[Blotter-commits] r337 - pkg/quantstrat/man

[noreply at r-forge.r-project.org]

Author: braverock
Date: 2010-06-15 16:08:49 +0200 (Tue, 15 Jun 2010)
New Revision: 337

Added:
   pkg/quantstrat/man/stratBBands.Rd
Log:
- add a strategy definition object for BBands

Added: pkg/quantstrat/man/stratBBands.Rd
===================================================================
--- pkg/quantstrat/man/stratBBands.Rd	                        (rev 0)
+++ pkg/quantstrat/man/stratBBands.Rd	2010-06-15 14:08:49 UTC (rev 337)
@@ -0,0 +1,38 @@
+\name{stratBBands}
+\docType{data}
+\alias{stratBBands}
+\alias{BBands}
+\title{Bollinger Bands Strategy}
+\description{
+    Strategy object implementing a Bollinger Bands strategy.
+}
+\section{Indicators}{
+    This strategy uses only a single indicator, comprised of the TTR function \code{BBands}.
+    Parameters for this indicator include number of MA periods, and the size of the bands in standard deviations.
+}
+\section{Signals}{
+    The classic Bollinger Bands strategy depends on crossover events (signals) for the upper and lower band and the midpoint.
+    \describe{
+        \item{Cl.gt.UpperBand}{type \code{\link{sigCrossover}}, if the Close price is greater than the upper band value.}
+        \item{Cl.lt.LowerBand}{type \code{\link{sigCrossover}}, if the Close price is less than the lower band value.}
+        \item{Cross.mid}{type \code{\link{sigCrossover}}, if the price at any point crossed the midpoint moving average.}
+    }
+}
+\section{Rules}{
+    In this strategy, each signal has a corresponding entry or exit rule.  
+    \describe{
+        \item{enter}{\itemize{
+            \item type \code{\link{ruleSignal}}, enter a sell order at market on \code{Cl.gt.UpperBand} signal.
+            \item type \code{\link{ruleSignal}}, enter a buy order at market on \code{Cl.lt.LowerBand} signal.
+        }}
+        \item{exit}{\itemize{
+            \item type \code{\link{ruleSignal}}, enter a market order to close any open position at market on \code{Cross.mid} signal.
+        }}
+    }
+}
+\section{Notes}{
+    This strategy may be improved in practice by utilizing trailing entry or exit orders, or by using a different smoothing mechanism other than SMA.
+}
+\usage{data('stratBBands')}
+\keyword{datasets}
+\keyword{ ts } 
\ No newline at end of file