weight_by_signal: Signal-Based Portfolio Weighting
In PortfolioTesteR: Test Investment Strategies with English-Like Code
weight_by_signal R Documentation
Signal-Based Portfolio Weighting
Description
Weights selected securities proportionally to their signal strength.
Stronger signals receive higher allocations.
Usage
weight_by_signal(selected_df, signal_df)
Arguments
selected_df
Binary selection matrix
signal_df
Signal values for weighting
Value
Data.table with signal-proportional weights
Examples
data("sample_prices_weekly")
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
selected <- filter_top_n(momentum, 10)
# Weight by momentum strength
weights <- weight_by_signal(selected, momentum)
PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.
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| weight_by_signal | R Documentation |
Signal-Based Portfolio Weighting
Description
Weights selected securities proportionally to their signal strength. Stronger signals receive higher allocations.
Usage
weight_by_signal(selected_df, signal_df)
Arguments
selected_df |
Binary selection matrix |
signal_df |
Signal values for weighting |
Value
Data.table with signal-proportional weights
Examples
data("sample_prices_weekly")
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
selected <- filter_top_n(momentum, 10)
# Weight by momentum strength
weights <- weight_by_signal(selected, momentum)
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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