Description Usage Arguments Value Author(s) See Also Examples
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,
resultsSamplingInterval = "1s",
inputSamplingInterval="none",
timeScale="1d",
txnCostPerShare=0,
txnCostFixed=0
1 | portfolio_settings(portfolio,...)
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portfolio |
Portfolio object created using portfolio_create( ) function |
... |
One of the following portfolio settings:
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Void
Kostin Andrey <andrey.kostin@portfolioeffect.com>
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 | ## Not run:
data(aapl.data)
data(goog.data)
data(spy.data)
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,
windowLength='3600s',
holdingPeriodsOnly=TRUE,
resultsSamplingInterval = '10s')
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data)
print(portfolio)
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 = '3600s',
resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300)
positionGOOG=position_add(portfolio,'GOOG',150)
plot(portfolio)
## End(Not run)
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