Generic back test function
Back test by enter and exit signals with stop loss on price history. Execution is immediate. Useful for testing on daily data.
back_test(enter, exit, price, stop_loss = -1000, side = 1L)
enter |
bool vector of length n of enter signals |
exit |
bool vector of length n of exit signals |
price |
numeric vector of length n of prices |
stop_loss |
relative stop loss, must be negative |
side |
direction of enter order, |
trades data.table with columns price_enter,price_exit,mtm_min,mtm_max,id_enter,id_exit,pnl_trade,side
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