Buy Low Sell High

Question

I've a data like this:

library("xts")
close <- c(0, -0.5, -0.75, -1, -0.75, -1.5, -2, -2.5, -3, -3.5, -3, -2.5, -2, -1, 0, 1, 1.5, 2, 2.5, 3, 2.5, 2, 0)
data <- xts(close, Sys.Date()-23:1)
colnames(data) <- "close"

I'd like to generate another column which will give me a trade signal based on the logic below:

Buy when the close is @ or below -1, -2 and -3.
Sell all the 3 when close is @ or above 0.
Short Sell when the close is @ or above 1, 2 and 3
Buy all the 3 when close is @ or below 0.

For this i've tried

data$trade <- 0
data$trade[data$close <= -1] <- 1
data$trade[data$close <= -2] <- 2
data$trade[data$close <= -3] <- 3
data$trade[data$close >= 1] <- -1
data$trade[data$close >= 2] <- -2
data$trade[data$close >= 3] <- -3

data trade column is giving me (0,0,0,1,0,1,2,2,,3,3,3,2,2,1,0,-1,-1,-2,-2,-3,-2,-2,0) but i want that it should give me ((0,0,0,1,1,1,2,2,3,3,3,3,3,3,0,-1,-1,-2,-2,-3,-3,-3,0) i want that when i buy @ say -1 or -2 the trade signal should be on till we reach 0 or above and similarly when we short sell it @ say -1, -2 etc the trade signal should be on till we reach 0 or below. Kindly help i've tried lots of combinations, but not getting the required result.

score 1 · Accepted Answer · answered Aug 27 '13 at 17:49

If I've understood correctly, this is hard to do efficiently because the choice depends upon the past. It's not elegant but this code gives the output you require,

library("xts")
close <- c(0, -0.5, -0.75, -1, -0.75, -1.5, -2, -2.5, -3, -3.5, -3, -2.5, -2, -1, 0, 1, 1.5, 2, 2.5, 3, 2.5, 2, 0)
data <- xts(close, Sys.Date()-23:1)
colnames(data) <- "close"

sig.buy <- c(F,F,F)
sig.short <- c(F,F,F)

for(i in 1:length(data))
{
    if(data$close[i] <= -1) sig.buy[1] <- T
    if(data$close[i] <= -2) sig.buy[2] <- T
    if(data$close[i] <= -3) sig.buy[3] <- T

    if(sig.buy[1] && data$close[i] >= 0) sig.buy[1] <- F
    if(sig.buy[2] && data$close[i] >= 0) sig.buy[2] <- F
    if(sig.buy[3] && data$close[i] >= 0) sig.buy[3] <- F

    if(data$close[i] >= 1) sig.short[1] <- T
    if(data$close[i] >= 2) sig.short[2] <- T
    if(data$close[i] >= 3) sig.short[3] <- T

    if(sig.short[1] && data$close[i] <= 0) sig.short[1] <- F
    if(sig.short[2] && data$close[i] <= 0) sig.short[2] <- F
    if(sig.short[3] && data$close[i] <= 0) sig.short[3] <- F

    data$trade[i] <- sum(sig.buy) - sum(sig.short)
}

i've a similar type of problem,please have a look into it. the link for that problem is http://stackoverflow.com/questions/18030620/calculate-sell-signal-based-on-current-open-position — Ashish Jalan, Aug 27 '13 at 18:05

Buy Low Sell High

1 Answers1