Title:
trend-follower-strategy-backtesting Download
- Category:
- source in ebook
- Tags:
-
- File Size:
- 3kb
- Update:
- 2016-06-08
- Downloads:
- 0 Times
- Uploaded by:
- 想飞
Description: 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.
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trend follower strategy backtesting\demoData.R
...................................\trend follower.R
trend follower strategy backtesting