quantstrat (version 0.8.2)

applyIndicators: apply the indicators in the strategy to arbitrary market data


applyIndicators will take the mktdata object, and will apply each indicator specified in the strategy definition to it.


applyIndicators(strategy, mktdata, parameters = NULL, ...)


an object of type 'strategy' to add the indicator to
an xts object containing market data. depending on indicators, may need to be in OHLCV or BBO formats
named list of parameters to be applied during evaluation of the strategy
any other passthru parameters


mktdata with indicators colums added.


If the indicator function returns an xts object or a vector of the same length as mktdata, the columns created by the indicator function will be added to the mktdata object via cbind.

If the indicator function returns multiple columns, the label will be paste'd to the end of either the returned column names or the respective column number when applying it to mktdata.

If the indicator returns some more complexobject, it will be added to a list in the $indicators slot inside the applyStrategy execution frame. If you want your indicators to return a more complex object, (such as a model specification and output from a regression), be advised that your signal generator, and potentially your rule function, will need to understand, anticipate, and know how to manipulate the internal strategy frame.


Run this code
## Not run: 
# strategy("example", store=TRUE)
# getSymbols("SPY", src='yahoo')
# add.indicator('example', 'SMA', arguments=list(x=quote(Ad(SPY)), n=20))
# str(getStrategy('example')$indicators)
# out <- applyIndicators('example', SPY)
# tail(out)
# ## End(Not run)

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