sigComparison en sigCrossover

Financieel traden in R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

Trendanalyse-indicatoren

sigCrossover en sigComparison
Vergelijken allebei twee variabele grootheden
Voorbeeld:
- MA met kortere lookback kruist MA met langere lookback (SMA 50 dagen vs. 200 dagen)

Structuur

add.signal(strategy.st, name = "sigComparison",
           arguments = list(columns = c("str1", "str2"),
                            relationship = "lt" ),
           label = "siglabel")
add.signal(strategy.st, name = "sigCrossover",
           arguments = list(columns = c( "str1", "str2"), 
                            relationship = "eq"),
           label = "siglabel")

“gt”, “lt”, “eq”, “lte”, “gte”

Structuur

add.signal(strategy.st, name = "sigCrossover",
           arguments = list(columns = c("SMA50", "SMA200"), 
                            relationship = "gt"),
           label = "longfilter")

add.signal(strategy.st, name = "sigComparison",
           arguments = list(columns = c("SMA50", "SMA200",
                            relationship = "lt" ), 
           label = "filterexit")

Voorbeelden

Laten we oefenen!

Financieel traden in R