[R-SIG-Finance] How to optimize a trading singal generator (for-loop)?

[Michael Zak]

Hi guys,

I've got some performance troubles with my trading signal generator,  
which indicates when the system goes long or short.
I'm playing with some historical data and the for-loop isn't doing his  
job very efficient. Is there some vectorial solution for this?

Here the for-loop:

 > trade.long  <- 0
 > trade.short <- 0
 > for (j in peak.days : dim(commodities[[i]])[1]) {
 > 	# Trading Signal Long
 > 	if (commodities[[i]][j, "High"] >= commodities[[i]][j,  
"HighestHigh"] && trade.long == 0) {
 > 		commodities[[i]][j, "Long"] <- 1
 > 		trade.long <- 1
 > 	}
 > 	if (commodities[[i]][j, "Low"] <= commodities[[i]][j, "emaH"] &&  
trade.long == 1) {
 > 		commodities[[i]][j, "Long"] <- -1
 > 		trade.long <- 0
 > 	}
 > 	# Trading Signal Short
 > 	if (commodities[[i]][j, "Low"] <= commodities[[i]][j, "LowestLow"]  
&& trade.short == 0) {
 > 		commodities[[i]][j, "Short"] <- 1
 > 		trade.short <- 1
 > 	}
 > 	if (commodities[[i]][j, "High"] >= commodities[[i]][j, "emaL"] &&  
trade.short == 1) {
 > 		commodities[[i]][j, "Short"] <- -1
 > 		trade.short <- 0
 > 	}
 > } # for (j in peak.days : dim(commodities[[i]])[1])


Any ideas are very appreciated. Thank you, Michael