doSeriesOfSimulateStopLimitPrices: doSeriesOfSimulateStopLimitPrices

In c3h3/QuantitativeBacktestingTools:

Description

a function which can help you transform your forward sampling xts to data.frame

Usage

doSeriesOfSimulateStopLimitPrices(longFswXtDf, limitRatioSeq = seq(0.01, 0.1,
  0.01), stopRatioSeq = seq(0.01, 0.1, 0.01), NonHitIdxValue = 1e+06)

Arguments

longFswXtDf	a forward sampling xts with long format
limitRatioSeq	series of limit return ratio
stopRatioSeq	series of stop return ratio
NonHitIdxValue	when the price not hit stop or limit, assign this value

Examples

Xt = getSymbols('2330.TW', auto.assign = F)
Xt %>% Pt2Rt %>% ForwardSlidingWindow(20) %>% FswXt2Df(index(Xt)[c(1,3,5,7,9)],longFormat=T) %>% simulateStopLimitPrices(0.06,0.06) %>% head

c3h3/QuantitativeBacktestingTools documentation built on May 13, 2019, 9:56 a.m.