create_regime_buckets: Convert Continuous Indicator to Discrete Regimes

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Convert Continuous Indicator to Discrete Regimes

Description

Transforms continuous indicators into discrete regime categories.

Usage

create_regime_buckets(
  indicator,
  breakpoints,
  labels = NULL,
  use_percentiles = FALSE
)

Arguments

indicator	Numeric vector or data frame with indicator values
breakpoints	Numeric vector of breakpoints
labels	Optional character vector of regime names
use_percentiles	Use percentiles instead of fixed breakpoints (default: FALSE)

Value

Integer vector of regime classifications

Examples

data("sample_prices_weekly")
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
selected <- filter_top_n(momentum, 10)
# Create VIX-like indicator from volatility
vol <- calc_rolling_volatility(sample_prices_weekly, lookback = 20)
vix_proxy <- vol$SPY * 100  # Scale to VIX-like values
regimes <- create_regime_buckets(vix_proxy, c(15, 25))

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.