post.signal.returns: Generate Post Signal Returns

In braverock/quantstrat: Quantitative Strategy Model Framework

Generate Post Signal Returns

Description

This function collects and aggregates post signal price changes for N days forward.

Usage

post.signal.returns(
  signals,
  sigval,
  on = NULL,
  forward.days,
  cum.sum = TRUE,
  include.day.of.signal = FALSE,
  mktdata = NULL
)

Arguments

signals	xts object with signals, one column
sigval	signal value to match against
on	the periods endpoints to find as a character string
forward.days	number of days to look forward after signal (days to exit post signal)
cum.sum	TRUE,FALSE; cumulative sum of price changes
include.day.of.signal	whether to analyze the return on signal day
mktdata	market data

Value

matrix of post signal price changes; rows = nth signal, column = nth period since signal

Author(s)

Michael Guan

See Also

apply.paramset.signal.analysis

braverock/quantstrat documentation built on Sept. 15, 2023, 11:32 a.m.