PropMoving: PropMoving Probability ajusted momentum strategy
In 3schwartz/cryptoPlay: CryptoPlaying (Title Case)

Description Usage Arguments Value Examples

View source: R/PropMoving.R

PropMoving Probability ajusted momentum strategy

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PropMoving(x, k = 200, nd = 365.25, rf = 1, alpha = 0.05,
  Initpocket = NULL, TransCost = NULL, confidence.level = 0.6,
  rf.asset = 0)

`x`	xts object in the form of OHLC or only closing prices
`k`	# of days to take SimpleMovingAverage over (init 200)
`nd`	# of trading days (init 365.25 since this is made for crypto. Else use 250)
`rf`	Risk free rate used calculating the Sharperatio. (init 1)
`alpha`	quantile used calculating the VaR and ES
`Initpocket`	Initial pocket to implement the strategy
`TransCost`	Transaction cost, here it is assumed the same for buy and sell
`confidence.level`	int Confidence level upon which certainty is defined
`rf.asset`	int risk free asset used to calculate the t-statistic. In furture improvement this should be a vector

List with xts objects of cum. returns, weights and table of values of performance. If Initpocket and TransCost is not null,xts object of these will be returned. Warnings will come if there isn't enough money to implement the strategy.