rank_within_sector: Rank Indicators Within Each Sector

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Rank Indicators Within Each Sector

Description

Ranks stocks within their sector for sector-neutral strategies. Enables selecting best stocks from each sector regardless of sector performance. Optimized using matrix operations within groups.

Usage

rank_within_sector(
  indicator_df,
  sector_mapping,
  method = c("percentile", "rank", "z-score"),
  min_sector_size = 3
)

Arguments

indicator_df	Data frame with Date column and indicator values
sector_mapping	Data frame with Symbol and Sector columns.
method	"percentile" (0-100), "rank" (1-N), or "z-score"
min_sector_size	Minimum stocks per sector (default: 3)

Value

Data frame with within-sector ranks/scores

Examples

data("sample_prices_weekly")
data("sample_sp500_sectors")
momentum <- calc_momentum(sample_prices_weekly, 12)
sector_ranks <- rank_within_sector(momentum, sample_sp500_sectors)

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