I have been looking high and low on this. I am pulling out my hair on trying to code this financial algorithm. Can anyone help?
The inputs of my model is:
These inputs include:
Scalar time series of x0 , x1, ? ??, xn,
Input m is a period
x with the hat is a simple moving average (show coded algorithm for this as well)
? () is a selector, i.e. ? (x) =1 if x>0, else ? (x) = 0
I have attached the algorithm and simple moving average calculation in a zip as well.