roll_sd_filter

<p>number of consequent large returns to stop filtering out</p>

<p>Logical vector is returned. This function is useful to filter ticks. Finds consequent elements which absolute change is higher than k standard deviation of past n changes and mark them <code>FALSE</code>. If sequence length greater than <code>m</code> values become <code>TRUE</code>.</p>

Download and organize historical market data from multiple sources like Yahoo (<https://finance.yahoo.com>), Google (<https://www.google.com/finance>), Finam (<https://www.finam.ru/profile/moex-akcii/sberbank/export/>), MOEX (<https://www.moex.com/en/derivatives/contracts.aspx>) and IQFeed (<https://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup>). Code your trading algorithms in modern C++11 with powerful event driven tick processing API including trading costs and exchange communication latency and transform detailed data seamlessly into R. In just few lines of code you will be able to visualize every step of your trading model from tick data to multi dimensional heat maps.

roll_sd_filter: Rolling Filter

Description

Usage

Arguments