signal.obj.slope: Signal Objective Function

In braverock/quantstrat: Quantitative Strategy Model Framework

Signal Objective Function

Description

Simple example of objective function that can can be used to measure the effectiveness of various parameter combinations.

Usage

signal.obj.slope(x)

Arguments

x	Return matrix, each row represents price deltas for a single signal, each column represents periods

Details

Calculates the slope of the Cumulative Equity line. Higher the better.

It is important to note that all objective functions are called within signal.generate.statistics. What gets passed in to it as parameter is an matrix of post signal price changes or cumulative equity for each signal. The matrix is of N-by-M dimensions. N being the row representing the Nth signal. M being the column representing Mth period.

Value

Single Objective Value

Author(s)

Michael Guan

See Also

apply.paramset.signal.analysis

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