Description Usage Arguments Details Value Author(s) See Also Examples

`prices`

returns a single price vector by selecting among
alternative vectors on the basis of the phases of `states`

.

1 2 3 4 5 |

`uc` |
numeric vector. prices mapped to phase 0 (unchanged). |

`el` |
numeric vector. prices mapped to phase 8 (enter long). |

`es` |
numeric vector. prices mapped to phase 4 (enter short). |

`xl` |
numeric vector. prices mapped to phase 2 (exit long). |

`xs` |
numeric vector. prices mapped to phase 1 (exit short). |

`chg,ent,xit,lng,sht` |
short-hand arguments. |

`states` |
numeric vector consisting of 1, 0, and -1 values. |

This is a convenience function for constructing a single price vector
from multiple vectors. Generally, all arguements get vectors of
identical length, but all arguments must be passed vectors whose
length is a multiple of the length of `states`

. The return can be
passed to the `prices`

argument of functions `pnl`

and
`ror`

.

A numeric vector of prices.

Robert Sams [email protected]

1 2 3 4 5 6 7 8 9 10 11 | ```
s <- sample(c(1,0,-1), 100, TRUE)
spx <- spx[1:100,]
## Example 1: entries/exits at Open, unchanged at Close.
(ex1 <- prices(s, spx$Close, chg=spx$Open))
## Example 2: entries/exits at next day's Open, unchanged at Close.
(ex2 <- prices(s, spx$Close, chg=c(spx$Open[-1], NA)))
## Example 3: same as above, but with 10bps slippage at entries/exits.
(ex3 <- prices(s, spx$Close, lng=c(spx$Open[-1], NA) * 1.001, sht=c(spx$Open[-1], NA) * .999))
``` |

tradesys documentation built on May 31, 2017, 2:29 a.m.

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