sigThreshold

Financial Trading in R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

About sigThreshold

deals with bounded indicators interacting with critical (and usually fixed) values
Examples:
- when the DVO crosses under 20
- on indicator with running probability value (between 0 and 1)
- on rolling ratio’s that center on 0

Structure

add.signal(strategy.st, name = “sigThreshold",
           arguments = list(column = "str1",   
                             threshold = 20,
                             cross = TRUE,
                             relationship = "lt" ),
           label = "siglabel")

cross = TRUE mimics sigCrossover
cross = FALSE mimics sigComparison

Examples

add.signal(strategy.st, name = “sigThreshold",
           arguments = list(column = "DVO_2_126",   
                            threshold = 20,
                            cross = FALSE,
                             relationship = “lt"),
           label = "thresholdfilter")

add.signal(strategy.st, name = “sigThreshold",
           arguments = list(column = "DVO_2_126",   
                            threshold = 80,
                            cross = TRUE,
                            relationship = "gt"),
           label = "thresholdfilter")

Examples

Let's practice!

Financial Trading in R