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R Backtesting and Optimization: Quantstrat
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R Backtesting and Optimization: Quantstrat

  #11 (permalink)
Trading Apprentice
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Full sample of intraday

Hello There!

1)I have been trying to figure out a intraday sample csv within a quantstrat code, can you post a code like that?

2)i.e : How to look in past conditions to trade today?

Lets say:

If yesterday close is lower than today's open, buy.


Last edited by alsilva86; February 8th, 2015 at 09:02 PM.
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  #12 (permalink)
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Exit at and of the day

Does anyone knows in quantstrat how to exit in end of the day with intraday data?

The bad part about quantstrat is that their support is awful...

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  #13 (permalink)
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alsilva86 View Post
Does anyone knows in quantstrat how to exit in end of the day with intraday data?

The bad part about quantstrat is that their support is awful...

One way to do it would be to create a non-crossover intraday signal (aka have it remain true so long as the condition is true), and define one other signal that's a crossover at a specific time in the day, and combine those two signals to generate a composite end-of-day signal.

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  #14 (permalink)
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Thanks for the answer

Hey there, finally a light after all can you skype me? alosilva86 I truly can't see things the way u suggested, quantstrat authors says in a very bad attitude (uncommon behaviour nowadays even being opensource project) that quantstrat is not designed for intraday trading..

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  #15 (permalink)
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alsilva86 View Post
Hey there, finally a light after all can you skype me? alosilva86 I truly can't see things the way u suggested, quantstrat authors says in a very bad attitude (uncommon behaviour nowadays even being opensource project) that quantstrat is not designed for intraday trading..

I'll generally defer to the authors of the quantstrat package if that's what they say. I've never done intraday trading with it myself as I don't have access to that sort of data.

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  #16 (permalink)
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IlyaKipnis View Post
I'll generally defer to the authors of the quantstrat package if that's what they say. I've never done intraday trading with it myself as I don't have access to that sort of data.

IQFeed is easily incorporated into R and has many years of minute and tick data, plus 500 symbol real time. It's cheap. Cheaper for futures.io (formerly BMT) elite.

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  #17 (permalink)
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Thx


Big Mike View Post
IQFeed is easily incorporated into R and has many years of minute and tick data, plus 500 symbol real time. It's cheap. Cheaper for futures.io (formerly BMT) elite.

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Thx for the Tip Mike, actually brazilian stock exchange have FREE tick data in their site.

I wanted to know about how set an exit rule using quantstrat, so I would exit my positions everytime market is about to close

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