approximateSLTP {aqr}R Documentation

Approximates StopLoss/TakeProfit for a given PNL series and an HLC series.

Description

This function uses the generatePnlCurve function to forward generate a PNL curve. Best, test it with your own series to understand how it works (or contribute documentation).

Usage

approximateSLTP (high, low, close, takeProfit, stopLoss, runningPosition, messages=FALSE)

Arguments

high

an XTS object containing the highs of a price series

low

an XTS object containing the lows of a price series

close

an XTS object containing the closes of a price series

takeProfit

an absolute value when to trigger a take profit action

stopLoss

an absolute value when to trigger a stop loss action

runningPosition

the running position

messages

whether to print informational message or not, defaults to FALSE

Value

a two column matrix with position and pnl, where position is a rewritten version of the input


[Package aqr version 0.4 Index]