Hi, I am just starting to use quantstat. To calculate quanstrat indicators, I need access to multiple subsets (as granular as individual values) of the mktdata object. How can I subset mktdata for multiple variables/paramters to an indicator function? Thank you for your help. John
quantstrat mktdata subsetting
4 messages · John Williams, Nick
I think this is an interesting question -- but I'm not sure what exactly it is you're trying to achieve. Perhaps you could try posting a detailed example of what your data is, how you'd like the output to look and perhaps some code (even pseudo code) so we don't have to guess at what you want. On Sat, Apr 25, 2015 at 9:39 AM, John Williams <john.b.williams at gmail.com> wrote:
Hi,
I am just starting to use quantstat. To calculate quanstrat indicators, I
need access to multiple subsets (as granular as individual values) of the
mktdata object.
How can I subset mktdata for multiple variables/paramters to an indicator
function?
Thank you for your help.
John
[[alternative HTML version deleted]]
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Nick,
the strategy under test includes an indicator derived from yesterday's HLC:
x = (yesterday's high + yesteday's low + yesterday's close )/3
If (today's close > x) {
...
} else {
...
}
Trying to figure out how to computer this x in a quantstrat indicator
Thanks for your help
On Fri, Apr 24, 2015 at 9:30 PM, Nick White <n-e-w at qtradr.net> wrote:
I think this is an interesting question -- but I'm not sure what exactly it is you're trying to achieve. Perhaps you could try posting a detailed example of what your data is, how you'd like the output to look and perhaps some code (even pseudo code) so we don't have to guess at what you want. On Sat, Apr 25, 2015 at 9:39 AM, John Williams <john.b.williams at gmail.com> wrote:
Hi,
I am just starting to use quantstat. To calculate quanstrat indicators, I
need access to multiple subsets (as granular as individual values) of the
mktdata object.
How can I subset mktdata for multiple variables/paramters to an indicator
function?
Thank you for your help.
John
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
I am thinking that TTR::lags() may do the trick ... e.g., lags(close,1) would return yesterday's close?