trading.signals: Discretize a set of values into a set of trading signals

In DMwR: Functions and data for "Data Mining with R"

Description

This function transforms a set of numeric values into a set of trading signals according to two thresholds: one that establishes the limit above which any value will be transformed into a buy signal ('b'), and the other that sets the value below which we have a sell signal ('s'). Between the two thresholds we will have a hold signal ('h').

Usage

trading.signals(vs, b.t, s.t)

Arguments

vs	A vector with numeric values
b.t	A number representing the buy threshold
s.t	A number representing the sell threshold

Value

A factor with three possible values 'b' (buy), 's' (sell) or 'h' (hold)

Author(s)

Luis Torgo [e-mail]

References

Torgo, L. (2010) Data Mining using R: learning with case studies, CRC Press (ISBN: 9781439810187).

http://www.dcc.fc.up.pt/~ltorgo/DataMiningWithR

See Also

trading.signals, tradingEvaluation, trading.simulator

Examples

trading.signals(rnorm(sd=0.5,100),b.t=0.1,s.t=-0.12)

Example output

Loading required package: lattice
Loading required package: grid
  [1] s h s s b h s h s h s h h s s s s s s h s b s h s b h b b b b b s b s h b
 [38] s h b b b h s s b b b b b s s b s h b b s s s b b h s s b b b s b s s b s
 [75] s b b b s b s b s h s b h b h h b h s h h s b b s s
Levels: s h b

DMwR documentation built on May 1, 2019, 9:17 p.m.