lbhitrate: Compute Rolling Hit Rate From LBStart to LBEnd Compute...

In jmuhlenkamp/conditionalAR: Conditionally Evaluate Rolling Performance of AR Models

Description

Compute Rolling Hit Rate From LBStart to LBEnd Compute Rolling Hit Rate From LBStart to LBEnd.

Usage

lbhitrate(data, x, lbstart = 63, lbend = 0, position = "longshort")

Arguments

data	An 'xts' object containing log growths.
x	An 'xts' object containing predictions.
lbstart	The start of the lookback window.
lbend	The end of the lookback window.
position	Character for whether to return All "longshort" bets (-1, 0, 1 for all non-NA) Only "long" bets (0, 1 for all non-NA) Only "short" bets (-1, 0 for all non-NA) "alwayslong" (1 for all non-NA obs) "alwaysshort" (-1 for all non-NA obs)

Examples

growth <- diff(log(stocks))
signal <- rollAR(growth, rep(1/9,9))

# Rolling 126-day long-short hitrate
lbhitrate(growth, signal, 126, 0, "longshort")

jmuhlenkamp/conditionalAR documentation built on May 30, 2019, 1:59 p.m.