approximateSLTP: Approximates StopLoss/TakeProfit for a given PNL series and...

In aqr: Interface methods to use with an ActiveQuant Master Server

Description

This function uses the generatePnlCurve function to forward generate a PNL curve. Best, test it with your own series to understand how it works (or contribute documentation).

Usage

approximateSLTP (high, low, close, takeProfit, stopLoss, runningPosition, messages=FALSE)

Arguments

high	an XTS object containing the highs of a price series
low	an XTS object containing the lows of a price series
close	an XTS object containing the closes of a price series
takeProfit	an absolute value when to trigger a take profit action
stopLoss	an absolute value when to trigger a stop loss action
runningPosition	the running position
messages	whether to print informational message or not, defaults to FALSE

Value

a two column matrix with position and pnl, where position is a rewritten version of the input

aqr documentation built on May 1, 2019, 7:55 p.m.