get_events — get_events • mlfinance

Advances in Financial Machine Learning, Snippet 3.6 page 50. Getting the Time of the First Touch, with Meta Labels

get_events(
  price,
  t_events,
  pt_sl,
  target,
  min_ret,
  vertical_barrier_times = NA,
  side_prediction = NA
)

Arguments

price	xts or data.table with index and price columns
t_events	These are timestamps that will seed every triple barrier (e. g. CUSUM events)
pt_sl	vector; Element 0, indicates the profit taking level; Element 1 is stop loss level. A non-negative float that sets the width of the two barriers.
target	of values that are used to determine the width of the barrier.
min_ret	he minimum target return required for running a triple barrier search.
vertical_barrier_times	Verticla barrier timestamp
side_prediction	Side of the bet (long/short) as decided by the primary model

Value

Events -events t0 is event's starttime -events t1 is event's endtime -events trgt is event's target -events side (optional) implies the algo's position side -events pt is profit taking multiple -events sl is stop loss multiple

Examples

data("spy")
close <- subset(spy, select = c("index", "close"))
daily_vol <- daily_volatility(close)
cusum_events <- cusum_filter(close, 0.001)
vertical_barriers <- add_vertical_barrier(cusum_events, spy$index, num_days = 1)
events <- get_events(price = close,
                     t_events = cusum_events,
                     pt_sl = c(1, 2),
                     target = daily_vol,
                     min_ret = 0.005,
                     vertical_barrier_times=vertical_barriers,
                     side_prediction=NA)