[R-SIG-Finance] holding period quant mod ?

[Martin Bauer]

Hello,

here is my code


require(quantmod)
require(PerformanceAnalytics)
sym=getSymbols("SPY",from="1900-01-01")
ma=SMA(Ad(SPY),20)
sigl=ifelse(Ad(SPY)>ma, 1, 0)
ret=lag(sigl,1)*ROC(Ad(SPY),type="discrete",n=1)
re=merge(ret,ROC(SPY[,6],type="discrete",n=1))
table.Drawdowns(ret, top=10)
table.DownsideRisk(ret)

What is missing here - after two days of investment the position should be close

Any ideas ? - any library available to use ?

Looking for support

Many thanks in advance


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