quantmod (version 0.3-1)

modelData: Extract Dataset Created by specifyModel

Description

Extract from a quantmod object the dataset created for use in modelling.

specifyModel creates a zoo object for use in subsequent workflow stages ( buildModel,tradeModel) that combines all model inputs, from a variety of sources, into one model frame.

modelData returns this object.

Usage

modelData(x, data.window = NULL, exclude.training = FALSE)

Arguments

x

a quantmod object

data.window

a character vector of subset start and end dates to return

exclude.training

remove training period

Value

• an object of class zoo containing all transformations to data specified in specifyModel.

Details

When a model is created by specifyModel, it is attached to the returned object. One of the slots of this S4 class is model.data.

See Also

specifyModel,getModelData

Examples

m <- specifyModel(Next(OpCl(SPY)) ~ Cl(SPY) + OpHi(SPY) + Lag(Cl(SPY)))
modelData(m)