Clean up the input data set

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Description

This function cleans up the input data set in the backtestGraphics function. This function checks if all the columns required by the backtestGraphics function exist in the input data set. If any columns are missing, this function will try to calculate or fill in the missing columns. If the input data set misses too much data/columns, this function will return an error indicating the missing columns.

Usage

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cleanup_column(x, name.var, id.var, date.var, nmv.var, gmv.var, pnl.var,
  contract.var, sector.var, strategy.var, substrategy.var, portfolio.var)

Arguments

x

is a data frame that contains the necessary information.

name.var

is the column name of the instrument name column in the input data set, character type. The default value of this variable is "name". The user has to specify name.var if she passes in a data frame with a different column name for the instrument name. The input data set must contain either a name column or an ID column.

id.var

is the column name of the instrument ID column, character type. The default value of this variable is "id". If the input data set labels the column of instrument ID's with some other column name, the user has to pass in the column name here. The input data set has to contain either a name column or an ID column.

date.var

is the column name of the date column, character type. The default value of this variable is "date". This column has to exist, and the column name has to be correct in order for the function to process the data set properly.

nmv.var

is the column name of the "net market value" column, character type. The default value of this variable is "start.nmv". The input data set has to contain either a "net market value" column or a "number of contract" column.

gmv.var

The column name of the "gross market value" column if exists, character type. The default value of this variable is "gmv". Such column will be automatically calculated from the "net market value" column if it does not exist.

pnl.var

The column name of the profit-and-loss column, character type. The default value of this variable is "pnl.adj". The data set has to contain such column so that the function can function properly. If such column is missing, the function will return an error indicating the problem.

contract.var

The column name of the contract number column, character type. The default value of this variable is "num.contract.start". If such column is missing, the function will instead use net market value as the contract number for each day.

sector.var

is the column name of the sector column, character type. The default value of this variable is "sector". The sector column helps the user to group instruments into big groups according to industries. The function will still perform properly if the column name for sector is wrong.

strategy.var

The column name of the strategy column, if any. Character type. The default value of this variable is "strategy". This column can be missing from the input data set.

substrategy.var

The column name of the substrategy column, if any. Character type. The default value of this variable is "substrategy". This column can be missing from the input data set.

portfolio.var

The column name of the portfolio number column, if any. Character type. The default value of this variable is "portfolio". This column can be missing from the input data set.

Value

x A data frame that only contains the needed data. The column names are cleaned up here.