订单规模函数

R 中的金融交易

Ilya Kipnis

Professional Quantitative Analyst and R programmer

什么是规则？

add.rule(strategy.st, name = "ruleSignal", 
         arguments = list(sigcol = "filterexit", 
                          sigval = TRUE, orderqty = "all", 
                          ordertype = "market",
                          orderside = "long", 
                          replace = FALSE, prefer = "Open"),
         type = "exit")

当未使用 orderqty 时，指定买卖数量
相较于 orderqty 的固定数量，创建动态订单规模

什么是规则？

add.rule(strategy.st, name = "ruleSignal", 
         arguments = list(sigcol = "filterexit", 
                          sigval = TRUE, orderqty = "all", 
                          ordertype = "market",
                          orderside = "long",
                          replace = FALSE, prefer = Open", 
                          osFUN = ..., tradeSize = ..., 
                          maxSize = ...),
         type = "exit")

什么是规则？

add.rule(strategy.st, name = "ruleSignal", 
         arguments = list(sigcol = "filterexit", 
                          sigval = TRUE, 
                          ordertype = "market",
                          orderside = "long",
                          replace = FALSE, prefer = Open", 
                          osFUN = ..., tradeSize = ..., 
                          maxSize = ...),
         type = "exit")

订单规模函数与 ruleSignal 的同一参数列表中
类似于 apply()

开始练习！

R 中的金融交易