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

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revision 621, Thu Jun 9 23:18:04 2011 UTC revision 639, Fri Jun 24 14:29:06 2011 UTC
# Line 103  Line 103 
103    
104  # There are two signals:  # There are two signals:
105  # The first is when monthly price crosses over the 10-month SMA  # The first is when monthly price crosses over the 10-month SMA
106  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")
107  # 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
108  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")
109    
# Line 152  Line 152 
152  # R (http://r-project.org/) Quantitative Strategy Model Framework  # R (http://r-project.org/) Quantitative Strategy Model Framework
153  #  #
154  # Copyright (c) 2009-2010  # Copyright (c) 2009-2010
155  # Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich  # Peter Carl, Dirk Eddelbuettel, Brian G. Peterson,
156    # Jeffrey Ryan, Joshua Ulrich, and Garrett See
157  #  #
158  # 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)
159  # for full details see the file COPYING  # for full details see the file COPYING

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