evaluate_scores: Evaluate scores vs labels (IC and hit-rate)

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Evaluate scores vs labels (IC and hit-rate)

Description

Evaluate scores vs labels (IC and hit-rate)

Usage

evaluate_scores(
  scores,
  labels,
  top_frac = 0.2,
  method = c("spearman", "pearson")
)

Arguments

scores	Wide score panel.
labels	Wide label panel aligned to scores.
top_frac	fraction in the top bucket for hit-rate.
method	"spearman" or "pearson".

Value

data.table with ⁠Date, IC, hit_rate⁠; ICIR on attr(result,"ICIR").

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