add_vertical_barrier: add_vertical_barrier
In MislavSag/mlfinance: Machine learning in finance

Description Usage Arguments Value Examples

View source: R/labeling_triple_barrier.R

Compute vertical barriers

add_vertical_barrier(
  t_events,
  close_date,
  num_days = 1,
  num_hours = 0,
  num_minutes = 0,
  num_seconds = 0
)

`t_events`	Filtered events (e.g. feom CUSUM filter)
`close_date`	Poxscit object of close vector or some other price vector
`num_days`	Number of days into the future
`num_hours`	Number of hours into the future
`num_minutes`	Number of minutes into the future
`num_seconds`	Number of seconds into the future

data.table with 2 columns: t_events and vertical barrier

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data("spy")
cusum_events <- cusum_filter(subset(spy, select = c("index", "close")), 0.001)
add_vertical_barrier(cusum_events, spy$index, num_days = 1)