extract_trades: Extract all Trades

In Michele1973/TAaUF: Technical Analysis and Useful Functions

Description

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

Usage

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

# 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.