portfolio_defaultSettings: Portfolio Default Settings

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Advanced settings that regulate how porfolio metrics are computed, returned and stored. Default:

• portfolioMetricsMode="portfolio",

• windowLength = "1d",

• holdingPeriodsOnly = FALSE,

• shortSalesMode = "lintner",

• synchronizationModel = TRUE,

• jumpsModel = "moments",

• noiseModel = TRUE,

• fractalPriceModel=TRUE,

• factorModel = "sim",

• densityModel="GLD",

• driftTerm=FALSE,

• resultsNAFilter= TRUE,

• resultsSamplingInterval = "1s",

• inputSamplingInterval="1s",

• timeScale="1d",

• txnCostPerShare=0,

• txnCostFixed=0

Usage

portfolio_defaultSettings(portfolio)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function

Value

Void

Author(s)

Kostin Andrey <[e-mail]>

See Also

portfolio_create

Examples

## Not run: 
data(aapl.data) 
data(goog.data) 
data(spy.data) 
portfolio=portfolio_create(priceDataIx=spy.data)
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
portfolio_defaultSettings(portfolio,
				   inputSamplingInterval = '10s',
				   resultsSamplingInterval = '10s')
portfolio_getSettings(portfolio)
portfolio_defaultSettings(portfolio)
portfolio_getSettings(portfolio)


## End(Not run)

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