Usage
osDollarATR(orderside, tradeSize, pctATR,
maxPctATR = pctATR, data, timestamp, symbol,
prefer = "Open", portfolio, integerQty = TRUE,
atrMod = "", rebal = FALSE, ...)Arguments
tradeSize
a notional dollar amount for the trade
pctATR
a percentage of the tradeSize to order in
units of ATR. That is, if tradeSize is 10000 and pctATR
is .02, then the amount ordered will be 200 ATRs of the
security. If the last observed ATR is 2, then 100 units
of the security will be ordered.
maxPctATR
an upper limit to how many ATRs can be
held in a position; a risk limit
integerQty
an integer quantity of shares
atrMod
a string modifier in case of multiples of
this indicator being used. Will append to the term 'atr',
that is, atrMod of "X" will search for a term called
'atrX' in the column names of the mktdata xts object.
rebal
if TRUE, and current position exceeds ATR
boundaries, will automatically sell