ml_ic_series_on_scores: Rank-IC series computed on score (rebalance) dates

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Rank-IC series computed on score (rebalance) dates

Description

Wrapper around ic_series() that first filters scores to formation dates using an internal filter that keeps rows where at least one score is finite.

Usage

ml_ic_series_on_scores(scores_dt, labels_dt, method = "spearman")

Arguments

scores_dt	Scores table (wide).
labels_dt	Labels table (wide).
method	Correlation method; "spearman" (default) or "pearson".

Value

A data frame/data.table with Date and IC values.

Examples

## Not run: 
ic <- ml_ic_series_on_scores(res_xgb$scores, Y, method = "spearman")

## End(Not run)

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