Hi guys,
I've got some performance troubles with my trading signal generator,
which indicates when the system goes long or short.
I'm playing with some historical data and the for-loop isn't doing his
job very efficient. Is there some vectorial solution for this?
Here the for-loop:
> trade.long <- 0
> trade.short <- 0
> for (j in peak.days : dim(commodities[[i]])[1]) {
> # Trading Signal Long
> if (commodities[[i]][j, "High"] >= commodities[[i]][j,
"HighestHigh"] && trade.long == 0) {
> commodities[[i]][j, "Long"] <- 1
> trade.long <- 1
> }
> if (commodities[[i]][j, "Low"] <= commodities[[i]][j, "emaH"] &&
trade.long == 1) {
> commodities[[i]][j, "Long"] <- -1
> trade.long <- 0
> }
> # Trading Signal Short
> if (commodities[[i]][j, "Low"] <= commodities[[i]][j, "LowestLow"]
&& trade.short == 0) {
> commodities[[i]][j, "Short"] <- 1
> trade.short <- 1
> }
> if (commodities[[i]][j, "High"] >= commodities[[i]][j, "emaL"] &&
trade.short == 1) {
> commodities[[i]][j, "Short"] <- -1
> trade.short <- 0
> }
> } # for (j in peak.days : dim(commodities[[i]])[1])
Any ideas are very appreciated, because this for-loop takes about 2 -
3 hours to finish...
Thank you, Michael
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