f1nasf1
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| require(quantmod) | |
| require(SIT) | |
| dvi.indicator = function(prices) { | |
| dvi = TTR:::DVI(prices)[,3] | |
| indicator.long = ifelse(dvi <= 0.5, 1, 0) | |
| indicator.short = ifelse(dvi > 0.5, -1, 0) | |
| indicator = reclass(cbind(indicator.short + indicator.long), prices) |
mrbcuda
/ currency.png
Last active
December 29, 2018 05:28
A mashup of financial turbulence and regime switching examples having missing bits into a standalone example without missing bits. Uses sources from Quantivity and Systematic Investor blogs as well as the CRAN RHmm and TTR packages. Uses quantmod and FRED as a data source. The turbulence calculation clearly is not the same as referenced original…
