cusum_filter — cusum_filter • mlfinance

Advances in Financial Machine Learning, Snippet 2.4, page 39. The Symmetric Dynamic/Fixed CUSUM Filter.

cusum_filter(price, threshold, return_datetime = TRUE)

Arguments

price	vector of prices
threshold	scalar or numeric vector of same size as price. When the change is larger than the threshold, the function captures it as an even
return_datetime	Should the function return datetime object or index of cusum filter

vector of cusum events or datetime of cusum events

data("spy")
cusum_events <- cusum_filter(subset(spy, select = c("index", "close")), 0.001)