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

Description Usage Arguments Examples

Description

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

Usage

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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

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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.