Introd u ction to signals FIN AN C IAL TR AD IN G IN R Il y a - - PowerPoint PPT Presentation

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Mar 13, 2023 275 likes •527 views

Introd u ction to signals FIN AN C IAL TR AD IN G IN R Il y a Kipnis Professional Q u antitati v e Anal y st and R programmer What are signals ? Signals are the interactions of : Market data w ith indicators Indicators w ith other indicators E

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Introduction to signals

FIN AN C IAL TR AD IN G IN R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

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FINANCIAL TRADING IN R

What are signals?

Signals are the interactions of: Market data with indicators Indicators with other indicators Examples: 50-day MA crossing over 200-day MA Oscillator crosses under 20 Signal is necessary (but not sucient) for buy/sell order

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Using add.signal()

Very similar to the process for creating indicators Only a few signal functions

add.signal(strategy.st, name = “function", arguments = list(arguments), label = "label")

Again, similar to apply family

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Four types of signals

sigComparison : Relationship between two indicators, returns 1 if relationship is true sigCrossover: Similar to sigComparison, returns 1 on the rst

ccurrence

sigThreshold: Compares range-bound indicator to a static quantity sigFormula: Flexible signal function

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Examples

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FINANCIAL TRADING IN R

Examples

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Let's practice!

FIN AN C IAL TR AD IN G IN R

SLIDE 8

sigComparison and sigCrossover

FIN AN C IAL TR AD IN G IN R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

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FINANCIAL TRADING IN R

Trend indicators

sigCrossover and sigComparison

Both compare two variable quantities Example: shorter lookback MA crosses over longer lookback MA (50- day versus 200-day SMA)

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Structure

add.signal(strategy.st, name = "sigComparison", arguments = list(columns = c("str1", "str2"), relationship = "lt" ), label = "siglabel") add.signal(strategy.st, name = "sigCrossover", arguments = list(columns = c( "str1", "str2"), relationship = "eq"), label = "siglabel")

“gt”, “lt”, “eq”, “lte”, “gte”

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FINANCIAL TRADING IN R

Structure

add.signal(strategy.st, name = "sigCrossover", arguments = list(columns = c("SMA50", "SMA200"), relationship = "gt"), label = "longfilter") add.signal(strategy.st, name = "sigComparison", arguments = list(columns = c("SMA50", "SMA200", relationship = "lt" ), label = "filterexit")

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Examples

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Let's practice!

FIN AN C IAL TR AD IN G IN R

SLIDE 14

sigThreshold

FIN AN C IAL TR AD IN G IN R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

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FINANCIAL TRADING IN R

About sigThreshold

deals with bounded indicators interacting with critical (and usually xed) values Examples: when the DVO crosses under 20

n indicator with running probability value (between 0 and

n rolling ratio’s that center on 0

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Structure

add.signal(strategy.st, name = “sigThreshold", arguments = list(column = "str1", threshold = 20, cross = TRUE, relationship = "lt" ), label = "siglabel")

cross = TRUE mimics sigCrossover cross = FALSE mimics sigComparison

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Examples

add.signal(strategy.st, name = “sigThreshold", arguments = list(column = "DVO_2_126", threshold = 20, cross = FALSE, relationship = “lt"), label = "thresholdfilter") add.signal(strategy.st, name = “sigThreshold", arguments = list(column = "DVO_2_126", threshold = 80, cross = TRUE, relationship = "gt"), label = "thresholdfilter")

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FINANCIAL TRADING IN R

Examples

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Let's practice!

FIN AN C IAL TR AD IN G IN R

SLIDE 20

sigFormula

FIN AN C IAL TR AD IN G IN R

Ilya Kipnis

Professional Quantitative Analyst and R programmer

SLIDE 21

FINANCIAL TRADING IN R

About sigFormula

Catch-all signal allowing for combinations of signals Uses string evaluation Example: ONLY act upon oscillator signaling if favorable market environment (50-day SMA above 200-day SMA) make sure to buy a temporary pullback, not a large decline

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Structure

add.signal(strategy.st, name = "sigFormula", arguments = list(formula = "statement1 & statement2”, cross = TRUE), label = "yourlabel")

Base R: if( statement 1 and statement 2)

add.signal(strategy.st, name = "sigFormula", arguments = list(formula = "regular logical statement inside an if statement", cross = TRUE), label = "yourlabel")

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FINANCIAL TRADING IN R

Example

add.signal(strategy.st, name = “sigFormula", arguments = list(formula = "longthreshold & longfilter", cross = TRUE), label = "longentry")

make sure that the columns in the logical statement are in the strategy prior to the sigFormula signal call

SLIDE 24

Let's practice!

FIN AN C IAL TR AD IN G IN R