Introduction to signals

Financial Trading in R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

What are signals?

Signals are the interactions of:
- Market data with indicators
- Indicators with other indicators
Examples:
- 50-day MA crossing over 200-day MA
- Oscillator crosses under 20
Signal is necessary (but not sufficient) for buy/sell order

Using add.signal()

Very similar to the process for creating indicators
Only a few signal functions

add.signal(strategy.st, name = “function",
           arguments = list(arguments), label = "label")

Again, similar to apply family

Four types of signals

sigComparison : Relationship between two indicators, returns 1 if relationship is true
sigCrossover: Similar to sigComparison, returns 1 on the first occurrence
sigThreshold: Compares range-bound indicator to a static quantity
sigFormula: Flexible signal function

Examples

Examples

Let's practice!

Financial Trading in R

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