rulePctEquity | R Documentation |
This rule works with applyStrategy.rebalancing
to set the
maximum trade size by calling addPosLimit
.
rulePctEquity(
trade.percent = 0.02,
...,
longlevels = 1,
shortlevels = 1,
digits = NULL,
refprice = NULL,
portfolio,
account = NULL,
symbol,
timestamp
)
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 |
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 |
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.
osMaxPos
,
applyStrategy.rebalancing
,
addPosLimit
,
add.rule
# 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)
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