sigComparison 和 sigCrossover

R 中的金融交易

Ilya Kipnis

Professional Quantitative Analyst and R programmer

趋势指标

sigCrossover 与 sigComparison
均比较两个变量序列
例如：
- 短期回看均线上穿长期回看均线（50日 vs 200日 SMA）

结构

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"

结构

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")

示例

让我们练习！

R 中的金融交易