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Build a return signal from registered return features

Source: R/strategy-helpers.R
signal_return.Rd

signal_return() reads the return_<lookback> feature for every instrument in ctx$universe and returns a ledgr_signal. The required indicator must already be registered on the experiment, for example with features = list(ledgr_ind_returns(20)); this helper never auto-registers indicators.

Usage

signal_return(ctx, lookback = 20L)

Arguments

ctx

ledgr strategy context.

lookback

Positive integer return lookback.

Value

A ledgr_signal object.

Details

If lookback is supplied through params$lookback in a strategy or parameter grid, register every concrete return_<lookback> feature before ledgr_run(). For example, a sweep over 5, 10, and 20 bars needs ledgr_ind_returns(5), ledgr_ind_returns(10), and ledgr_ind_returns(20) in the experiment's features.

Articles

Strategy helper pipelines: vignette("strategy-development", package = "ledgr") system.file("doc", "strategy-development.html", package = "ledgr")

Examples

ctx <- list(
  universe = c("AAA", "BBB"),
  feature = function(id, feature_id) c(AAA = 0.03, BBB = NA_real_)[[id]]
)
signal_return(ctx, lookback = 5)
#> <ledgr_signal> [2 assets]
#> origin: return_5
#> non-NA: 1/2
#>  AAA  BBB 
#> 0.03   NA