SNR: Signal to Noise Ratio

In joshuaulrich/TTR: Technical Trading Rules

Signal to Noise Ratio

Description

The n-day SNR for a given market is calculated by taking the absolute price change over an n-day period and dividing it by the average n-day volatility.

Usage

SNR(HLC, n, ...)

Arguments

HLC	Object that is coercible to xts or matrix and contains High-Low-Close prices.
n	Number of periods for moving average.
...	Other arguments to be passed to ATR.

Details

SNR_n = \frac{|C_t - C_{t-n}|}{ATR_n}

Using average true range as the volatility measure captures more of the intraday and overnight volatility in a way that a measurement of Close-to-Close price change does not.

The interpretation is then relatively intuitive: an SNR value of five indicates that the market has moved five times the volatility (average true range) over the given look-back period.

Value

A object of the same class as HLC or a matrix (if try.xts fails) containing the signal to noise ratio.

Author(s)

Peter Carl

References

Skeggs, James and Hill, Alex (2015). Back in Black Part 2: The Opportunity Set for Trend Following.

joshuaulrich/TTR documentation built on Feb. 17, 2024, 6:38 a.m.