autostrat {ichimoku} | R Documentation |
Automated Ichimoku Strategies
Description
Generate a list of the top performing ichimoku cloud strategies based on simple indicator conditions of the form 'c1 > c2' (level 1), complex combined strategies of the form 'c1 > c2 & c3 > c4' (level 2), or complex asymmetric strategies of the form 'c1 > c2 x c3 > c4' (level 3).
Usage
autostrat(x, n = 8, dir = c("long", "short"), level = 1, quietly)
Arguments
x |
an ichimoku object. |
n |
[default 8] select top 'n' number of strategies to return. |
dir |
[default 'long'] trade direction, either 'long' or 'short'. |
level |
[default 1] to return simple strategies. For complex strategies, set level to 2 to return combined strategies of the form 's1 & s2' or level to 3 to return asymmetric strategies of the form 's1 x s2'. |
quietly |
(optional) if set to TRUE, will suppress printing of additional output to the console and return quietly. |
Details
Ichimoku objects for each strategy are returned as a list. The
cumulative log returns for all strategies as well as the summaries for
the top 'n' strategies are saved as attributes to the list. This
information may be retrieved by using look
on the returned
list.
Each individual ichimoku object may be accessed via its position in the list, e.g. [[1]] for the 1st item.
Value
Returned invisibly, a list of 'n' ichimoku objects containing strategies, with attributes 'logret' (a vector of cumulative log returns for all strategies) and 'summary' (a matrix of summaries for the top 'n' strategies).
In addition, the strategy summaries are printed to the console.
Further Details
Please refer to the strategies vignette by calling:
vignette("strategies", package = "ichimoku")
Examples
cloud <- ichimoku(sample_ohlc_data, ticker = "TKR")
stratlist <- autostrat(cloud, n = 3, quietly = TRUE)
look(stratlist)
strat <- stratlist[[2]]
summary(strat)
autostrat(cloud, n = 1, dir = "short", level = 2)
autostrat(cloud, n = 1, dir = "long", level = 3)