Created
January 17, 2014 04:13
-
-
Save milktrader/8468295 to your computer and use it in GitHub Desktop.
long macro
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
julia> using TradeModels, MarketData | |
julia> @long cl rsi (.>) 50 nextday op | |
0.3999243140318183 |
what about this?
julia> @long op cl rsi (.>) 50
Or this?
julia> rsi50 = tradesignal(rsi(cl), 50, .>)
julia> @long op rsi50
Well, you can't loop over the last one, so that's out.
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
This is an annualized return, but it's not tested to be accurate. Currently just a hack