generateStrategyParamSet: Generate "Open Gap Strategy" parameters

In tmk-c/myrlib: My R library for daily work

Description

Generate "Open Gap Strategy" parameters

Usage

generateStrategyParamSet(data_params, side = "Long", sd_thres = seq(0,
  0.02, 0.005), ato_l_thres = c(1e+07), ato_h_thres = Inf,
  ogc_thres = seq(0, -0.01, -0.005), stop_thres = seq(0.1, 2, 0.1),
  min_thres = c(10, 15), slippage = c(0.001), num_trades = c(10),
  lot = c(10000))

Arguments

data_params	Data parameters for "Open Gap Strategy".
side	Order side ("Long" or "Short").
sd_thres	Minimum entry threshold of SD.
ato_l_thres	Minimum entry threshold of turnover.
ato_h_thres	Maximum entry threshold of turnover.
ogc_thres	Entry threshold of Open Gap Coeficient.
stop_thres	Stop price coeficent of SD.
min_thres	Minimum entry threshold of open price.
slippage	Slippage percent of entry/exit.
num_trades	Number of trades per day.
lot	Dollar amount of one trade.

Value

data.table of strategy parameter set for the data set.

tmk-c/myrlib documentation built on May 29, 2019, 1:44 p.m.