SimpleReturn

priceFrom

priceTo

Number of rows for the two matrices' dislocation.

diff


Used to calculate close-to-close, open-to-close, etc, returns from given 
price matrices. Duration can be 0 or any positive integers. 


Return Matrix

Functions to execute orders in backtesting using tick data. A testing platform was established by the four major execution functions, namely 'LimitBuy', 'LimitSell', 'MarketBuy' and 'MarketSell', which enclosed all tedious aspects (such as queueing for order executions and calculate actual executed volumes) for order execution using tick data. Such that one can focus on the logic of strategies, rather than its execution.

SimpleReturn: Calculate Simple Price to Price Return

Description

Usage

Arguments

Value