zscores.ma: Zscore based Moving Average
In ivanliu1989/RQuantTrader: A collection of functions for pair trading
Description
Usage
Arguments
Value
Examples
Description
Using moving averages to compute the z-score of the ratio at each given time.
This will tell us how extreme the ratio is and whether it's a good idea to enter a position at this time.
Usage
1
zscores.ma(t, long = 60, short = 10)
Arguments
t
a time-series to be normalized
long
days of long-term moving averages
short
days of short-term moving averages
Value
A normalized time-series
Examples
1
2
3
library(quantmod)
getFX("AUD/USD")
zscores.ma(AUDUSD, 60, 10)
ivanliu1989/RQuantTrader documentation built on Sept. 13, 2019, 11:54 a.m.
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Description Usage Arguments Value Examples
Description
Using moving averages to compute the z-score of the ratio at each given time. This will tell us how extreme the ratio is and whether it's a good idea to enter a position at this time.
Usage
1 | zscores.ma(t, long = 60, short = 10)
|
Arguments
t |
a time-series to be normalized |
long |
days of long-term moving averages |
short |
days of short-term moving averages |
Value
A normalized time-series
Examples
1 2 3 | library(quantmod)
getFX("AUD/USD")
zscores.ma(AUDUSD, 60, 10)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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