tmp/CCIpullback.R

In rengelke/quantTraiding_trato: Trading Strategies Development Tool Kit

nCCI1 = 75; nCCI2 = 28; SL = 0.05; TS = 0.10

CCIpullback_SL_TS <- initiateStrategy("CCIpullback_SL_TS") %>%

  addRule(.,
          list(category = "condition",
               indicator = TTR::CCI,
               arguments = list(n = nCCI1, maType = "SMA", c = 0.015),
               type = "on-off",
               on = 100,
               off = -100)
  ) %>%

  addRule(.,
          list(category = "condition",
               indicator = TTR::CCI,
               arguments = list(n = nCCI2, maType = "SMA", c = 0.015),
               type = "on-off",
               on = -100,
               off = 100)
  ) %>%

  addRule(.,
          list(category = "buy_signal",
               indicator = TTR::CCI,
               arguments = list(n = nCCI2, maType = "SMA", c = 0.015),
               type = "cross-up",
               on = 0,
               lag = 1)
  ) %>%

  # addRule(.,
  #         list(category = "buy_condition",
  #              valid = 3,
  #              condition = '>Cl',
  #              spread = "spread")
  # ) %>%

  addRule(.,
          list(category = "stop_loss",
               stop_limit = list(type = "percent", level = SL),        #last, "support"
               stop_trailing = list(type = "percent", level = TS)#,    #second-last, "support"
               #stop_support = list(type = "support", thresh = SSL_thresh)
               # stop_time = 50,
               # stop_indicator = list(indicator = TTR::SMA,
               #                       arguments = list(n = 150),
               #                       type = "cross-down",
               #                       on = -100),
               # take_profit = list(type = "percent", level = 0.15)
          )
  )