
<li class="chapter" data-level="12.4.5" data-path="analyzing-results.html"><a href="analyzing-results.html#annualized-returns"><i class="fa fa-check"></i><b>12.4.5</b> Annualized Returns</a></li>
<li class="chapter" data-level="12.4.6" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-scatter-plot"><i class="fa fa-check"></i><b>12.4.6</b> Performance Scatter Plot</a></li>
<li class="chapter" data-level="12.4.7" data-path="analyzing-results.html"><a href="analyzing-results.html#notional-costs"><i class="fa fa-check"></i><b>12.4.7</b> Notional Costs</a></li>
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<li class="chapter" data-level="13" data-path="walk-forward-analysis.html"><a href="walk-forward-analysis.html"><i class="fa fa-check"></i><b>13</b> Walk Forward Analysis</a></li>
<li class="chapter" data-level="14" data-path="monte-carlo-analysis.html"><a href="monte-carlo-analysis.html"><i class="fa fa-check"></i><b>14</b> Monte Carlo Analysis</a></li>
<li class="chapter" data-level="15" data-path="warnings-and-errors.html"><a href="warnings-and-errors.html"><i class="fa fa-check"></i><b>15</b> Warnings and Errors</a><ul>
<li class="chapter" data-level="15.1" data-path="warnings-and-errors.html"><a href="warnings-and-errors.html#must-use-auto.assigntrue-for-multiple-symbols-requests"><i class="fa fa-check"></i><b>15.1</b> Must use auto.assign=TRUE for multiple Symbols requests</a></li>
<li class="chapter" data-level="15.2" data-path="warnings-and-errors.html"><a href="warnings-and-errors.html#missing-in-call-to-function-add.distribution"><i class="fa fa-check"></i><b>15.2</b> Missing in call to function add.distribution</a></li>
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<li class="chapter" data-level="16" data-path="about-backtesting-strategies-with-r.html"><a href="about-backtesting-strategies-with-r.html"><i class="fa fa-check"></i><b>16</b> About “Backtesting Strategies with R”</a><ul>
<li class="chapter" data-level="16.1" data-path="about-backtesting-strategies-with-r.html"><a href="about-backtesting-strategies-with-r.html#tim-trice"><i class="fa fa-check"></i><b>16.1</b> Tim Trice</a></li>
<li class="chapter" data-level="16.2" data-path="about-backtesting-strategies-with-r.html"><a href="about-backtesting-strategies-with-r.html#to-you-the-reader"><i class="fa fa-check"></i><b>16.2</b> To You, the Reader</a></li>
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<section class="normal" id="section-">
<div id="trailing-stops" class="section level1">
<h1><span class="header-section-number">Chapter 10</span> Trailing Stops</h1>
<div class="strategy">
<p>
If Signal Line crosses above 0: BTO Else If Signal Line crosses below 0: STC
</p>
</div>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">trailingStopPercent <-<span class="st"> </span><span class="fl">0.07</span>
trade_size <-<span class="st"> </span>init_equity/<span class="kw">length</span>(symbols)</code></pre></div>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">portfolio.st <-<span class="st"> "Quantstrat"</span>
account.st <-<span class="st"> "Strategies"</span>
strategy.st <-<span class="st"> "MACD.TS"</span></code></pre></div>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">rm.strat</span>(portfolio.st)
<span class="kw">rm.strat</span>(account.st)</code></pre></div>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">initPortf</span>(<span class="dt">name =</span> portfolio.st,
<span class="dt">symbols =</span> symbols,
<span class="dt">initDate =</span> init_date)</code></pre></div>
<pre><code>## [1] "Quantstrat"</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">initAcct</span>(<span class="dt">name =</span> account.st,
<span class="dt">portfolios =</span> portfolio.st,
<span class="dt">initDate =</span> init_date,
<span class="dt">initEq =</span> init_equity)</code></pre></div>
<pre><code>## [1] "Strategies"</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">initOrders</span>(<span class="dt">portfolio =</span> portfolio.st,
<span class="dt">symbols =</span> symbols,
<span class="dt">initDate =</span> init_date)</code></pre></div>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">strategy</span>(strategy.st, <span class="dt">store =</span> <span class="ot">TRUE</span>)</code></pre></div>
<div id="osfixeddollar" class="section level2">
<h2><span class="header-section-number">10.1</span> osFixedDollar</h2>
<p>quantstratIII pg. 11/66</p>
<p><span class="math display">\[ \text{orderqty} = \frac{\text{trade_size}}{\text{Cl}} \]</span></p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">osFixedDollar <-<span class="st"> </span>function(timestamp, orderqty, portfolio, symbol, ruletype, ...) {
if(!<span class="kw">exists</span>(<span class="st">"trade_size"</span>)) <span class="kw">stop</span>(<span class="st">"You must set trade_size"</span>)
ClosePrice <-<span class="st"> </span><span class="kw">as.numeric</span>(<span class="kw">Cl</span>(mktdata[timestamp,]))
orderqty <-<span class="st"> </span><span class="kw">round</span>(trade_size/ClosePrice,-<span class="dv">2</span>)
<span class="kw">return</span>(orderqty)
}</code></pre></div>
</div>
<div id="add-indicators-3" class="section level2">
<h2><span class="header-section-number">10.2</span> Add Indicators</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">add.indicator</span>(<span class="dt">strategy =</span> strategy.st,
<span class="dt">name =</span> <span class="st">"MACD"</span>,
<span class="dt">arguments =</span> <span class="kw">list</span>(<span class="dt">x =</span> <span class="kw">quote</span>(<span class="kw">Cl</span>(mktdata))),
<span class="dt">label =</span> <span class="st">"osc"</span>)</code></pre></div>
<pre><code>## [1] "MACD.TS"</code></pre>
</div>
<div id="add-signals-3" class="section level2">
<h2><span class="header-section-number">10.3</span> Add Signals</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">add.signal</span>(<span class="dt">strategy =</span> strategy.st,
<span class="dt">name=</span><span class="st">"sigThreshold"</span>,
<span class="dt">arguments =</span> <span class="kw">list</span>(<span class="dt">column =</span><span class="st">"signal.osc"</span>,
<span class="dt">relationshipo =</span> <span class="st">"gt"</span>,
<span class="dt">threshold =</span> <span class="dv">0</span>,
<span class="dt">cross =</span> <span class="ot">TRUE</span>),
<span class="dt">label =</span> <span class="st">"signal.gt.zero"</span>)</code></pre></div>
<pre><code>## [1] "MACD.TS"</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">add.signal</span>(<span class="dt">strategy =</span> strategy.st,
<span class="dt">name=</span><span class="st">"sigThreshold"</span>,
<span class="dt">arguments =</span> <span class="kw">list</span>(<span class="dt">column =</span> <span class="st">"signal.osc"</span>,
<span class="dt">relationship =</span> <span class="st">"lt"</span>,
<span class="dt">threshold =</span> <span class="dv">0</span>,
<span class="dt">cross =</span> <span class="ot">TRUE</span>),
<span class="dt">label =</span> <span class="st">"signal.lt.zero"</span>)</code></pre></div>
<pre><code>## [1] "MACD.TS"</code></pre>
</div>
<div id="add-rules-3" class="section level2">
<h2><span class="header-section-number">10.4</span> Add Rules</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">add.rule</span>(<span class="dt">strategy =</span> strategy.st,
<span class="dt">name =</span> <span class="st">"ruleSignal"</span>,
<span class="dt">arguments =</span> <span class="kw">list</span>(<span class="dt">sigcol =</span> <span class="st">"signal.gt.zero"</span>,
<span class="dt">sigval =</span> <span class="ot">TRUE</span>,
<span class="dt">orderqty =</span> <span class="dv">100</span>,
<span class="dt">orderside =</span> <span class="st">"long"</span>,
<span class="dt">ordertype =</span> <span class="st">"market"</span>,
<span class="dt">osFUN =</span> <span class="st">"osFixedDollar"</span>,
<span class="dt">orderset =</span> <span class="st">"ocolong"</span>),
<span class="dt">type =</span> <span class="st">"enter"</span>,
<span class="dt">label =</span> <span class="st">"LE"</span>)</code></pre></div>
<pre><code>## [1] "MACD.TS"</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">add.rule</span>(<span class="dt">strategy =</span> strategy.st,
<span class="dt">name =</span> <span class="st">"ruleSignal"</span>,
<span class="dt">arguments =</span> <span class="kw">list</span>(<span class="dt">sigcol =</span> <span class="st">"signal.lt.zero"</span>,
<span class="dt">sigval =</span> <span class="ot">TRUE</span>,
<span class="dt">replace =</span> <span class="ot">TRUE</span>,
<span class="dt">orderside =</span> <span class="st">"long"</span>,
<span class="dt">ordertype =</span> <span class="st">"market"</span>,
<span class="dt">orderqty =</span> <span class="st">"all"</span>,
<span class="dt">orderset =</span> <span class="st">"ocolong"</span>),
<span class="dt">type =</span> <span class="st">"exit"</span>,
<span class="dt">label =</span> <span class="st">"LX"</span>)</code></pre></div>
<pre><code>## [1] "MACD.TS"</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">add.rule</span>(<span class="dt">strategy =</span> strategy.st,
<span class="dt">name =</span> <span class="st">"ruleSignal"</span>,
<span class="dt">arguments =</span> <span class="kw">list</span>(<span class="dt">sigcol =</span> <span class="st">"signal.gt.zero"</span>,
<span class="dt">sigval =</span> <span class="ot">TRUE</span>,
<span class="dt">replace =</span> <span class="ot">FALSE</span>,
<span class="dt">orderside =</span> <span class="st">"long"</span>,
<span class="dt">ordertype =</span> <span class="st">"stoptrailing"</span>,
<span class="dt">tmult =</span> <span class="ot">TRUE</span>,
<span class="dt">threshold =</span> <span class="kw">quote</span>(trailingStopPercent),
<span class="dt">orderqty =</span> <span class="st">"all"</span>,
<span class="dt">orderset =</span> <span class="st">"ocolong"</span>),
<span class="dt">type =</span> <span class="st">"chain"</span>,
<span class="dt">parent =</span> <span class="st">"LE"</span>,
<span class="dt">label =</span> <span class="st">"StopTrailingLong"</span>,
<span class="dt">enabled =</span> <span class="ot">FALSE</span>)</code></pre></div>
<pre><code>## [1] "MACD.TS"</code></pre>
</div>
<div id="enable-rules-2" class="section level2">
<h2><span class="header-section-number">10.5</span> Enable Rules</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">enable.rule</span>(strategy.st, <span class="dt">type =</span> <span class="st">"chain"</span>, <span class="dt">label =</span> <span class="st">"StopTrailingLong"</span>)</code></pre></div>
<pre><code>## [1] "MACD.TS"</code></pre>
</div>
<div id="save-strategy" class="section level2">
<h2><span class="header-section-number">10.6</span> Save Strategy</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">cwd <-<span class="st"> </span><span class="kw">getwd</span>()
<span class="kw">setwd</span>(<span class="st">"./_data/"</span>)
<span class="kw">save.strategy</span>(strategy.st)
<span class="kw">setwd</span>(cwd)</code></pre></div>
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