demo/baseInstrumentCors.R
In IlyaKipnis/DSTrading: Digital Signal Trading
source("demoData.R")
tmp <- list()
length(tmp) <- length(symbols)
for (i in 1:length(symbols)) {
tmp[[i]] <-Cl(get(symbols[i]))
}
tmp <- do.call(cbind, tmp)
baseCors <- cor(tmp)
diag(baseCors) <- NA
instrumentAverageBaseCors <- rowMeans(baseCors, na.rm=TRUE)
names(instrumentAverageBaseCors) <- gsub(".Close", "", names(instrumentAverageBaseCors))
instrumentAverageBaseCors
(grandMeanBaseCors <- mean(instrumentAverageBaseCors))
IlyaKipnis/DSTrading documentation built on May 8, 2019, 1:39 p.m.
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source("demoData.R")
tmp <- list()
length(tmp) <- length(symbols)
for (i in 1:length(symbols)) {
tmp[[i]] <-Cl(get(symbols[i]))
}
tmp <- do.call(cbind, tmp)
baseCors <- cor(tmp)
diag(baseCors) <- NA
instrumentAverageBaseCors <- rowMeans(baseCors, na.rm=TRUE)
names(instrumentAverageBaseCors) <- gsub(".Close", "", names(instrumentAverageBaseCors))
instrumentAverageBaseCors
(grandMeanBaseCors <- mean(instrumentAverageBaseCors))
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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