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milktrader/long.jl

Created January 17, 2014 04:13
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long macro
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long.jl
julia> using TradeModels, MarketData
julia> @long cl rsi (.>) 50 nextday op
0.3999243140318183
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milktrader commented Jan 17, 2014

This is an annualized return, but it's not tested to be accurate. Currently just a hack

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milktrader commented Jan 17, 2014

what about this?

julia> @long op cl rsi (.>) 50

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milktrader commented Jan 17, 2014

Or this?

julia> rsi50 = tradesignal(rsi(cl), 50, .>)

julia> @long op rsi50

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milktrader commented Jan 17, 2014

Well, you can't loop over the last one, so that's out.

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