apply_pt_sl_on_t1: apply_pt_sl_on_t1
In MislavSag/mlfinance: Machine learning in finance
Description
Usage
Arguments
Value
View source: R/labeling_triple_barrier.R
Description
Exponential moving average standard deviation
Usage
1
apply_pt_sl_on_t1(price, events, pt_sl = c(1, 1))
Arguments
price
xts or data.table with index and price columns
events
Indices that signify "events" (e.g. CUSUM events)
pt_sl
Element 0, indicates the profit taking level; Element 1 is stop loss level
Value
data.table; timestamps of when first barrier was touched
MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.
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Description Usage Arguments Value
View source: R/labeling_triple_barrier.R
Description
Exponential moving average standard deviation
Usage
1 | apply_pt_sl_on_t1(price, events, pt_sl = c(1, 1))
|
Arguments
price |
xts or data.table with index and price columns |
events |
Indices that signify "events" (e.g. CUSUM events) |
pt_sl |
Element 0, indicates the profit taking level; Element 1 is stop loss level |
Value
data.table; timestamps of when first barrier was touched
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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