quantstrat (version 0.16.7)

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

See Also

apply.paramset.signal.analysis