portfolio_create: Creates new portfolio

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Creates new empty portfolio.
To add positions use position_add( ).
To remove positions use position_remove( ).

Usage

portfolio_create(index, fromTime, toTime, priceDataIx)

Arguments

index	Index symbol that should be used in the Single Index Model. Defaults to "SPY".
fromTime	Start of market data interval in "yyyy-MM-dd hh:mm:ss" format when internal market data is used. Offset from last available date/time by N days is denoted as "t-N" (e.g. "t-7" denotes offset by 7 days).
toTime	End of market data interval in "yyyy-MM-dd hh:mm:ss" format when internal market data is used. Offset from last available date/time by N days is denoted as "t-N" (e.g. "t-7" denotes offset by 7 days).
priceDataIx	Vector of (time, price) observations for market index asset when external market data is used.

Value

portfolio object

Author(s)

Kostin Andrey <[e-mail]>

See Also

position_add portfolio_settings position_remove

Examples

## Not run: 
data(aapl.data) 
data(goog.data) 
data(spy.data) 
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)  
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
result=compute(alpha_exante(portfolio),alpha_exante(positionGOOG),alpha_exante(positionAAPL)) 
plot(alpha_exante(portfolio),alpha_exante(positionGOOG),alpha_exante(positionAAPL),
legend=c('Portfolio','GOOG','AAPL'),title='Alpha')
print(portfolio)

portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',c(100,200),time=c(1412256601000,1412266600000),
priceData=goog.data) 
positionAAPL=position_add(portfolio,'AAPL',c(300,150),time=c(1412266600000,1412276600000),
priceData=aapl.data) 
plot(expected_return(portfolio),title="Expected Return")

portfolio=portfolio_create(fromTime="2014-09-01 09:00:00", toTime="2014-09-14 16:00:00")
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionSPY=position_add(portfolio,'SPY',500)
positionC=position_add(portfolio,'C',600)
plot(expected_return(portfolio),title="Portfolio Expected Return")

portfolio=portfolio_create(fromTime="2014-10-02 09:30:00", toTime="2014-10-02 16:00:00")
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionSPY=position_add(portfolio,'SPY',500)
positionC=position_add(portfolio,'C',600)
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data) 
position_add(portfolio,'AAPL',c(300,150),time=c(1412266600000,1412276600000),
priceData=aapl.data)
plot(expected_return(portfolio),title="Portfolio Expected Return")

portfolio=portfolio_create(fromTime="t-2", toTime="t")
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionSPY=position_add(portfolio,'SPY',500)
positionC=position_add(portfolio,'C',600)
plot(expected_return(portfolio),title="Portfolio Expected Return")

## End(Not run)

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