Automated Trading with R by Chris Conlan

Author:Chris Conlan
Language: eng
Format: epub, pdf
Publisher: Apress, Berkeley, CA

EXIT <- mcTimeSeries(RSI, exitfunc, FALSE, 1, workers)

K <- 20

RESULTS <- simulate(SUBDATA[["Open"]], SUBDATA[["Close"]],

ENTRY, EXIT, FAVOR,

maxLookback, K, 100000,

0.0005, 0.01, 3.5, 0,

TRUE, 0)

Listing 7-4.Portfolio RSI Reversal

Summary Statistics and Performance Metrics

Listing 7-5 computes summary statistics and performance metrics given the list() results of a run with the simulator function. The outputs of the simulator function are sufficient to compute performance metrics as described in Table 1-1. Figures 7-1 and 7-2 plot the return series and equity curve for the abbreviated data running the MACD long-only strategy.

Figure 7-1.Return series for long-only MACD

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