trading_returns: Calculate the average trading returns based on predicted...
In jeanmarcgp/mlStocks: Machine Learning Predictive Analysis for Stocks
Description
Usage
Arguments
Value
Description
A two column matrix is provided containing a prediction in
column 1 (yhat), and the actual trading returns in column 2 (y).
The function first identifies valid long and short trades by
examining yhat, and flagging the trade as a long trade
if yhat >= long_thres, or as a short trade if yhat <= short_thres.
Vectors with yhat values in the band between the two thresholds
are ignored (deemed not worth trading).
Usage
1
trading_returns(mat, long_thres = 0, short_thres = 0)
Arguments
mat
The two column matrix to calculate the trading returns.
The first column is the prediction (yhat), while the
second column is the target (y).
long_thres
The threshold above which the yhat column is flagged
as a trade to go long (buying the security).
short_thres
The threshold below which the yhat colum is flagged as
a trading to go short (shorting the security).
Value
Returns the average trading return over all flagged trades in the
matrix. For short trades, a negative value of y corresponds to
a positive return for this calculation.
jeanmarcgp/mlStocks documentation built on May 19, 2019, 12:38 a.m.
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Description Usage Arguments Value
Description
A two column matrix is provided containing a prediction in column 1 (yhat), and the actual trading returns in column 2 (y). The function first identifies valid long and short trades by examining yhat, and flagging the trade as a long trade if yhat >= long_thres, or as a short trade if yhat <= short_thres. Vectors with yhat values in the band between the two thresholds are ignored (deemed not worth trading).
Usage
1 | trading_returns(mat, long_thres = 0, short_thres = 0)
|
Arguments
mat |
The two column matrix to calculate the trading returns. The first column is the prediction (yhat), while the second column is the target (y). |
long_thres |
The threshold above which the yhat column is flagged as a trade to go long (buying the security). |
short_thres |
The threshold below which the yhat colum is flagged as a trading to go short (shorting the security). |
Value
Returns the average trading return over all flagged trades in the matrix. For short trades, a negative value of y corresponds to a positive return for this calculation.
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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