Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Add Turtles Trading System to quantstrat demos #119

Open
jaymon0703 opened this issue May 31, 2020 · 0 comments
Open

Add Turtles Trading System to quantstrat demos #119

jaymon0703 opened this issue May 31, 2020 · 0 comments
Assignees
@jaymon0703
Labels
enhancement help wanted

Comments

@jaymon0703
Copy link
Collaborator

jaymon0703 commented May 31, 2020 •
edited
Loading

Josh Ulrich and Peter Carl wrote a Turtle demo script in blotter - https://github.com/braverock/blotter/blob/master/demo/turtles.R. This item is to get the system, which will possibly vary slightly to theirs, into quantstrat. This will simplify optimizing the system for different paramset combinations for the horizons, allow us to perform WFA, and assess performance using the range of backtest overfitting and signal analysis code available in quantstrat.
@jaymon0703 jaymon0703 self-assigned this May 31, 2020
jaymon0703 added a commit that referenced this issue May 31, 2020
@jaymon0703
Add first draft of Turtles demo to quantstrat
bdce3fe 
See #119

FYI @JustinMShea
@jaymon0703 jaymon0703 mentioned this issue May 31, 2020
Closed
jaymon0703 added a commit that referenced this issue Jul 13, 2020
@jaymon0703
Add OrdQty function, portfolio params
f0dc89a 
See #119
jaymon0703 added a commit that referenced this issue Jul 13, 2020
@jaymon0703
Add turtles_quantstrat to 00Index file
3934911 
See #119
jaymon0703 added a commit that referenced this issue Jul 14, 2020
@jaymon0703
Update Turtles demo with order size function, exits
314ba75 
Still TODO: Stops. Also, not going to be easy adding Units so may just use blotter for the complete strategy.

See #119
jaymon0703 added a commit that referenced this issue Jul 14, 2020
@jaymon0703
Add Trade Stats & a comparison with SPY B&H
c4c2fd1 
See #119
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees

@jaymon0703 jaymon0703

Labels
enhancement help wanted
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
1 participant
@jaymon0703