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[blotter] Diff of /pkg/quantstrat/demo/faber.R
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Diff of /pkg/quantstrat/demo/faber.R

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revision 638, Fri Jun 24 14:03:50 2011 UTC revision 639, Fri Jun 24 14:29:06 2011 UTC
# Line 90  Line 90 
90    
91  # There are two signals:  # There are two signals:
92  # The first is when monthly price crosses over the 10-month SMA  # The first is when monthly price crosses over the 10-month SMA
93  stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="gt"),label="Cl.gt.SMA")  stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="gte"),label="Cl.gt.SMA")
94  # The second is when the monthly price crosses under the 10-month SMA  # The second is when the monthly price crosses under the 10-month SMA
95  stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="lt"),label="Cl.lt.SMA")  stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="lt"),label="Cl.lt.SMA")
96    
# Line 146  Line 146 
146  # R (http://r-project.org/) Quantitative Strategy Model Framework  # R (http://r-project.org/) Quantitative Strategy Model Framework
147  #  #
148  # Copyright (c) 2009-2010  # Copyright (c) 2009-2010
149  # Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich  # Peter Carl, Dirk Eddelbuettel, Brian G. Peterson,
150    # Jeffrey Ryan, Joshua Ulrich, and Garrett See
151  #  #
152  # This library is distributed under the terms of the GNU Public License (GPL)  # This library is distributed under the terms of the GNU Public License (GPL)
153  # for full details see the file COPYING  # for full details see the file COPYING

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