approximateSLTP: Approximates StopLoss/TakeProfit for a given PNL series and an HLC series.
Description
This function uses the generatePnlCurve function to forward generate a PNL curve.
Best, test it with your own series to understand how it works (or contribute documentation).
Usage
approximateSLTP (high, low, close, takeProfit, stopLoss, runningPosition, messages=FALSE)
Arguments
high
an XTS object containing the highs of a price series
low
an XTS object containing the lows of a price series
close
an XTS object containing the closes of a price series
takeProfit
an absolute value when to trigger a take profit action
stopLoss
an absolute value when to trigger a stop loss action
runningPosition
the running position
messages
whether to print informational message or not, defaults to FALSE
Value
a two column matrix with position and pnl, where position is a rewritten version of the input