extract_trades: Extract all Trades

Description Usage Arguments Examples

View source: R/TAaUF.r

Description

This function gives back a list object containing all trading strategy trades.

Usage

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extract_trades (ret, signals, commiss=TRUE, spread=0.0001)

Arguments

ret

a xts object vector of trading returns

signals

a xts object vector containing all long/short signals.

commiss

Set on "TRUE" to take account of commissions calculated as spread on every single trade.

spread

spread commissions to calculate when "commiss"" is set to TRUE. It subtract the spread cost value to each trade.

Examples

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# buy below EMA sell when prices are above EMA strategy
x<-db[,'eur']
ma1<-TTR::EMA(x,21)
signals<-lag(ifelse(x>ma1,-1,ifelse(x<ma1,1,0)),1)
ret<-signals*TTR::ROC(x)
trades<-extract_trades(ret,signals,commiss = T,0.0001)

Michele1973/TAaUF documentation built on May 29, 2019, 4:44 a.m.