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Using sigComparison

A sigComparison signal is a simple and useful way to compare two (hopefully related) quantities, such as two moving averages. Often, a sigComparison signal does not create a buy or sell signal by itself (as such a signal would involve buying or selling on every such day), but is most often useful as a filter for when another buy or sell rule should be followed.

In this exercise, you will use sigComparison() to generate a signal comparison that specifies that the 50-day simple moving average (SMA) must be above the 200-day simple moving average (SMA). You will label this signal longfilter, because it signals that the short-term average is above the long-term average.

Diese Übung ist Teil des Kurses

Financial Trading in R

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Anleitung zur Übung

  • Use add.signal() to add a sigComparison specifying that SMA50 must be greater than SMA200.
  • Label this signal longfilter.

Interaktive Übung

Vervollständige den Beispielcode, um diese Übung erfolgreich abzuschließen.

# Add a sigComparison which specifies that SMA50 must be greater than SMA200, call it longfilter
add.signal(strategy.st, name = "sigComparison", 
           
           # We are interested in the relationship between the SMA50 and the SMA200
           arguments = list(columns = c("___", "___"), 
                            
                            # Particularly, we are interested when the SMA50 is greater than the SMA200
                            relationship = "___"),
           
           # Label this signal longfilter
           label = "___")
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