calc_sector_relative_indicators: Calculate Indicators Relative to Sector Average

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Calculate Indicators Relative to Sector Average

Description

Measures how each stock's indicator compares to its sector benchmark. Enables sector-neutral strategies and identifies sector outperformers.

Usage

calc_sector_relative_indicators(
  indicator_df,
  sector_mapping,
  method = c("difference", "ratio", "z-score"),
  benchmark = c("mean", "median"),
  ratio_threshold = 0.01,
  min_sector_size = 2
)

Arguments

indicator_df	Data frame with Date column and indicator values
sector_mapping	Data frame with Symbol and Sector columns.
method	"difference" (absolute), "ratio" (relative), or "z-score"
benchmark	"mean" or "median" sector average
ratio_threshold	Minimum denominator for ratio method (default: 0.01)
min_sector_size	Minimum stocks per sector (default: 2)

Value

Data frame with sector-relative values

Examples

# Find stocks outperforming their sector
data("sample_prices_weekly")
data("sample_sp500_sectors")
momentum <- calc_momentum(sample_prices_weekly, 12)
relative_momentum <- calc_sector_relative_indicators(
  momentum, sample_sp500_sectors, method = "difference"
)

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.