features_from_ohlcv: Genereta Features from OHLCV

In MislavSag/mlfinance: Machine learning in finance

Description

Function calculates basic features from OHLCV financial data

Usage

features_from_ohlcv(
  ohlcv,
  window_sizes = c(5, 22),
  quantile_divergence_window = c(50, 100)
)

Arguments

ohlcv	a data.table object with coluimns: symbol, datetime, open, hogh, low, close, volume
window_sizes	Length of window for calculating rolling versions of the indicators.
quantile_divergence_window	window size from divergence from quantiles indicator.

Value

Data.table with new features

MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.