post.signal.returns: Generate Post Signal Returns

View source: R/signals.R

post.signal.returnsR Documentation

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.