CorrSurface: CorrSurface

In OUKUN0705/timeseriesmom: Screen and implement time series momentum stratege

Description

The function

Usage

CorrSurface(price, lookback_seq, holddays_seq, Sign = FALSE,
  return_method = c("arithmetic", "log"))

Arguments

price	an object of time serise representing a price series.
lookback_seq	a sequence of lookback length.
holddays_seq	a sequence of holddays length.
Sign	whether the returns or signs of returns are used to calculate correlation, default is FALSE.
return_method	method of calculating returns.

Value

a 3_D plot of correlation coefficient on lookback period and holding period.

Examples

lookback_seq <- seq(from = 1, to = 200, by = 10)
holddays_seq <- seq(from = 1, to = 100, by = 10)
getSymbols("^GSPC", from = 2010, to = Sys.Date())
price <- GSPC[, 6]
cs <- CorrSurface(price, lookback_seq = lookback_seq, holddays_seq = holddays_seq,
Sign = TRUE, return_method = "log")

OUKUN0705/timeseriesmom documentation built on May 7, 2019, 8:55 p.m.