back.test |
Finds the optimal trading strategies in a back-test (in-sample test) |
best.is.strategies |
Reports the best trading strategies in a back-test (in-sample test) |
descriptive.statistics |
Computes the summary statistics of the moving average trading strategy and the corresponding buy-and-hold strategy |
djia.daily |
Daily returns of the Dow Jones Industrial Average index |
djia.monthly |
Monthly returns of the Dow Jones Industrial Average index |
DMA |
Computes the Double Exponential Moving Average (DMA) |
EMA |
Computes the Exponential Moving Average (EMA) |
Excret |
Computes the mean excess return |
forward.test |
Simulates the returns to the out-of-sample trading strategy |
HMA |
Computes the Hull Moving Average (HMA) |
is.outperformance.plot |
Plots the trading strategies rolling outperformance |
LMA |
Computes the Linear Moving Average (LMA) |
oos.outperformance.plot |
Plots the rolling outperformance of the OOS strategy |
outperformance.test |
Tests whether the moving average strategy outperforms its passive counterpart |
Sharpe |
Computes the Sharpe ratio |
sim.cdir.strategy |
Simulates the returns to the Moving Average Change of Direction (CDIR) strategy |
sim.mac.strategy |
Simulates the returns to the Moving Average Crossover (MAC) strategy |
sim.macd.strategy |
Simulates the returns to the Moving Average Convergence Divergence (MACD) strategy |
sim.mae.strategy |
Simulates the returns to the Moving Average Envelope (MAE) strategy |
sim.mom.strategy |
Simulates the returns to the Momentum (MOM) strategy |
sim.results.merge |
Merges the results of simulating the returns to different trading strategies |
SMA |
Computes the Simple Moving Average (SMA) |
Sortino |
Computes the Sortino ratio |
sp500.daily |
Daily returns of the Standard and Poor's Composite index |
sp500.monthly |
Monthly returns of the Standard and Poor's Composite index |
ZMA |
Computes the Zero Lag Exponential Moving Average (ZMA) |