[R-SIG-Finance] Quantstrat - Multi-symbol (cross-section) analysis implimentation question..
frankm60606 at gmail.com
Sun Jul 30 21:53:54 CEST 2017
Well, reproducible code would get us all closer to making helpful
suggestions. Would you show us the code to read in two futures price streams
and make your calculation? Then we can see what the ranking problem is.
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf
Of Michael Chen
Sent: Sunday, July 30, 2017 12:11 PM
To: r-sig-finance <R-SIG-Finance at r-project.org>
Subject: [R-SIG-Finance] Quantstrat - Multi-symbol (cross-section) analysis
I am trying to impliment a seemingly simple analysis in Quanstrat, but I am
stuck. Let's say that I have 50 futures in my data frame. Each future is a
time series of OHLC data. I want to at each time stamp, compare the value
of an indicator for each future and rank the futures accordingly. For
example, I want to rank the futures based on each's 5-day return. How do I
impliment this in Quanstrat?
So far, the only way I came up with go get around this is to pre-process
each future's data then store the ranking data for each future in its own
data set. But this is not flexible and cumbersome.
Thank your for any suggestions, obviously I don't have a reproducible code
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