signal.generate.statistics: Signal Objective Function Calculation
In quantstrat: Quantitative Strategy Model Framework
Description
Usage
Arguments
Value
Author(s)
See Also
Description
This function takes a list of matrix of post signal price changes and
applies an user defined objective function on it.
Usage
1
signal.generate.statistics(post.ret, obj.fun = NULL, decreasing = TRUE)
Arguments
post.ret
matrix of parameter set of post signal price deltas
obj.fun
custom objective function for measuring signal goodness
decreasing
if true, the higher the objective value, the better
Value
objective function values
Author(s)
Michael Guan
See Also
apply.paramset.signal.analysis
quantstrat documentation built on May 31, 2017, 2:35 a.m.
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Description Usage Arguments Value Author(s) See Also
Description
This function takes a list of matrix of post signal price changes and applies an user defined objective function on it.
Usage
1 | signal.generate.statistics(post.ret, obj.fun = NULL, decreasing = TRUE)
|
Arguments
post.ret |
|
obj.fun |
custom objective function for measuring signal goodness |
decreasing |
if true, the higher the objective value, the better |
Value
objective function values
Author(s)
Michael Guan
See Also
apply.paramset.signal.analysis
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.
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