[R] inbuilt crossover function for backtesting

[Joshua Ulrich]

On Sun, Aug 9, 2015 at 3:46 AM, boredstoog via R-help
<r-help at r-project.org> wrote:
> I am trying to built a simple moving average cross over strategy for
> backtesting. I have installed TTR and quantmod, quantstrat for that purpose.
> >From TTR package we can get functions for sma,bolinger band and other
> indicators. I want to know whether any inbuilt crossover function (not
> greater '>' or lesser '<') is available for R.
>
help.search("crossover") would have lead you to quantstrat::sigCrossover.

require(quantstrat)
getSymbols("SPY")
SPY$sma10 <- SMA(Cl(SPY),10)
SPY$sma30 <- SMA(Cl(SPY),30)
buy <- sigCrossover("buy", SPY, c("sma10","sma30"), "gt")
sell <- sigCrossover("sell", SPY, c("sma30","sma10"), "lt")

> Example
>
> sma10<-SMA(close,10)
> sma30<-SMA(close,30)
>
> buy<-Crossover(sma10,sma30)
> sell<-Crossover(sma30,sma10)
>
>
>
>
>
>
> --
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> Sent from the R help mailing list archive at Nabble.com.
>
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-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com