rolling_exuber: Rolling Exuber

In MislavSag/mlfinance: Machine learning in finance

Description

Function calculates radf values from exuber package on rolling window.

Usage

rolling_exuber(
  prices_panel,
  row_index = 1:nrow(prices_panel),
  windows = c(200),
  workers = 4L,
  exuber_lag = 0L
)

Arguments

prices_panel	a data.table object with columns: symbol, datetime, close.
row_index	row index for which to calculate radf values.
windows	Length of window for calculating forecasts on rolling window.
workers	Number of workers for parallel processing
exuber_lag	exuber lag.

Value

Data.table with new features

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