Description Usage Arguments Value Note Author(s) References See Also
Trading signals can be further analyzed with several statistics, across instruments. Signal statistics currently implemented include:
Activity matrix (method="activity"
).
Represents the number of long or short positions over the periods considered.
It is expressed in percentage units.
Agreement matrix (method="agreement"
).
It denotes the number of periods during which signals pairs agree on the position,
on average across instruments. It is expressed in percentage units.
Correlation matrix (method="correlation"
).
The average correlation among signals, across instruments.
1  SignalStats(X, symbols, signals, method, ...)

X 
A list of 
symbols 
A character vector providing the names of symbols signals were computed for. 
signals 
A character vector specifying the names of signals provided in 
method 
A string indicating which statistics to compute among 
... 
Any other pass through parameter. 
Varies depending on the chosen method
.
Some signals may result into an inactive position. Such positions are not considered in the activity matrix and thus values do not sum up to unity. Whereas, they are accounted for in the agreement matrix.
Vito Lestingi
Baltas, A. N. and Kosowski, R. (2012). Improving timeseries momentum strategies: The role of trading signals and volatility estimators. EDHECRisk Institute.
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