Description Usage Arguments Details Value Author(s) References

The n-day SNR for a given market is calculated by taking the absolute price change over an n-day period and dividing it by the average n-day volatility.

1 |

`HLC` |
Object that is coercible to xts or matrix and contains High-Low-Close prices. |

`n` |
Number of periods for moving average. |

`...` |
Other arguments to be passed to |

*SNR = abs(Cl - lag(Cl,n)) / ATR(HLC, n)$atr*

Using average true range as the volatility measure captures more of the intraday and overnight volatility in a way that a measurement of Close-to-Close price change does not.

The interpretation is then relatively intuitive: an SNR value of five indicates that the market has moved five times the volatility (average true range) over the given look-back period.

A object of the same class as HLC or a matrix (if try.xts fails) containing the signal to noise ratio.

Peter Carl

Skeggs, James and Hill, Alex (2015). Back in Black Part 2: The Opportunity Set for Trend Following.

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