Chapter 7 Day trading

Our trading rule evaluation is based on PerformanceAnalytics package.

We evaluate several trading rules based on day trading:

1. buy signal based on simple filter rule
2. buy and sell signals based on simple filter rule
3. buy signal based on RSI
4. buy signal based on EMA and sell signal based on RSI
5. buy signal based on RSI but trading size depends on price history

By day trading, stocks are liquidated at the end of the trading day. Hence, there is no needed to keep track of stock holding.