On Sun, Aug 9, 2015 at 3:46 AM, boredstoog via R-help <r-help@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) > > > > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/inbuilt-crossover-function-for-backtesting-tp4710918.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.