On 08/18/2012 10:12 PM, William Rechtin wrote:
> I'm building a SMI stratrgy using quantstrat and I'm wondering if
> anyone could explain situations when I would want to use the
> threshold function, versus the crossover function.
This begins to sound more and more like homework...
sigCrossover (and sigComparison) compare two columns of your data. The
classic example is a moving average cross.
sigThreshold compares the indicator to some threshold value of the
indicator itself. The classic example is any indicator that moves
between bounded values such as -1 and +1 or 0 and 1. If cross=TRUE, you
are looking to generate a signal on the timestamp that the indicator
crosses your threshold.
Stochastic Oscillators can be used to generate *both* threshold and
crossover 'signals' in classic usage, as discussed in the documentation
for the TTR function 'SMI'.
I'll leave it to you to sort out which columns of the SMI output you
plan to use to generate your signals, and whether you're using a
threshold value for overbought/oversold, or a crossover signal on %K/%D