sigComparison と sigCrossover

Rで学ぶ金融トレーディング

Ilya Kipnis

Professional Quantitative Analyst and R programmer

トレンド指標

sigCrossover と sigComparison
いずれも2つの変数量を比較
例:
- 短期MAが長期MAを上抜け（50日対200日SMA）

構造

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”

構造

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")

例

Let's practice!

Rで学ぶ金融トレーディング