sigThreshold

R 中的金融交易

Ilya Kipnis

Professional Quantitative Analyst and R programmer

关于 sigThreshold

处理有界指标与临界（通常固定）值的交互
示例：
- 当 DVO 跌破 20
- 具有运行概率值（0 到 1 之间）的指标
- 以 0 为中心的滚动比率

结构

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

cross = TRUE 模拟 sigCrossover
cross = FALSE 模拟 sigComparison

示例

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")

示例

让我们来练习！

R 中的金融交易