position {ttrTests}R Documentation

Position Function

Description

Obsoleted by 'indicator' function, but called from there so must be included in the package.

Usage

position(x, ttr = "macd4", params = 0, burn = 0, short = FALSE,
condition = NULL)

Arguments

x A univariate series
ttr The TTR to be used. Can be a character string for built-in TTRs, or a user defined function whose output is a position series s(t). See 'defaults' for a list of built-in TTRs.
params Used to compute the TTR. Will be passed to a user defined function. Hence a user defined function should have at least 2 inputs, the data set and a vector or list of parameters
burn When computing the position function s(t), values for t < burn will be forced to 0, i.e. no position held during the 'burn' period
short Logical. If false the position function s(t) will be forced to 0 when it would otherwise be -1, i.e. no short selling
condition An extra opportunity to restrict the TTR so that position is forced to 0 under some condition. Must be a binary string of the same length as the data 'x'. See notes for more details.

Value

Value returned to function 'indicator' is returned as 'pos'

Note

The user-supplied 'Condition' series should be zero during any time period when there should not be any position, and one otherwise. If none is given, a string of all ones is default. Such a restriction could be no positions held during certain times or any other external condition.

Author(s)

David St John


[Package ttrTests version 1.4 Index]