sigCrossover: generate a crossover signal

In cloudcell/quantstrat: Quantitative Strategy Model Framework

Description

This will generate a crossover signal, which is a dimension-reduced version of a comparison signal sigComparison.

Usage

sigCrossover(label, data = mktdata, columns, relationship = c("gt", "lt",
  "eq", "gte", "lte"), offset1 = 0, offset2 = 0)

Arguments

label	text label to apply to the output
data	data to apply crossover to
columns	named columns to apply crossover of the first against the second
relationship	one of c("gt","lt","eq","gte","lte") or reasonable alternatives
offset1	numeric offset to be added to the first column prior to comparison
offset2	numeric offset to be added to the second column prior to comparison

Details

It will return TRUE on the period in which there is a crossover in the direction specified by relationship, and NA otherwise.

If you want all the information, use a comparison instead.

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