approximateSLTP {aqr}R Documentation

Applies an approximated StopLoss/TakeProfit strategy on an incoming pnl series.

Description

Applies an approximated StopLoss/TakeProfit strategy on an incoming pnl series.

Usage

approximateSLTP(high, low, close, takeProfit, stopLoss, runningPosition,
  messages = FALSE)

Value

the rewritten pnl series.


[Package aqr version 0.5 Index]