labeling_fixed_time: labeling_fixed_time
In MislavSag/mlfinance: Machine learning in finance
Description
Usage
Arguments
Value
Examples
View source: R/labeling_fixed_time.R
Description
Labeling time series data on fixed horizont
Originally described in the book Advances in Financial Machine Learning, Chapter 3.2, p.43-44.
Usage
1
labeling_fixed_time(prices, threshold = 0.01, horizont = 1L)
Arguments
prices
vector of prices
threshold
double, if return greater (lower )than threshold than 1 (-1), other 0
horizont
integer, number of steps to the future
Value
vector of labels
Examples
1
2
data("spy")
head(labeling_fixed_time(spy$close, 0.05, 10000))
MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.
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Description Usage Arguments Value Examples
View source: R/labeling_fixed_time.R
Description
Labeling time series data on fixed horizont Originally described in the book Advances in Financial Machine Learning, Chapter 3.2, p.43-44.
Usage
1 | labeling_fixed_time(prices, threshold = 0.01, horizont = 1L)
|
Arguments
prices |
vector of prices |
threshold |
double, if return greater (lower )than threshold than 1 (-1), other 0 |
horizont |
integer, number of steps to the future |
Value
vector of labels
Examples
1 2 | data("spy")
head(labeling_fixed_time(spy$close, 0.05, 10000))
|
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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