[R-SIG-Finance] quantstrat custom intraday

Rob Schmidt roschm at ymail.com
Fri Mar 22 18:28:05 CET 2013


Hi Marteau,

This code has an example which shows how to read a csv input file containing
intraday data.
 
http://r.789695.n4.nabble.com/quantstrat-newbie-sigFormula-example-tp4661594.html

It reads Dukascopy time format.  You can compare this line:

dukasFormat = '%d.%m.%Y %H:%M:%S' 

to the time data in your csv file.  There is a small bit of a Dukascopy csv
file attached.

For that file you also need to redefine these values:

csvPath = '/home/rob/work/csvdata/dukascopy/'  #  these need to change
resultsPath = '/home/rob/work/R/quantstrat/' 

And see:

csvName = '' # assign an empty string to choose daily data from yahoo
# example file downloaded from dukascopy for evaluation
#csvName = 'AMZN.US_Candlestick_15_m_BID_01.01.2013-12.01.2013.csv'

Best regards,

Rob



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