addDistributionConstraint: Add constraints to distributions

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

Add constraints to distributions

Description

Add constraints to distributions

Usage

## S3 method for class 'Strategy'
addDistributionConstraint(this, ...)

Arguments

this	Strategy
...	unnamed expressions under distributions labels

Examples

## Not run: 
addIndicators(this, vars = c('spread', 'bb'), expr = {
   spread <- data$close[range, ] %*% cbind(c(0.5, -0.5))
   bb <- BBands(spread, n = n , sd = nsd)
 }, args = list(n = 30, nsd = 1))
addDistribution(this,
    component.type = 'indicator',
    component.label = 'bb',
    sd = seq(0.5,3,0.05),
    label = 'bb.sd'
)

addRule(this, name = 'bb_up_dn',
     expr = (Lag(spread, 1) > Lag(bb[, 'up'],1)) &
                  (spread < bb[, 'up']) &
                  (spread > bb[, 'mavg']) ,
     type = 'enter',
     args = list(n = 0.005),
     block = 'short',
     position_const = c(-1, 1))
addDistribution(this,
    component.type = 'rule',
    component.label = 'bb_up_dn',
    n = seq(0.005,0.03,0.002),
    label = 'my_distr'
)

addDistributionConstraint(this,
    bb.sd > my_distr * 100
)

## End(Not run)

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