tradeModel: Simulate Trading of Fitted quantmod Object

In AndreMikulec/econModel: Meaningful Social and Economic Data from ALFRED and elsewhere

Description

NOT IMPLEMENTED YET

Perform Realization from using the R CRAN package quantmod functions
of modeling. This is real world actual testing (of Prediction).
This is a re-implementation of the R CRAN package
quantmod function tradModel.  It uses the R CRAN package
PerformanceAnalytics function Return.portfolio to do the heavy work.
Several PerformanceAnalytics exported functions replace out
some or part of quantmod non-exported functions
tradeModel, modelReturn, allReturns, periodReturn, and stripModelData.

This function subtracts off many features from the R CRAN package
quantmod function tradeModel.

Simulated trading of fitted quantmod object.
Given a fitted model, tradeModel calculates the signal generated
over a given historical period, then applies specified
trade.rule to calculate a return.

Usage

tradeModel(
  x,
  signal.threshold = c(0, 0),
  trade.dates = NULL,
  exclude.training = TRUE,
  ...
)

Arguments

x	quantmod object (from buildModel). Required.
signal.threshold	Numeric vector. Default is c(0, 0). A numeric vector describing simple lower and upper thresholds before trade occurs.
trade.dates	Default is NULL. Specific trade interval - defaults to the full dataset. This can be a vector of pairs. This can be a list of vectors of pairs.
exclude.training	Logical. Default is TRUE. Exclude the period trained on?
...	Dots pass to additional parameters needed by the underlying modeling function, if any.

Details

Apply a newly constructed model from buildModel to a new dataset
to investigate the model's trading potential.

At present all parameters are very basic. The near term changes
include allowing for a trade.rule argument to allow for a
dynamic trade rule given a set of signals.

Additional the application of variable leverage and costs
will become part of the final structure.

Value

A quantmodResults object. The realizations.

Examples

## Not run: 
tradeModel(specmodel)@returns

## End(Not run)

AndreMikulec/econModel documentation built on June 30, 2021, 9:48 a.m.