ErrMov: Error adjusted moving average

In 3schwartz/IPAmomentumSmallMidCap:

Description

Error adjusted moving average

Usage

ErrMov(Price_Daily, SMAperiod = 10, Lag = 3, CompareObj = NULL,
  period = c("days", "weeks", "months", "quarters", "years"))

Arguments

Price_Daily	xts object in form of a dataframe with daily prices
SMAperiod	Period in which one want to adjust prices. Hence this period is used when calculating forecast and thereby errors
Lag	Number of periods used when calculating simple momentum of the roc/errors
CompareObj	Object of which final object should be compare to. Ex. if period is monthly, then a frame with the wanted index should be provided
period	Periods at which one is rebalancing. Can be "days", "weeks", "months", "quarters" or "years"

Value

Matrix of simple moving average o

3schwartz/IPAmomentumSmallMidCap documentation built on May 15, 2019, 12:50 p.m.