Exponential moving average standard devation
apply_pt_sl_on_t1(price, events, pt_sl = c(1, 1))
| price | xts or data.table with index and price columns |
|---|---|
| events | Indices that signify "events" (e.g. CUSUM events) |
| pt_sl | Element 0, indicates the profit taking level; Element 1 is stop loss level |
data.table; timestamps of when first barrier was touched