getSignals: Get trading signals from 'Strategy'-object

Description Usage Arguments Examples

Description

Gets the trading signals of an object of class Strategy that were output from strategy calculation.

Usage

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getSignals(object, from = NULL, until = NULL, which = NULL,
  use.backtest = FALSE)

## S4 method for signature 'Strategy'
getSignals(object, from = NULL, until = NULL,
  which = NULL, use.backtest = FALSE)

Arguments

object

An object of class Strategy.

from

The date in character format "yyyy-MM-dd" or as date-object from which signals shall be returned. If NULL, no restriction is made.

until

The date in character format "yyyy-MM-dd" or as date-object until which signals shall be returned. If NULL, no restriction is made.

which

Names or column-number of assets that should be returned. If NULL, all signals are returned.

use.backtest

If set to TRUE, the signals of the backtest are returned. Requires backtest to be executed first.

Examples

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##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get signals from MA(200)-Strategy
# all signals returned
getSignals(myStrat.MA)
# backtest signals for first two assets returned
# getSignals(myStrat.MA, which=c(1,2), use.backtest=TRUE)

##End(Not run)

Example output

           asset1 asset2 asset3 asset4 asset5 asset6 asset7 asset8 asset9
2014-09-29     -1      1     -1      1      1     -1     -1     -1      1
2014-09-30      1      1     -1      1      1     -1     -1     -1      1
2014-10-01      1      1     -1      1      1     -1     -1     -1      1
2014-10-02      1      1     -1      1      1     -1     -1     -1     -1
2014-10-03      1      1      1      1      1     -1     -1     -1     -1
2014-10-04      1      1      1      1      1     -1     -1     -1     -1
2014-10-05      1      1      1      1      1     -1      1     -1     -1
2014-10-06      1      1      1      1      1     -1      1     -1      1
2014-10-07      1      1      1      1      1     -1     -1     -1      1
2014-10-08      1      1      1      1      1     -1      1     -1     -1
2014-10-09      1      1      1      1      1     -1      1     -1      1
2014-10-10      1      1      1      1      1     -1      1     -1      1
2014-10-11      1      1      1      1      1     -1      1     -1      1
2014-10-12      1      1      1      1      1     -1      1     -1      1
2014-10-13      1      1      1      1      1     -1      1     -1      1
2014-10-14      1      1      1      1      1     -1      1     -1      1
2014-10-15      1      1      1      1      1     -1     -1     -1     -1
2014-10-16      1      1      1      1      1     -1     -1     -1     -1
2014-10-17      1      1      1      1     -1     -1     -1     -1     -1
2014-10-18      1      1      1      1      1     -1     -1     -1     -1
2014-10-19      1      1      1      1      1     -1     -1     -1     -1
2014-10-20      1      1      1      1      1     -1     -1      1     -1
2014-10-21      1      1      1      1      1     -1     -1      1     -1
2014-10-22      1      1      1      1      1     -1     -1      1     -1
2014-10-23      1      1      1      1      1     -1      1      1     -1
2014-10-24      1      1      1      1      1     -1      1      1     -1
2014-10-25      1      1      1      1      1     -1      1      1     -1
2014-10-26      1      1      1      1      1     -1      1      1     -1
2014-10-27      1      1      1      1      1     -1     -1      1     -1
2014-10-28      1     -1      1      1      1     -1     -1      1     -1
2014-10-29      1     -1      1      1      1     -1     -1      1     -1
2014-10-30     -1      1      1      1      1     -1      1      1     -1
2014-10-31     -1     -1      1      1      1     -1      1      1     -1
2014-11-01     -1     -1      1      1      1     -1      1      1     -1
2014-11-02     -1     -1      1      1      1     -1      1      1     -1
2014-11-03     -1      1      1      1      1     -1      1      1     -1
2014-11-04     -1     -1      1      1      1     -1      1      1     -1
2014-11-05     -1     -1      1      1      1     -1      1      1     -1
2014-11-06     -1     -1      1      1      1     -1     -1      1     -1
2014-11-07     -1     -1      1      1      1     -1     -1      1      1
2014-11-08     -1      1      1      1      1      1     -1      1     -1
2014-11-09     -1      1      1      1      1     -1      1      1      1
2014-11-10     -1     -1      1      1      1     -1      1      1      1
2014-11-11     -1      1      1      1      1     -1      1      1      1
2014-11-12     -1      1      1      1      1     -1      1      1      1
2014-11-13     -1      1      1      1      1     -1      1      1     -1
2014-11-14     -1      1      1      1      1     -1      1      1      1
2014-11-15     -1      1     -1      1      1     -1      1      1     -1
2014-11-16     -1      1     -1      1      1     -1      1      1     -1
2014-11-17     -1      1     -1      1     -1     -1      1      1     -1
2014-11-18     -1      1      1      1     -1     -1      1      1      1
2014-11-19     -1      1     -1      1     -1      1      1      1     -1
2014-11-20     -1      1     -1      1      1      1      1      1     -1
2014-11-21     -1     -1      1      1     -1     -1     -1      1     -1
2014-11-22     -1     -1      1      1     -1      1     -1      1     -1
2014-11-23     -1     -1      1      1     -1     -1     -1      1     -1
2014-11-24     -1     -1      1      1     -1     -1     -1      1      1
2014-11-25     -1     -1      1      1     -1      1     -1      1      1
2014-11-26     -1     -1      1      1     -1      1      1      1      1
2014-11-27     -1     -1      1      1     -1      1      1      1      1
2014-11-28     -1     -1      1      1     -1      1      1      1      1
2014-11-29     -1     -1     -1      1     -1      1      1      1      1
2014-11-30     -1      1      1      1      1      1      1      1      1
2014-12-01     -1      1     -1      1      1      1      1      1     -1
2014-12-02     -1      1     -1      1      1      1      1      1      1
2014-12-03      1      1     -1      1      1      1      1      1     -1
2014-12-04      1      1     -1      1      1      1      1      1      1
2014-12-05     -1      1     -1      1      1      1      1      1      1
2014-12-06     -1      1     -1      1      1      1      1      1      1
2014-12-07     -1      1     -1      1      1      1      1      1      1
2014-12-08     -1      1     -1      1      1      1      1      1      1
2014-12-09     -1      1     -1      1      1      1      1      1      1
2014-12-10     -1     -1     -1      1      1      1      1     -1      1
2014-12-11     -1     -1     -1      1      1      1      1      1     -1
2014-12-12     -1     -1      1      1      1      1      1      1     -1
2014-12-13     -1     -1      1      1      1      1      1      1     -1
2014-12-14      1     -1      1      1      1      1      1      1     -1
2014-12-15     -1     -1      1      1      1     -1      1      1     -1
2014-12-16     -1     -1      1      1      1     -1      1      1     -1
2014-12-17     -1     -1      1      1      1     -1      1      1     -1
2014-12-18     -1     -1      1      1      1     -1      1      1     -1
2014-12-19     -1     -1      1      1      1     -1      1      1     -1
2014-12-20     -1     -1      1      1      1     -1      1      1      1
2014-12-21      1     -1      1      1      1     -1      1      1      1
2014-12-22     -1     -1      1      1      1     -1      1      1     -1
2014-12-23     -1     -1      1      1      1     -1      1      1     -1
2014-12-24     -1     -1      1      1      1     -1      1      1     -1
2014-12-25     -1     -1      1      1      1     -1      1      1     -1
2014-12-26     -1     -1      1      1      1     -1      1      1      1
2014-12-27     -1     -1     -1      1      1     -1      1      1      1
2014-12-28     -1     -1     -1      1      1     -1      1      1      1
2014-12-29     -1     -1     -1      1      1     -1      1      1     -1
2014-12-30     -1     -1      1      1      1     -1      1      1     -1
2014-12-31     -1     -1      1      1      1     -1      1      1     -1
2015-01-01     -1     -1      1      1      1     -1      1      1     -1
2015-01-02      1     -1      1      1      1     -1      1      1     -1
2015-01-03      1     -1     -1      1      1     -1      1      1     -1
2015-01-04      1     -1     -1      1      1     -1      1      1     -1
2015-01-05      1     -1      1      1      1     -1      1      1     -1
2015-01-06      1     -1      1      1      1     -1      1      1     -1
2015-01-07      1     -1      1      1      1     -1      1      1     -1
2015-01-08      1     -1      1      1      1     -1      1      1     -1
2015-01-09      1     -1      1      1      1     -1      1      1     -1
2015-01-10      1     -1      1      1      1     -1      1      1     -1
2015-01-11      1     -1      1      1      1     -1      1      1     -1
2015-01-12      1     -1      1      1      1     -1      1      1     -1
2015-01-13      1     -1      1      1      1     -1      1      1     -1
2015-01-14      1     -1     -1      1      1     -1      1      1     -1
2015-01-15      1     -1     -1      1      1     -1      1      1      1
2015-01-16      1     -1      1      1      1     -1     -1      1     -1
2015-01-17      1     -1     -1      1      1     -1     -1      1     -1
2015-01-18      1     -1     -1      1      1     -1      1      1     -1
2015-01-19      1     -1     -1      1      1     -1      1      1     -1
2015-01-20      1     -1     -1      1      1     -1      1      1     -1
2015-01-21      1     -1     -1      1     -1     -1      1      1      1
2015-01-22      1     -1     -1      1     -1     -1      1      1     -1
2015-01-23      1     -1     -1      1      1     -1      1      1      1
2015-01-24      1     -1     -1      1     -1     -1      1      1     -1
2015-01-25      1     -1     -1      1      1     -1      1      1     -1
2015-01-26      1     -1     -1      1     -1     -1      1      1     -1
2015-01-27      1     -1     -1      1     -1     -1      1      1     -1
2015-01-28      1     -1     -1      1     -1     -1     -1      1     -1
2015-01-29      1     -1     -1      1     -1     -1      1      1     -1
2015-01-30      1     -1     -1      1     -1     -1      1      1      1
2015-01-31      1     -1     -1      1     -1     -1      1      1      1
2015-02-01      1     -1     -1      1     -1     -1      1      1      1
2015-02-02      1     -1     -1      1     -1     -1      1      1      1
2015-02-03      1     -1     -1      1     -1     -1     -1      1      1
2015-02-04      1     -1     -1      1     -1     -1      1      1      1
2015-02-05      1     -1     -1      1      1     -1      1      1      1
2015-02-06      1     -1     -1      1      1     -1      1      1      1
2015-02-07      1     -1     -1      1      1     -1      1      1      1
2015-02-08      1     -1     -1      1      1     -1      1      1      1
2015-02-09      1     -1     -1      1      1     -1      1      1      1
2015-02-10      1     -1     -1      1      1     -1      1      1      1
2015-02-11      1     -1     -1      1      1     -1      1      1      1
2015-02-12      1     -1     -1      1      1     -1      1      1      1
2015-02-13      1     -1     -1      1      1     -1      1      1      1
2015-02-14      1     -1     -1      1      1     -1      1      1      1
2015-02-15      1     -1     -1      1      1     -1      1      1      1
2015-02-16      1     -1     -1      1      1     -1      1      1      1
2015-02-17      1     -1     -1      1      1     -1      1      1      1
2015-02-18      1     -1     -1      1      1     -1      1      1      1
2015-02-19      1     -1     -1      1      1     -1      1      1      1
2015-02-20      1     -1     -1      1      1     -1      1      1      1
2015-02-21      1     -1     -1      1     -1     -1      1      1      1
2015-02-22      1     -1     -1      1      1     -1      1      1      1
2015-02-23      1     -1     -1      1     -1     -1      1      1      1
2015-02-24      1     -1     -1      1      1     -1      1      1      1
2015-02-25      1     -1     -1      1      1     -1      1      1      1
2015-02-26      1     -1     -1      1      1     -1      1      1      1
2015-02-27      1     -1     -1      1     -1     -1      1      1      1
2015-02-28      1     -1     -1      1     -1     -1      1      1      1
2015-03-01      1     -1     -1      1      1     -1      1      1      1
2015-03-02      1     -1     -1      1     -1     -1      1      1      1
2015-03-03      1     -1     -1      1     -1     -1      1      1      1
2015-03-04      1     -1     -1      1     -1     -1      1      1      1
2015-03-05      1     -1     -1      1     -1     -1      1      1      1
2015-03-06      1     -1     -1      1     -1     -1      1      1      1
2015-03-07      1     -1     -1      1     -1     -1      1      1      1
2015-03-08      1     -1     -1      1     -1     -1      1      1      1
2015-03-09      1     -1     -1      1     -1     -1      1      1      1
2015-03-10      1     -1     -1      1     -1     -1      1      1      1
2015-03-11      1     -1     -1      1     -1     -1      1      1      1
2015-03-12      1     -1     -1      1     -1     -1      1      1      1
2015-03-13      1     -1     -1      1     -1     -1      1      1      1
2015-03-14      1     -1     -1      1     -1     -1      1      1      1
2015-03-15      1     -1     -1      1     -1     -1      1      1      1
2015-03-16      1      1     -1      1     -1     -1      1      1      1
2015-03-17      1      1     -1      1     -1     -1      1      1      1
2015-03-18      1      1     -1      1     -1     -1      1      1      1
2015-03-19      1      1     -1      1     -1     -1      1      1      1
2015-03-20      1      1     -1      1     -1     -1      1      1      1
2015-03-21      1      1     -1      1     -1     -1      1      1      1
2015-03-22      1      1     -1      1     -1     -1      1      1      1
2015-03-23      1     -1     -1      1     -1     -1      1      1      1
2015-03-24      1     -1     -1      1     -1     -1      1      1      1
2015-03-25      1     -1     -1      1     -1     -1      1      1      1
2015-03-26      1     -1     -1      1     -1     -1      1      1      1
2015-03-27      1     -1     -1      1     -1     -1      1      1      1
2015-03-28      1     -1     -1      1     -1     -1      1      1      1
2015-03-29      1     -1     -1      1     -1     -1      1      1      1
2015-03-30      1     -1     -1      1     -1     -1      1      1      1
2015-03-31      1      1     -1      1     -1      1      1      1      1
2015-04-01      1      1     -1      1     -1     -1      1      1      1
2015-04-02      1      1     -1      1     -1     -1      1      1      1
2015-04-03      1      1     -1      1     -1     -1      1      1      1
2015-04-04      1      1     -1      1      1     -1      1      1      1
2015-04-05      1      1     -1      1     -1     -1      1      1      1
2015-04-06      1      1     -1      1     -1     -1      1     -1      1
2015-04-07      1      1     -1      1     -1     -1      1     -1      1
2015-04-08      1      1     -1      1     -1     -1      1     -1      1
2015-04-09      1      1     -1      1     -1     -1      1     -1      1
2015-04-10      1      1     -1      1     -1     -1      1     -1      1
2015-04-11      1      1     -1      1     -1      1      1     -1      1
2015-04-12      1      1     -1      1     -1     -1      1     -1      1
2015-04-13      1      1     -1      1     -1      1      1     -1      1
2015-04-14      1      1     -1      1     -1      1      1     -1      1
2015-04-15      1      1     -1      1     -1      1      1     -1      1
2015-04-16      1      1     -1      1     -1      1      1     -1      1
2015-04-17      1      1     -1      1     -1      1     -1     -1      1
2015-04-18      1     -1     -1      1     -1     -1     -1     -1      1
2015-04-19      1     -1     -1      1     -1     -1     -1     -1      1
2015-04-20      1     -1     -1      1     -1      1     -1     -1      1
2015-04-21      1      1     -1      1     -1      1     -1     -1      1
2015-04-22      1      1     -1      1     -1      1      1     -1      1
2015-04-23      1      1     -1      1     -1      1      1     -1      1
2015-04-24      1      1     -1      1     -1      1     -1     -1      1
2015-04-25      1      1     -1      1     -1      1     -1     -1      1
2015-04-26      1      1     -1      1      1      1      1     -1      1
2015-04-27      1      1     -1      1     -1      1      1     -1      1
2015-04-28      1      1     -1      1      1     -1     -1     -1      1
2015-04-29      1      1     -1      1      1     -1     -1     -1      1
2015-04-30      1      1     -1      1      1     -1     -1     -1      1
2015-05-01      1      1     -1      1      1     -1     -1     -1      1
2015-05-02      1      1     -1      1      1     -1     -1     -1      1
2015-05-03      1      1     -1      1      1     -1      1     -1      1
2015-05-04      1      1     -1      1      1     -1     -1     -1      1
2015-05-05      1      1     -1      1      1     -1     -1     -1      1
2015-05-06      1      1     -1      1      1     -1     -1     -1      1
2015-05-07      1      1     -1      1      1     -1     -1     -1      1
2015-05-08      1      1     -1      1      1     -1     -1     -1      1
2015-05-09      1      1     -1      1      1     -1     -1     -1      1
2015-05-10      1     -1     -1      1      1     -1     -1     -1      1
2015-05-11      1     -1     -1      1      1     -1     -1     -1      1
2015-05-12      1     -1     -1      1     -1     -1      1     -1      1
2015-05-13      1     -1     -1      1     -1      1      1     -1      1
2015-05-14      1     -1     -1      1     -1     -1     -1     -1      1
2015-05-15      1     -1     -1      1     -1     -1      1     -1      1
2015-05-16      1     -1     -1      1     -1      1     -1     -1      1
2015-05-17      1     -1     -1      1     -1      1     -1     -1      1
2015-05-18      1     -1     -1      1     -1      1     -1     -1      1
2015-05-19      1     -1     -1      1     -1      1     -1     -1      1
2015-05-20     -1     -1     -1      1     -1      1     -1     -1      1
2015-05-21     -1     -1     -1      1     -1     -1     -1     -1      1
2015-05-22      1     -1     -1      1     -1      1     -1     -1      1
2015-05-23      1     -1     -1      1     -1      1     -1     -1      1
2015-05-24      1     -1     -1      1     -1      1     -1     -1      1
2015-05-25      1     -1     -1      1     -1      1     -1     -1      1
2015-05-26      1     -1     -1      1     -1      1     -1     -1      1
2015-05-27      1     -1     -1      1     -1      1     -1     -1      1
2015-05-28      1     -1     -1      1     -1      1     -1     -1      1
2015-05-29      1     -1     -1      1     -1     -1     -1     -1      1
2015-05-30      1     -1     -1      1     -1      1     -1     -1      1
2015-05-31      1     -1     -1      1     -1     -1     -1     -1      1
2015-06-01      1     -1     -1      1     -1      1     -1     -1      1
2015-06-02      1     -1     -1      1     -1      1      1     -1      1
2015-06-03     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-04     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-05     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-06     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-07     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-08     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-09     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-10     -1     -1     -1      1     -1     -1     -1     -1      1
2015-06-11     -1     -1     -1      1     -1     -1     -1     -1      1
2015-06-12     -1     -1     -1      1     -1     -1     -1     -1      1
2015-06-13     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-14     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-15     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-16     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-17     -1     -1     -1      1     -1      1     -1     -1      1
2015-06-18     -1     -1     -1      1     -1     -1     -1     -1      1
2015-06-19     -1     -1     -1      1     -1     -1     -1     -1      1
2015-06-20     -1     -1     -1      1     -1     -1     -1     -1      1
2015-06-21     -1     -1     -1      1     -1     -1     -1     -1      1
2015-06-22     -1     -1     -1      1     -1     -1     -1     -1      1
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Strategy documentation built on May 2, 2019, 2:09 a.m.