R/strategy-3-breakout_strat_df_f.R

In junyitt/tfunction: tfunction for Trading Purposes

#' Create df that evaluates price breakout criteria
#'
#' s2_br: today's close > max of past 20 days lag 1 close
#' s3_br: today's close > max of past 20 days lag 5 close
#' 
#' Return df
#' 
#' @importFrom magrittr %>%
#' @param df plot_df
#' @keywords price breakout criteria df
#' @export
breakout_strat_df_f <- function(df = plot_df, lag1 = 1, lag2 = 5, n1 = 20, n2 = 20){
      
      summarised_df1 <- df %>% dplyr::group_by(code) %>% dplyr::summarise(latestclose = close[length(close)],
                                                                          max20_1 = funlag(last.v = close, lag = lag1, n = n1, fun = max),
                                                                          max20_5 = funlag(last.v = close, lag = lag2, n = n2, fun = max))
      
      summarised_df2 <- summarised_df1 %>% dplyr::mutate(s2_br = as.numeric(latestclose > max20_1), s3_br = as.numeric(latestclose > max20_5))
      
      return(summarised_df2)

}