LookbackHoldCorr: LookbackHoldCorr

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

Description

The function applies discrete moving window to a price series. Each window is divided into lookback period and holding period. The returns in the lookback period and holding period are calculated with each window. The correlation between the associated p value on a returns in the lookback period and holding period discrete rolling window basis. The rolling step size is the minimum of the lookback period and holding period.

Usage

LookbackHoldCorr(price, lookback, holddays, Sign = TRUE,
  return_method = c("arithmetic", "log"))

Arguments

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

Value

a 1 by 4 matrix with lookback period, holding period, return correlation estimate and p value.

Examples

getSymbols("^GSPC", from = 2010, to = Sys.Date())
price <- GSPC[, 6]
LookbackHoldCorr(price, 200, 20, TRUE, "log")
LookbackHoldCorr(price, 200, 20, FALSE, "log")
LookbackHoldCorr(price, 200, 20, TRUE, "arithmetic")
LookbackHoldCorr(price, 200, 20, FALSE, "arithmetic")

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