如何在quantstrat中实现“以开盘价在下一栏买入”？
这是我用maCross.R示例进行的实验。
prefer='Open'stratMACROSS <- add.rule(strategy = stratMACROSS, name='ruleSignal',
arguments = list(sigcol="ma50.gt.ma200", sigval=TRUE, orderqty=100000, ordertype='market', orderside='long', prefer='Open'), type='enter')
stratMACROSS <- add.rule(strategy = stratMACROSS, name='ruleSignal',
arguments = list(sigcol="ma50.lt.ma200", sigval=TRUE, orderqty=-100000, ordertype='market', orderside='long', prefer='Open'), type='exit')
Open价格生成，但在下一个柱形Close处执行。> orders <- getOrderBook(portfolio.st)
> head(orders)
Order.Qty Order.Price Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime
2011-05-22 00:00:00 "0" NA "init" "long" "0" "closed" "2011-05-22"
2011-05-24 04:30:00 "1e+05" "1.61297" "market" "long" NA "closed" "2011-05-24 05:00:00"
2011-05-25 03:00:00 "-1e+05" "1.61523" "market" "long" NA "closed" "2011-05-25 03:30:00"
2011-05-25 05:00:00 "1e+05" "1.61537" "market" "long" NA "closed" "2011-05-25 05:30:00"
2011-05-30 09:30:00 "-1e+05" "1.64679" "market" "long" NA "closed" "2011-05-30 10:00:00"
> txns <- getTxns(Portfolio=portfolio.st, Symbol=fx.st[1])
> head(txns)
Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
2011-05-22 00:00:00 0e+00 0.00000 0 0 0.00000 0
2011-05-24 05:00:00 1e+05 1.61227 0 161227 1.61227 0
2011-05-25 03:30:00 -1e+05 1.61437 0 -161437 1.61437 210
2011-05-25 05:30:00 1e+05 1.61929 0 161929 1.61929 0
2011-05-30 10:00:00 -1e+05 1.64584 0 -164584 1.64584 2655
2011-05-30 19:30:00 1e+05 1.65046 0 165046 1.65046 0
Open价格为1.61523的订单于2011-05-25 03:00:00生成，但在Close价格为1.61437的交易在03:30:00生成市场数据如下所示。
Date Time Open High Low Close Up Down
5/24/2011 430 1.61297 1.6153 1.61288 1.61421 1804 1700
5/24/2011 500 1.61409 1.61445 1.61224 1.61227 1709 1662
5/25/2011 300 1.61523 1.61628 1.61318 1.6139 1526 1465
5/25/2011 330 1.61393 1.61541 1.61345 1.61437 1713 1583
最佳答案
使用maCross.R演示，如果您更改了applyStrategy行以包括prefer=Open这样
out<-try(applyStrategy(strategy=stratMACROSS , portfolios=portfolio.st, prefer='Open'))
您将在下一个栏的打开处得到执行。
> head(txns)
Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
1999-12-31 0e+00 0.000000 0 0.0 0.000000 0
2001-06-27 1e+05 11.863950 0 1186395.0 11.863950 0
2001-09-07 -1e+05 8.709491 0 -870949.1 8.709491 -315446
2002-01-07 1e+05 11.808210 0 1180821.0 11.808210 0
2002-07-10 -1e+05 8.814099 0 -881409.9 8.814099 -299411
2003-05-16 1e+05 9.255447 0 925544.7 9.255447 0
> head(AAPL['2001-06-26/'])
AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
2001-06-26 11.61595 11.82995 11.45171 11.82 9742200 11.82
2001-06-27 11.86395 11.94859 11.20180 11.62 13361800 11.62
2001-06-28 11.47604 11.90421 11.42127 11.72 12443200 11.72
2001-06-29 11.78421 12.50142 11.55510 11.58 18406800 11.58
2001-07-02 11.77054 12.06431 11.52159 11.90 8216000 11.90
2001-07-03 11.70569 12.03929 11.70071 11.87 4019400 11.87
并检查信号是否在执行栏之前在栏上发送
> .strategy$order_book.macross$macross$AAPL
Order.Qty Order.Price Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule
1999-12-31 "0" NA "init" "long" "0" "closed" "1999-12-31" "" "" "0" ""
2001-06-26 "1e+05" "11.6159494736842" "market" "long" NA "closed" "2001-06-27 00:00:00" "Open" NA "0" "ruleSignal.rule"
2001-09-06 "-1e+05" "9.15846501128668" "market" "long" NA "closed" "2001-09-07 00:00:00" "Open" NA "0" "ruleSignal.rule"
2002-01-04 "1e+05" "11.6158125791473" "market" "long" NA "closed" "2002-01-07 00:00:00" "Open" NA "0" "ruleSignal.rule"
2002-07-09 "-1e+05" "9.0088819167142" "market" "long" NA "closed" "2002-07-10 00:00:00" "Open" NA "0" "ruleSignal.rule"
2003-05-15 "1e+05" "9.25531233315537" "market" "long" NA "closed" "2003-05-16 00:00:00" "Open" NA "0" "ruleSignal.rule"
2006-06-21 "-1e+05" "57.4905184929139" "market" "long" NA "closed" "2006-06-22 00:00:00" "Open" NA "0" "ruleSignal.rule"
2006-09-25 "1e+05" "73.498195379538" "market" "long" NA "closed" "2006-09-26 00:00:00" "Open" NA "0" "ruleSignal.rule"
2008-03-06 "-1e+05" "124.074175969569" "market" "long" NA "closed" "2008-03-07 00:00:00" "Open" NA "0" "ruleSignal.rule"
2008-05-16 "1e+05" "189.299382795011" "market" "long" NA "closed" "2008-05-19 00:00:00" "Open" NA "0" "ruleSignal.rule"
2008-09-23 "-1e+05" "131.28867076632" "market" "long" NA "closed" "2008-09-24 00:00:00" "Open" NA "0" "ruleSignal.rule"
2009-05-13 "1e+05" "122.684122520713" "market" "long" NA "closed" "2009-05-14 00:00:00" "Open" NA "0" "ruleSignal.rule"
请注意，这不是应该使用
prefer的方式(至少不是如何记录它的方式)。另外，我不确定在触发信号的地方这是否或将如何改变。关于r - Quantstrat:在开放时购买下一个柱，我们在Stack Overflow上找到一个类似的问题：https://stackoverflow.com/questions/10698879/