forecast_input: Forecast Input

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Adds given metric as an explanatory variable to forecast model

Usage

forecast_input(forecast,metric)

Arguments

forecast	Object of class forecast
metric	Object of class metric

Value

Object of class forecast

Author(s)

Kostin Andrey <[e-mail]>

Examples

## Not run: 
dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '360s',
                   resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
positionGOOG=position_add(portfolio,'GOOG',150) 

forecastVariance_1=forecast_builder(variance(positionAAPL),window="1d")
# plot(forecast_apply(forecastVariance),variance(positionAAPL),legend=c('Forecast','Simple'))

forecastVariance_2=forecast_builder(variance(positionAAPL),window="1d")
forecastVariance_2=forecast_input(forecastVariance_2,beta(positionAAPL))
plot(forecast_apply(forecastVariance_1),forecast_apply(forecastVariance_2),
     variance(positionAAPL),legend=c('Forecast,without input','Forecast,with input','Simple'))

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.