SignalStats: Compute Trading Signals Statistics

Description Usage Arguments Value Note Author(s) References See Also

View source: R/SignalStats.R

Description

Trading signals can be further analyzed with several statistics, across instruments. Signal statistics currently implemented include:

Usage

1
SignalStats(X, symbols, signals, method, ...)

Arguments

X

A list of xts objects storing signals series. See 'Details'.

symbols

A character vector providing the names of symbols signals were computed for.

signals

A character vector specifying the names of signals provided in X.

method

A string indicating which statistics to compute among X signals. One of "activity", "agreement", or "correlation".

...

Any other pass through parameter.

Value

Varies depending on the chosen method.

Note

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.

Author(s)

Vito Lestingi

References

Baltas, A. N. and Kosowski, R. (2012). Improving time-series momentum strategies: The role of trading signals and volatility estimators. EDHEC-Risk Institute.

See Also

MomSignal()


JustinMShea/ExpectedReturns documentation built on Sept. 27, 2020, 5:41 p.m.