predict_price_LOAD: predicts price for asset according to LOAD strategy

In benSepanski/pfselect:

Description

predicts next price for one asset given previous prices according to LOAD strategy (see paper mentioned in description of backtest_LOAD)

Usage

predict_price_LOAD(
  prev_prices,
  historic_mean,
  regularization_factor,
  momentum_threshold
)

Arguments

prev_prices	a numeric vector of previous prices
historic_mean	The historic mean of the prices
regularization_factor	λ in the referenced paper, the regularization coeffecient for weight decay when regressing the prices in the recent time window. Must be non-negative
momentum_threshold	η in the referenced paper. If the regressed slope is greater than η we say the stock has momentum. This must be greater than 0.

Value

the predicted next price

Note

NO TYPE CHECKING IS PERFORMED... be careful

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