braverock / braverock/quantstrat

Trying to create a signal for when intraday price crosses SMA or EMA

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#154 2 comments 0 reactions 0 assignees View on GitHub
Dominant language
R
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Forks
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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

Open the contributing 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

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