【发布时间】：2021-12-15 10:42:31
【问题描述】：
当特定订单价格高于或低于蜡烛收盘价时，我正在尝试设置止损订单以平仓。
我的规则函数如下：
add.rule(strategy = strategy.st, name = "ruleSignal",arguments =
list(sigcol = "lenter", sigval = TRUE,TxnFees="fee",replace = FALSE,
orderside = "long", TxnFees = "fee", ordertype = "stoplimit",
orderqty = "all", tmult = TRUE, order.price=quote(myprice),
orderset="ocolong", prefer="Close"), type = "chain", parent =
"longbuy", path.dep=TRUE, label = "stop_loss_long", enabled=TRUE)
我尝试更改 ruleOrderProc.R 源文件中的相关部分：
if ((orderQty > 0 && orderType != "stoplimit") ||
(orderQty < 0 && (orderType == "stoplimit"))) {
if ((has.Lo(mktdata) && orderPrice >
as.numeric(Lo(mktdataTimestamp)[,
1]))
到
if ((orderQty > 0 && orderType != "stoplimit") ||
(orderQty < 0 && (orderType == "stoplimit"))) {
if ((has.Cl(mktdata) && orderPrice >
as.numeric(Cl(mktdataTimestamp)[,
1]))
我还尝试在我的规则中添加“prefer”参数，但没有奏效。规则仍会根据柱的低/高价触发。
谢谢。
编辑最小可重现示例：
library(quantstrat)
start_date <- as.Date("2018-02-02")
end_date <- as.Date("2018-09-24")
init_date <- as.Date("2018-01-01")
init_equity <- "50000"
adjustment <- TRUE
symbol <- "AAPL"
getSymbols(symbol, src = "yahoo",
from = start_date, to=end_date,
adjust = adjustment)
portfolio.st <- "basic_port"
account.st <- "basic_account"
strategy.st <- "basic_strategy"
rm.strat(portfolio.st)
rm.strat(account.st)
stock(symbol, currency = currency("USD"), multiplier = 1)
initPortf(name = portfolio.st, symbols = symbol, initDate =init_date)
initAcct(name = account.st, portfolios = portfolio.st,
initDate = init_date, initEq =init_equity)
initOrders(portfolio.st, symbol, init_date)
strategy(strategy.st, store = TRUE)
add.indicator(strategy = strategy.st, name = "SMA",
arguments = list(x = quote(Cl(mktdata)), n=10),
label ="nFast")
add.indicator(strategy = strategy.st, name = "SMA",
arguments = list(x = quote(Cl(mktdata)), n=30),
label = "nSlow")
add.signal(strategy = strategy.st,
name= "sigCrossover",
arguments = list(columns = c("nFast", "nSlow"),
relationship = "gte"),
label = "longenter")
add.signal(strategy = strategy.st,
name= "sigCrossover",
arguments = list(columns = c("nFast",
"nSlow"),
relationship = "lt"),
label = "longexit")
#Add rules for entering positions
#enter long position
add.rule(strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "longenter",
sigval = TRUE,
orderqty = 100,
ordertype = "market",
orderside = "long",
orderset= "ocolong",
prefer = "Close",
TxnFees = -.8,
replace = FALSE),
type = "enter",
label = "EnterLong")
#stoploss long
add.rule(strategy = strategy.st,
name = "ruleSignal",
arguments = list(sigcol = "longenter",
sigval = TRUE,
TxnFees=-.8,
replace = FALSE,
orderside = "long",
ordertype = "stoplimit",
orderqty = "all",
tmult = TRUE,
prefer = "Close",
order.price=quote(as.numeric(mktdata$AAPL.Low[timestamp])),
orderset="ocolong"),
type = "chain", parent = "EnterLong",
path.dep=TRUE,
label = "stop_loss_long",
enabled=TRUE)
#Apply strategy
applyStrategy(strategy.st, portfolios = portfolio.st,debug = TRUE)
updatePortf(portfolio.st)
updateAcct(account.st)
updateEndEq(account.st)
当我们查看由止损规则关闭的最后一笔交易时，尽管我在我的 stoplimit 规则中添加了prefer="Close" 参数，但柱的“关闭”价格并不低于我的止损订单价格 47.13：
mktdata[, 1:4]["2018-07-30"]
AAPL.Open AAPL.High AAPL.Low AAPL.Close
2018-07-30 47.80733 47.88207 47.10231 47.31158
通常情况下，我希望在数据集结束之前不平仓。
sessionInfo()
R version 4.1.1 (2021-08-10)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 10 x64 (build 19044)
Matrix products: default
locale:
[1] LC_COLLATE=English_United States.1252
[2] LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C
[5] LC_TIME=English_United States.1252
system code page: 1254
attached base packages:
[1] stats graphics grDevices utils datasets methods
[7] base
other attached packages:
[1] quantstrat_0.16.9 foreach_1.5.1
[3] blotter_0.15.0 PerformanceAnalytics_2.0.6
[5] FinancialInstrument_1.3.0 quantmod_0.4.18
[7] TTR_0.24.2 xts_0.12.1.1
[9] zoo_1.8-9
loaded via a namespace (and not attached):
[1] magrittr_2.0.1 MASS_7.3-54 tidyselect_1.1.1
[4] lattice_0.20-44 R6_2.5.1 quadprog_1.5-8
[7] rlang_0.4.11 fansi_0.5.0 dplyr_1.0.7
[10] tools_4.1.1 grid_4.1.1 data.table_1.14.0
[13] utf8_1.2.2 DBI_1.1.1 iterators_1.0.13
[16] ellipsis_0.3.2 assertthat_0.2.1 tibble_3.1.4
[19] lifecycle_1.0.0 crayon_1.4.1 purrr_0.3.4
[22] codetools_0.2-18 vctrs_0.3.8 curl_4.3.2
[25] glue_1.4.2 compiler_4.1.1 pillar_1.6.2
[28] generics_0.1.0 boot_1.3-28 pkgconfig_2.0.3
【问题讨论】：
-
如果您仍然需要帮助解决这个问题，您能否提供一个包含至少一笔交易的最小可重现 qstrat 示例，解释您想要发生的事情？
-
你好@FXQuantTrader，我编辑了这个问题，你现在能帮忙吗？谢谢。
-
提出了一个我认为符合您要求的调整？
-
非常感谢@FXQuantTrader。我应该怎么做才能更改 rule.R 的源代码行？我应该通过“跟踪”功能吗？
-
也许与您修改 ruleOrderProc.R 代码的方式相同，不管那是什么？我会直接从github下载quantstrat（和blotter）包（包含R和src中的源代码），并直接修改rules.R和ruleOrderProc.R文件。然后重建 quantstrat 包（从源代码）。
标签： r quantstrat