StdMonthlyPack: Generate a list of signals, standard pack including cont and...

In hughshuwang/isocyanate: isocyanate (R-N=C=O)

Description

compared to previous version in the script, change ZS and EQ to monthly calculation, now have higher std and higher range, more sensitive, higher corr more than 80

Usage

StdMonthlyPack(monthly.var, var.name, backtest.period, IF.LAG,
  rolling.period = 36)

Arguments

monthly.var	xts object, key variables to generate 0-1 signals
var.name	string all lower case
backtest.period	string that can used for indexing
IF.LAG	bool
rolling.period	int num of periods to be applied in the rolling window

Value

list of xts signal series with proper colnames

hughshuwang/isocyanate documentation built on May 30, 2019, 7:17 a.m.