roll_sd_filter: Rolling Filter
In QuantTools: Enhanced Quantitative Trading Modelling
Description
Logical vector is returned. This function is useful to filter ticks. Finds consequent elements which absolute change is higher than k standard deviation of past n changes and mark them FALSE. If sequence length greater than m values become TRUE.
Usage
1
roll_sd_filter(x, n, k = 1, m = 10L)
Arguments
x
numeric vector
n
window size
k
number of standard deviations
m
number of consequent large returns to stop filtering out
QuantTools documentation built on Oct. 23, 2020, 7:54 p.m.
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Description
Logical vector is returned. This function is useful to filter ticks. Finds consequent elements which absolute change is higher than k standard deviation of past n changes and mark them FALSE. If sequence length greater than m values become TRUE.
Usage
1 | roll_sd_filter(x, n, k = 1, m = 10L)
|
Arguments
x |
numeric vector |
n |
window size |
k |
number of standard deviations |
m |
number of consequent large returns to stop filtering out |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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