sigFormula

Financial Trading in R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

About sigFormula

  • Catch-all signal allowing for combinations of signals

  • Uses string evaluation

  • Example:

    • ONLY act upon oscillator signaling if favorable market environment (50-day SMA above 200-day SMA)
    • make sure to buy a temporary pullback, not a large decline
Financial Trading in R

Structure

add.signal(strategy.st, name = "sigFormula",
           arguments = list(formula = 
                            "statement1 & statement2”,
                             cross = TRUE), 
           label = "yourlabel")
  • Base R: if( statement 1 and statement 2)
add.signal(strategy.st, name = "sigFormula",
           arguments = list(formula = "regular logical 
                            statement inside an if 
                            statement", cross = TRUE),
            label = "yourlabel")
Financial Trading in R

Example

add.signal(strategy.st, name = “sigFormula",
           arguments = list(formula = "longthreshold & 
                            longfilter", cross = TRUE),
           label = "longentry")
  • make sure that the columns in the logical statement are in the strategy prior to the sigFormula signal call
Financial Trading in R

Let's practice!

Financial Trading in R

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