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

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")

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

Let's practice!

Financial Trading in R