signalmap: Translating between Signals, States and Phases

In tradesys: Trading System Modelling

Description

signalmap returns a vector of states given four signal vectors.

statemap returns a vector of states given a vector of phases.

phasemap returns a vector of phases given a vector of states.

changemap returns a vector of changes given a vector of states.

Usage

signalmap(el=FALSE, es=FALSE, xl=FALSE, xs=FALSE, entrywins=FALSE,
          retval=c("states","phases","binary")) 

statemap(phases)

phasemap(states)

changemap(states)

Arguments

el	logical. enter long signals.
es	logical. enter short signals.
xl	logical. exit long signals.
xs	logical. exit short signals.
entrywins	logical. see below.
retval	character. see below.
states	numeric vector of states.
phases	character vector of phases.

Details

signalmap converts entry and exit signals into a numeric vector of states. A signal is a logical vector and is one of four types: enter long, enter short, exit long, and exit short. All four signals taken together make up a 4-bit binary number between 0 and 15 (e.g., el=TRUE with the other three signals FALSE is 8). Six of these are called phases and are special:

Signals	Phase	English
0000	0	Unchanged
0001	1	Exit Short
0010	2	Exit Long
0011	3	Exit All
0100	4	Enter Short
1000	8	Enter Long

A phase specifies the transition from one state to the next. statemap recursively calculates a vector of states given a vector of phases using the following rules:

s(i) = s(i-1)	if	h(i) = 0
s(i) = max[0, s(i-1)]	if	h(i) = 1
s(i) = min[0, s(i-1)]	if	h(i) = 2
s(i) = 0	if	h(i) = 3
s(i) = -1	if	h(i) = 4
s(i) = 1	if	h(i) = 8

signalmap calls statemap in calculating the state vector, but it first reduces the ten non-phase combinations to a phase using the following mapping:

0101 [05] --> 0001 [1]

0110 [06] --> 0100 [4]

0111 [07] --> 0011 [3]

1001 [09] --> 1000 [8]

1010 [10] --> 0010 [2]

1011 [11] --> 0011 [3]

1100 [12] --> 0000 [0]

1101 [13] --> 0001 [1]

1110 [14] --> 0010 [2]

1111 [15] --> 0011 [3]

If entrywins=TRUE the mapping is altered so that conflicts between an entry and an exit resolve into the entry, instead of the exit (which is the default behavior above):

0101 [05] --> 0100 [4]

0110 [06] --> 0100 [4]

0111 [07] --> 0100 [4]

1001 [09] --> 1000 [8]

1010 [10] --> 1000 [8]

1011 [11] --> 1000 [8]

1100 [12] --> 0000 [0]

1101 [13] --> 0001 [1]

1110 [14] --> 0010 [2]

1111 [15] --> 0011 [3]

phasemap does the opposite of statemap, taking a vector of states and returning a vector of phases. If retval="phases", signalmap will skip the state calculation and return a vector of phases instead. If retval="binary", the signals are simply converted into their 4-bit integer representation and returned.

changemap returns a vector containing 1 where there is a long entry or short exit, -1 where there is a short entry or long exit, and 0 otherwise.

Value

A state vector of the same length as the signal vectors.

Author(s)

Robert Sams [e-mail]

Examples

## statemap is invertable
statemap(p <- phasemap(s <- c(0,0,1,1,1,1,-1,-1,-1,0,0))) == s
## phasemap is not always invertable.. for example
q <- p
q[4] <- 8
phasemap(statemap(q)) == q

el <- c(TRUE,FALSE)
es <- c(FALSE,FALSE)
signalmap(el, es)
el[2] <- TRUE
xl <- c(FALSE,TRUE)
signalmap(el, es, xl)
signalmap(el, es, xl, entrywins=TRUE)

el <- c(TRUE,FALSE,TRUE)
es <- c(FALSE,FALSE,FALSE)
xl <- c(FALSE,TRUE,FALSE)

signalmap(el, es, xl)
signalmap(es, el, FALSE, xl)

tradesys documentation built on May 2, 2019, 4:53 p.m.