Add Regime change events to time series graphs — fg_RegimeChange • FinanceGraphs

Wrapper around the function RegimeChange::detect_regimes() to create events for fgts_dygraph()

Usage

fg_RegimeChange(indta, usereturns = TRUE, series = NULL, ...)

Arguments

indta: Time series data.table with a date as the first column and a value series as the second column.
usereturns: (default TRUE) LOgical to take log returns before changepoint calculations.
series: Which series in indta to apply changepoints to
...: Parameters passed to RegimeChange::detect_regimes()

Value

data.table suitable for passing into fgts_dygraph() via the event_ds parameter

Examples

if (requireNamespace("RegimeChange", quietly = TRUE)) {
dta <- tail(eqtypx[,.(date,QQQ,TLT)],260)
eventdt = fg_RegimeChange(dta,bootstrap_reps=50)
fgts_dygraph(dta,event_ds=eventdt,title="With Breakouts")
}