Market Timing with Moving Averages


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Documentation for package ‘matiming’ version 1.0

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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)