gbm_model: A comprehensive analysis under a GBM model

In shill1729/trader: Mathematical finance analysis package

A comprehensive analysis under a GBM model

Description

A in-depth look at a stock under a GBM model and all its associated properties, like hitting times. The target is to double wealth within a year, and both the Buy and Hold strategy and the Kelly criterion are compared to this. An update will come eventually to allow users to choose target wealth goals.

Usage

gbm_model(
  symbol,
  lambda = 0.06,
  days_back = "full",
  period = "daily",
  adj = TRUE,
  envir = parent.frame()
)

Arguments

symbol	stock symbol to analyze
lambda	smoothing parameter for EMA estimates in GBM model
days_back	number of data points back to look at
period	resolution: daily or months
adj	whether to use adjusted close prices or not
envir	environment to load stock data into

Value

data.frame

shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.