roll_ic_stats: Rolling IC mean, standard deviation, and ICIR
In PortfolioTesteR: Test Investment Strategies with English-Like Code
roll_ic_stats R Documentation
Rolling IC mean, standard deviation, and ICIR
Description
Compute rolling information coefficient (IC) statistics from a per-date IC series.
Usage
roll_ic_stats(ic_dt, window = 26L)
Arguments
ic_dt
Data frame/data.table produced by ic_series with columns Date and IC.
window
Integer window length for the rolling statistics.
Details
For each rolling window, compute the mean IC, the standard deviation of IC,
and the information coefficient ratio (ICIR = mean / sd). Windows with fewer
than two finite IC values yield NA for ICIR.
Value
A data.table with columns Date, IC_mean, IC_sd, and ICIR.
PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.
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| roll_ic_stats | R Documentation |
Rolling IC mean, standard deviation, and ICIR
Description
Compute rolling information coefficient (IC) statistics from a per-date IC series.
Usage
roll_ic_stats(ic_dt, window = 26L)
Arguments
ic_dt |
Data frame/data.table produced by |
window |
Integer window length for the rolling statistics. |
Details
For each rolling window, compute the mean IC, the standard deviation of IC,
and the information coefficient ratio (ICIR = mean / sd). Windows with fewer
than two finite IC values yield NA for ICIR.
Value
A data.table with columns Date, IC_mean, IC_sd, and ICIR.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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