compute.price.direction: Compute Price Direction Computes a variable describing the...

In pierrecattin/thesis-resources: Thesis Resources

Description

Compute Price Direction Computes a variable describing the direction of future price changes

Usage

compute.price.direction(prices, daily.start = 1, horizon, min.return = 0,
  loading = T)

Arguments

prices	xts where one numeric column has to be called "open" and one "close"
daily.start	DEPRECATED (which observation number should be the first one for which the variable is computed each day; numeric)
horizon	prediction horizon; numeric
min.return	minimum absolute return in horizon to be classified as -1 or +1; default=0; numeric
loading	logical telling if loading bar should be displayed

Value

xts with one numeric (values -1, 0, +1, NA) column and same indices as prices. last 'horizon' values of each day are NA

pierrecattin/thesis-resources documentation built on May 4, 2019, 8:42 a.m.