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R newbee q.
Started:October 28th, 2014 (04:03 PM) by giladbi Views / Replies:1,395 / 20
Last Reply:January 27th, 2015 (02:45 PM) Attachments:3

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R newbee q.

Old January 27th, 2015, 02:45 PM   #21 (permalink)
Trading Apprentice
Vilnius Lithuania
Futures Experience: Beginner
Platform: R
Favorite Futures: forex
Posts: 3 since Jan 2015
Thanks: 0 given, 0 received

Thanks for reply. I will try to look better at what PerformanceAnalytics has to offer. Anyways, after some long and painful searching and coding (correcting all those tiny details in code is really frustrating) I found that such function actually exits. It does what I want it to do, however, then the backtesting time greatly increases, so I think I will have to stick to osMaxDollar or anything simpler.

By the way, does any one of you know any efficient and convenient ways to evaluate risk management/asset allocation/ position sizing strategies?

Finally I attach my MA crossover rules for anyone else who is looking for a position sizing based on current equity.

add.rule(strategy.st, name='ruleSignal',
         arguments = list(sigcol="longEntry",
         type='enter', path.dep=TRUE)

add.rule(strategy.st, name='ruleSignal',
         arguments = list(sigcol="longExit",
         type='exit', path.dep=TRUE)

add.rule(strategy.st, 'rulePctEquity',

#Note that instead of applyStrategy(..) I use applyStrategy.rebalancing(...)
out <- applyStrategy.rebalancing(strategy = strategy.st, portfolios = portfolio.st)

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