EVOLUTION-MANAGER
Edit File: SNR.html
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"><html xmlns="http://www.w3.org/1999/xhtml"><head><title>R: Signal to Noise Ratio</title> <meta http-equiv="Content-Type" content="text/html; charset=utf-8" /> <link rel="stylesheet" type="text/css" href="R.css" /> </head><body> <table width="100%" summary="page for SNR {TTR}"><tr><td>SNR {TTR}</td><td style="text-align: right;">R Documentation</td></tr></table> <h2>Signal to Noise Ratio</h2> <h3>Description</h3> <p>The n-day SNR for a given market is calculated by taking the absolute price change over an n-day period and dividing it by the average n-day volatility. </p> <h3>Usage</h3> <pre> SNR(HLC, n, ...) </pre> <h3>Arguments</h3> <table summary="R argblock"> <tr valign="top"><td><code>HLC</code></td> <td> <p>Object that is coercible to xts or matrix and contains High-Low-Close prices.</p> </td></tr> <tr valign="top"><td><code>n</code></td> <td> <p>Number of periods for moving average.</p> </td></tr> <tr valign="top"><td><code>...</code></td> <td> <p>Other arguments to be passed to <code><a href="ATR.html">ATR</a></code>.</p> </td></tr> </table> <h3>Details</h3> <p style="text-align: center;"><i>SNR = abs(Cl - lag(Cl,n)) / ATR(HLC, n)$atr</i></p> <p>Using average true range as the volatility measure captures more of the intraday and overnight volatility in a way that a measurement of Close-to-Close price change does not. </p> <p>The interpretation is then relatively intuitive: an SNR value of five indicates that the market has moved five times the volatility (average true range) over the given look-back period. </p> <h3>Value</h3> <p>A object of the same class as HLC or a matrix (if try.xts fails) containing the signal to noise ratio. </p> <h3>Author(s)</h3> <p>Peter Carl </p> <h3>References</h3> <p>Skeggs, James and Hill, Alex (2015). Back in Black Part 2: The Opportunity Set for Trend Following. </p> <hr /><div style="text-align: center;">[Package <em>TTR</em> version 0.24.3 <a href="00Index.html">Index</a>]</div> </body></html>