post.signal.returns: Generate Post Signal Returns

Description Usage Arguments Value Author(s) See Also

View source: R/signals.R

Description

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

Usage

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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


cloudcell/quantstrat documentation built on May 13, 2019, 8:03 p.m.