Edge vs Duration - Signal Analysis Tool
Modeling tool returning +/-0.5 series for being above/below signal price
Function Syntax
=PFR.Edge_vs_Duration(Security, SignalDate, Periodicity, Interval, EstDurationBars, SignalBasis, EdgeSamplingInterval, RefreshMode)
Parameters
| Parameter |
Description |
| Security | Bloomberg security |
| SignalDate | Exact signal date/time |
| Periodicity | Bar scale |
| Interval | Bar interval for MINUTE |
| EstDurationBars | Estimated max duration bars |
| SignalBasis | HIGH, LOW, MIDPOINT, or CLOSE |
| EdgeSamplingInterval | Number of edge samples |
| RefreshMode | Refresh rate: INTERVAL, DAILY, WEEKLY, MONTHLY, or FREEZE |
Output Columns
| Column |
Description |
| Output 1 | Security Symbol |
| Output 2 | Series of +0.5/-0.5/blank values |
| Output 3 | Cumulative Edge% |
| Output 4 | Signed TMI |
| Output 5 | Hurst Band Position |
Note: This function requires Bloomberg Terminal to be running and logged in.