evaluate_momentum_at_window: Evaluate momentum of the price
In benSepanski/pfselect:

Description Usage Arguments Details Value

We propose two estimators for the next price, and define its momentum by whichever is closest: the max of previous prices is momentum +1, and the historical mean is momentum 0

1	evaluate_momentum_at_window(price_window, next_price, historic_price_mean)

`price_window`	of asset in period t-τ+1,...t
`next_price`	price of asset in period t+1
`historic_price_mean`	historic price mean at period t. For some α\in[0,1], the historic price mean is MA_t = α p_t + (1-α) MA_{t-1}, with MA_1 = p_1.

Note that this definition of momentum is scale-invariant, i.e. if all the prices are scaled (and the historic price means computed on these scaled prices) the momentum results are identical.

the momentum defined in the description if all arguments are present. If any of the first three arguments are NA, returns NA.

benSepanski/pfselect documentation built on May 1, 2020, 1:57 p.m.