temaCrossoverBacktest: Backtest fixed fractional reallocation with TEMA exits
In shill1729/trader: Mathematical finance analysis package
temaCrossoverBacktest R Documentation
Backtest fixed fractional reallocation with TEMA exits
Description
Backtest fixed fractiona reallocation with TEMA exit signals
on a given time series of prices. Assumes perfect trading at close prices with no
transaction costs, etc.
Usage
temaCrossoverBacktest(N, prices, kelly, rate, bankroll, plotPaths = FALSE)
Arguments
N
number of days for the moving window in the TEMA filter
prices
the time series of prices
kelly
the fraction to invest
rate
the rate earned on cash account
bankroll
the initial bankroll to invest
plotPaths
boolean to plot sample paths
Value
list
shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| temaCrossoverBacktest | R Documentation |
Backtest fixed fractional reallocation with TEMA exits
Description
Backtest fixed fractiona reallocation with TEMA exit signals on a given time series of prices. Assumes perfect trading at close prices with no transaction costs, etc.
Usage
temaCrossoverBacktest(N, prices, kelly, rate, bankroll, plotPaths = FALSE)
Arguments
N |
number of days for the moving window in the TEMA filter |
prices |
the time series of prices |
kelly |
the fraction to invest |
rate |
the rate earned on cash account |
bankroll |
the initial bankroll to invest |
plotPaths |
boolean to plot sample paths |
Value
list
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.