add_vertical_barrier

Compute vertical barriers

add_vertical_barrier(
  t_events,
  close_date,
  num_days = 1,
  num_hours = 0,
  num_minutes = 0,
  num_seconds = 0
)

Arguments

t_events	Filtered events (e.g. feom CUSUM filter)
close_date	Poxscit object of close vector or some other price vector
num_days	Number of days into the future
num_hours	Number of hours into the future
num_minutes	Number of minutes into the future
num_seconds	Number of seconds into the future

Value

data.table with 2 columns: t_events and vertical barrier

Examples

data("spy")
cusum_events <- cusum_filter(subset(spy, select = c("index", "close")), 0.001)
add_vertical_barrier(cusum_events, spy$index, num_days = 1)
#>                   Datetime                  t1
#>     1: 2018-01-02 15:39:00 2018-01-03 15:39:00
#>     2: 2018-01-02 15:59:00 2018-01-03 15:59:00
#>     3: 2018-01-02 16:09:00 2018-01-03 16:09:00
#>     4: 2018-01-02 17:34:00 2018-01-03 17:34:00
#>     5: 2018-01-02 19:34:00 2018-01-03 19:34:00
#>    ---                                        
#> 17766: 2020-12-30 17:09:00 2020-12-31 17:09:00
#> 17767: 2020-12-30 17:49:00 2020-12-31 17:49:00
#> 17768: 2020-12-30 20:04:00 2020-12-31 20:04:00
#> 17769: 2020-12-30 20:34:00 2020-12-31 20:34:00
#> 17770: 2020-12-30 21:44:00 2020-12-31 21:44:00