好的，这里。现在代码设置为signal == 1，存储比较价格。它将比较价格存储在同一行signal == 1。
目标是signal == 1。存储下一个比较价格+ 1 row below signal == 1。
new.df <- data.frame(new.df,response=0)
input <- new.df$close.detrend.n11 # Input column for code
signal <- new.df$detrend.signal.n11
nlines <- 10 # Time Stop
state <- "off"
for (i in 1:nrow(new.df)) { # loop through data
if (state == "off") { # off state, loop does nothing until signal = 1
if (signal[i] == 0) {
next
} else { # signal = 1 encountered, if not a 0 it will do whats below...
comparison_price <- input[i] # save current price for comparing ### Set to +1 row below signal ==1 row)
n_comparisons <- 0 # keep track of how many comparisons
state <- "on" # change state to "on"
}
} else if (state == "on") { # Above turned on as found signal = 1
new.df$response[i] <- 1
if (input[i] > comparison_price & n_comparisons >= 1) { # found higher price and line travel >=1, travel after +1 line to find nearest future highest price
state <- "off" # Turns off as found higher price, now does nothing until signal == 1
} else if (n_comparisons == 10) { # If no higher price and comparisons >=1, turn off
state <- "off" # Turns off as max limit reached
n_comparisons <- 0 # Sets count to 0
if (signal[i] == 1) { # Find signal match
comparison_price <- input[i] # Set price for comparing ### Set to +1 row below signal ==1 row)
n_comparisons <- 0 # Sets count to 0
state <- "off" # Turn off
}
} else if (n_comparisons == nlines) { # hit comparison limit
state <- "off" # Turns off as max limit reached
n_comparisons <- 0 # Sets count to 0
if (signal[i] == 1) { # Finds signal ==1
comparison_price <- input[i] # Set price for comparing ### Set to +1 row below signal ==1 row)
n_comparisons <- 0 # Set count to 0
state <- "on" # Turn On
}
} else { # price less or equal to comparison price
n_comparisons <- n_comparisons + 1
}
}
}
以下虚拟数据：
下面 new.df：
detrend.signal.n11 response close.detrend.n11
1 0 0 0.002044539
2 0 0 -0.022593487
3 1 0 -0.031842265
4 1 1 -0.065392575
5 0 1 -0.043699817
6 0 1 -0.014110718
7 0 0 -0.021899531
8 0 0 -0.013908376
9 0 0 -0.019580252
10 0 0 0.023034983
11 0 0 0.014598769
12 0 0 0.013928860
13 0 0 0.008568669
14 0 0 0.020220697
15 0 0 -0.003770356
16 0 0 -0.021588957
17 0 0 -0.018637185
18 0 0 -0.007193684
19 0 0 -0.013691624
20 0 0 -0.020903833
21 1 0 -0.036922613
22 0 1 -0.011845136
23 0 1 0.001115208
24 0 0 0.018121000
25 0 0 0.027648296
26 0 0 0.016920882
27 0 0 0.006321574
28 0 0 -0.012052026
29 0 0 -0.017340348
30 0 0 -0.029062592
31 0 0 -0.012560974
32 0 0 -0.029126952
33 0 0 -0.026220867
34 0 0 0.007337385
35 0 0 0.009356641
36 0 0 0.027851405
37 0 0 0.044130597
38 0 0 0.036630768
39 0 0 0.028685373
40 0 0 0.030813270
41 0 0 0.020690203
42 0 0 0.014865516
43 0 0 -0.001644471
44 0 0 0.011208823
45 0 0 0.009698927
答案 0 :(得分：1)
这是解决方案的骨架
prices <- round(cumsum(c(1400, rnorm(99, 20, 40))), 2)
signal <- sample(c(0, 1), 100, replace = TRUE, prob = c(0.9, 0.1))
df <- data.frame(
price = prices,
signal = signal,
response = 0
)
state <- "off"
for (i in 1:nrow(df)) { # loop through data
if (state == "off") { # off state, loop does nothing until signal = 1
if (df$signal[i] == 0) {
next
} else { # signal = 1 encountered
comparison_price <- df$price[i] # save current price for comparing
n_comparisons <- 0 # keep track of how many comparisons
state <- "on" # change state to "on"
}
} else if (state == "on") {
df$response[i] <- 1
if (df$price[i] > comparison_price) { # found higher price
state <- "off"
if (df$signal[i] == 1) {
comparison_price <- df$price[i]
n_comparisons <- 0
state <- "on"
}
} else if (n_comparisons == 10) { # hit comparison limit
state <- "off"
n_comparisons <- 0
if (df$signal[i] == 1) {
comparison_price <- df$price[i]
n_comparisons <- 0
state <- "on"
}
} else { # price less or equal to comparison price
n_comparisons <- n_comparisons + 1
}
}
}
df
关键是在遍历数据时保持某种状态，这里我使用了简单的"on"/"off"状态。在点击1信号后，搜索未来更高的值仅变为"on"。在10次比较失败后，它也会自动关闭。因为它没有处理它在1行信号的同一行上找到更高值的情况，它会在这样的行上自行关闭，但你可以添加代码将其重新打开。
编辑：
索引i表示此代码中的行号，for循环遍历1, 2, ..., n行数据的值n。因此，如果您想要下一行，请使用i + 1。
if (signal[i] == 1) { # Find signal match
comparison_price <- input[i + 1] # Set price for comparing ### Set to +1 row below signal ==1 row)
n_comparisons <- 0 # Sets count to 0
state <- "off" # Turn off
}
但是，如果您在数据的最后一行发现signal == 1，则没有下一行，因此您需要弄清楚如何处理。