braverock / braverock/quantstrat

InitDate and StartDate

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Dominant language
R
Stars
310
Forks
121
PR merge metrics
No merged PRs in 30d

Description

I have an issue when running a trading strategy where the indicator and signal function are positive from the beginning i.e. the indicator indicates that i should be Long, since the beginning of my dataset

However, when running apply strategy, it does not trade at all.

Here's what I did
1. I checked all other issues for this GitHub repo, but could not find a similar question.
2. I checked stack overflow for such quantstrat issues, but have not found one.
3. I ensure that initDate is one day earlier than the first date in my mktdata e.g. if my dataset starts at 2020-01-01, my initDate is 2019-12-31

I believe this issue does not need a minimum reproducible example, as it could be some undocumented update to the package.
But I'll provide one when needed.

Thanks

Contributor guide

Open the contributing guide

Research direction

Start with the apply strategy call and compare InitDate, StartDate, and the first date in mktdata, using the reported case where the indicator and signal are positive from the beginning. Reproduce the missing trade behavior with a minimal strategy example, then confirm the expected initialization and entry behavior before documenting or correcting it.

Written by the indexing model from the issue text.

Assessment

Tech stack
r
Domain
fintech-quant
Issue type
Bug
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
35/100

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