Using sigFormula()
The last signal function is a bit more open-ended. The sigFormula() function uses string evaluation to offer immense flexibility in combining various indicators and signals you already added to your strategy in order to create composite signals. While such catch-all functionality may seem complicated at first, with proper signal implementation and labeling, a sigFormula signal turns out to be the simplest of logical programming statements encapsulated in some quantstrat syntactical structuring.
In this exercise, you will get a taste of what the sigFormula function can do by stepping through the logic manually. You will need to use the applyIndicators() and applySignals() functions.
This exercise is part of the course
Financial Trading in R
Exercise instructions
- Use
applyIndicators()with the open, high, low, and close ofSPYto generate a dataset object calledtest_init. - Use
applySignals()withtest_initto apply the signals you wrote in this chapter. Save this new dataset object astest.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Create your dataset: test
test_init <- applyIndicators(strategy.st, mktdata = OHLC(___))
test <- applySignals(strategy = strategy.st, mktdata = ___)