文件名称:trend-follower-strategy-backtesting
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- 上传时间：2016-06-08
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一个用R语言写的trend follower strategy的案例，运行时将demoData.R放在工作目录下或者设置读取路径-The indicator will be generated by R’s lag() function. The signal will be to go long(short) if the price is higher(lower) than it was a year ago. In order to equalize risk across instruments, we are going to size our order with a lagging ten day ATR (that is, we use yesterday’s ATR to place our order sizes), and we will risk around 2 percent per trade. ATR stands for Average True Range and is
an indicator that can be found in the TTR package.
an indicator that can be found in the TTR package.
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下载文件列表
trend follower strategy backtesting/demoData.R
trend follower strategy backtesting/trend follower.R
trend follower strategy backtesting
trend follower strategy backtesting/trend follower.R
trend follower strategy backtesting
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