一个用R语言写的trend follower strategy的案例，运行时将demoData.R放在工作目录下或者设置读取路径-The indicator will be generated by R’s lag() function. The signal will be to go long(short) if the price is higher(lower) than it was a year ago. In order to equalize risk across instruments, we are going to size our order with a lagging ten day ATR (that is, we use yesterday’s ATR to place our order sizes), and we will risk around 2 percent per trade. ATR stands for Average True Range and is

an indicator that can be found in the TTR package.