Description Usage Arguments Value
Pairs Backtest
1 2 3 | PairsBacktest(ticker1, ticker2, capital = 1e+05, threshold = 1.5,
startTrain = Sys.Date() - 365 * 2, endTrain = Sys.Date() - 365,
startTest = Sys.Date() - 365, endTest = Sys.Date())
|
ticker1 |
First equity ticker |
ticker2 |
Second equity ticker |
capital |
Starting cash |
startTrain |
Beginning of correlation training period |
endTrain |
End of correlation training period |
startTest |
Beginning of backtest period |
endTest |
End of backtest period |
vector of account values
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