braverock / braverock/quantstrat
Trying to create a signal for when intraday price crosses SMA or EMA
- Dominant language
- R
- Stars
- 310
- Forks
- 121
- PR merge metrics
- No merged PRs in 30d
Description
There seem to be plenty of examples of signals for crossovers between moving average functions but how would one go about creating a signal for when an intraday price crosses above or below a moving average? Or is there a function that even would use, for instance, the min price or max price of an equity within each day for comparison to, say, a 9 or 15 day SMA or EMA?
Contributor guide
Research direction
Start by reviewing the existing moving-average crossover signal examples and how quantstrat represents intraday prices. Clarify whether the intended change is a signal function or documentation, then define completion around detecting price crossings against 9- or 15-day SMA or EMA values using the requested intraday or daily extrema.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- r
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100