signal.obj.slope: Signal Objective Function
In cloudcell/quantstrat: Quantitative Strategy Model Framework

Description Usage Arguments Details Value Author(s) See Also

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

1	signal.obj.slope(x)

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

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.

Single Objective Value

Michael Guan

apply.paramset.signal.analysis

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