breakoutSignal: Compute a 'breakout' momentum signal over the specified...
In gtog/dMisc: A Collection of Helper Functions for Doing Financial Data Analysis

Description Usage Arguments Value Examples

This function will return a vector of buy/sell signals based on whether or not the current value of x is above the maximum or below the minimum price of x over the lookback period. If the current price is above the maximum, the return value is 1. If the current price is below the minumum, then the return value is -1. Otherwise, the return entry will be the previous signal. The return vector will be of length x - lookback. This function aids in building a smooth momentum signal by calling simpSignal() with many values of lookback and averaging the results.

1	breakoutSignal(x, lookback = 12)

`x`	an xts object of prices.
`lookback`	the length of the look back period over which to evalute the momentum signal.

an xts object of discrete momentum signals drawn from the set c(-1,1), where -1 indicates "short" or "sell" and 1 indicates "long" or "buy".

library(dMisc)
dts <- seq(Sys.Date()-99, Sys.Date(), 1)
returns <- matrix(rnorm(100),ncol = 1) / 100
ret.xts <- xts(returns, dts)
s <- breakoutSignal(ret.xts, lookback = 5)
plot(s, type = "l")