[R] Getting previous day data and implementing it for quantstrat

[Joshua Ulrich]

Please don't cross-post: http://stackoverflow.com/q/31955979/271616

At minimum, tell people that you're cross-posting, so they don't spend
time answering a question that was answered on another forum they do
not follow.

On Tue, Aug 11, 2015 at 7:27 AM, boredstoog via R-help
<r-help at r-project.org> wrote:
> I am a newbie and trying to create my own bactesting code after going through
> demo(). I am using a *candle engulfing pattern* strategy and this is the
> formula
>
> buy=(close(1) < close) and (high(1) < high) and (low(1) < low)
> sell=(close(1) > close) and (high(1) > high) and (low(1) > low)
> **(1) represents previous day data*
>
> How should i get previous day data for close,high and open for the previous
> day?
> How should i add indicators,rules and signals to this strategy.
>
> This is my idea first create a signal using sig Formula and then add the
> rules like this
>
> BUYING
> #adding signal
>  strat1<-add.signal(strat1,
>      name="sigFormula",
>      arguments = list(columns=c("Close","High","Low"),
>                       formula = "(close(1) < close) and (high(1) < high) and
> (low(1) < low)",
>                       label="trigger",
>                       cross=TRUE),
>      label="Bullish engulfing")
> #adding rule
> strat1 <- add.rule(strat1, name="ruleSignal",
> arguments=list(sigcol="trigger", sigval=TRUE, orderqty=100,
> ordertype="market", orderside="long", pricemethod="market"), type="enter")
>
> is this correct!
>
> The biggest problem is how i get previous day data for close, high and low
>
>
>
>
>
> --
> View this message in context: http://r.789695.n4.nabble.com/Getting-previous-day-data-and-implementing-it-for-quantstrat-tp4710978.html
> Sent from the R help mailing list archive at Nabble.com.
>
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-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com