MSR: Varadi's MSR

In Vitalic57/stratbuilder3gen: Package Provides Tools to Create and Backtest Financial Models

Varadi's MSR

Description

Computes David Varadi's MSR – a percent rank of a normalized differnce of median and max

Usage

MSR(HLC, nMed = 10, nMax = nMed * 2, pctLookBack = 100)

Arguments

HLC	an HLC xts
nMed	a lookback period for taking the median of the HLC series; i.e. the median of the concatenated HLC series, using a parameter of 3*nMed for the 3 series in the concatenation
nMax	a lookback period for the max of the HLC series – should be greater than the median lookback
pctLookBack	a period over which to do a percent ranking

Vitalic57/stratbuilder3gen documentation built on March 30, 2022, 6:58 a.m.