Jasen Mackie
Jasen Mackie
Hi Simon, thanks. @braverock and the rest of the crew who made this code open source did the R and Trading community a massive service. To your specific question, the...
Looking forward to the report.
The short answer is no. You can of course divide the End.Equity and Max.Drawdown statistics by initEq. If you have a custom order sizing function which commits a fixed number...
If you are looking to audit the statistics, you can step through the code in debug mode of course, or use a combination of `perTradeStats` and `getTxns`. To audit the...
Yes, it would be for `blotter`. Thanks!
Please share link to R code? I cannot see it anywhere, nor the terms you mention...assuming you are referring to http://www.mlfactor.com/Data.html#the-triple-barrier-method
You probably want to create your own custom indicator. Referring to how indicators work in the demos should suffice. You can use ROC together with anyone of the rollsum functions...
Something like this: ```r require(quantstrat) require(blotter) symbols = c("SPY") for(symbol in symbols){ # establish trade-able instruments stock(symbol, currency="USD",multiplier=1) getSymbols(symbol,src='yahoo') } stratTrend
IMHO i dont think 5 signals is user friendly, and using sigFormula should be avoided where possible as it will be slower than the native signal functions. A custom indicator...
Well, with a custom indicator you can set `n` to your preferred value, even using a range of values in parameter optimizations. A custom indicator is the best practice imo....