rulePctEquity: rule to base trade size on a percentage of available equity.

In braverock/quantstrat: Quantitative Strategy Model Framework

rule to base trade size on a percentage of available equity.

Description

This rule works with applyStrategy.rebalancing to set the maximum trade size by calling addPosLimit.

Usage

rulePctEquity(
  trade.percent = 0.02,
  ...,
  longlevels = 1,
  shortlevels = 1,
  digits = NULL,
  refprice = NULL,
  portfolio,
  account = NULL,
  symbol,
  timestamp
)

Arguments

trade.percent	max percentage of equity to allow the strategy to trade in this symbol
...	any other passthrough parameters
longlevels	numeric number of levels
shortlevels	numeric number of short levels, default longlevels
digits	if not NULL(the default), will call round with specified number of digits
refprice	if not NULL(the default), will divide the calculated trade size by the reference price
portfolio	text name of the portfolio to place orders in, typically set automatically
account	text name of the account to fetch initial equity from, defaults to initEq in the search path
symbol	identifier of the instrument to cancel orders for, typically set automatically
timestamp	timestamp coercible to POSIXct that will be the time the order will be inserted on, typically set automatically

Details

To use it, you need to specify it as (part of) a rule of type 'rebalance'. note that applyStrategy.rebalancing will expect a 'rebalance_on' argument to be included in the arguments=list(...) of the rule definition.

See Also

osMaxPos , applyStrategy.rebalancing, addPosLimit, add.rule

Examples

# example rule definition
## Not run: 
add.rule(strategy.name, 'rulePctEquity',
        arguments=list(rebalance_on='months',
                       trade.percent=.02,
                       refprice=quote(last(getPrice(mktdata)[paste('::',curIndex,sep='')])[,1]),
                       digits=0
        ),
        type='rebalance',
        label='rebalance')

## End(Not run)

braverock/quantstrat documentation built on Sept. 15, 2023, 11:32 a.m.