signal.generate.statistics: Signal Objective Function Calculation
Description
This function takes a list of matrix of post signal price changes and
applies an user defined objective function on it.
Usage
signal.generate.statistics(post.ret, obj.fun = NULL, decreasing = TRUE)
Arguments
post.ret
matrix of parameter set of post signal price deltas
obj.fun
custom objective function for measuring signal goodness
decreasing
if TRUE (the default), larger objective function values are better
Value
objective function values