R/CUSUM-filter.R

In thanhuwe8/mladv: mladv - Machine Learning for Finance routines

#' CUSUM Filter for Price
#'
#' @param data data in form of bar (tick bar, time bar, volume bar ...)
#' @param h threshold value
#'
#' @return an index of data exceeding threshold value h
#' @export
#'
#' @examples CUSUM_Price(data1, 2)
CUSUM_Price <- function(data, h){
    POS <- NEG <- 0
    index <- NULL
    diff_data <- diff(data)
    for (i in 1:length(diff_data)){
        POS <- max(0,POS+diff_data[i])
        NEG <- min(0,POS+diff_data[i])
        if(max(POS,-NEG)>=h){
            index <- c(index, i)
            POS <- NEG <- 0
        }
    }
    return(index+1)
}