stiFromSignal-class: Class "stiFromSignal"

In portfolioSim: Framework for simulating equity portfolio strategies

Description

Class "stiFromSignal" is an interface that stores information regarding portfolio formation and trading to be used in determining trades during the simulation.

Objects from the Class

Objects can be created by calls of the form new("stiFromSignal", ...)

Slots

in.var:

Object of class "character" representing a column in the data interface to be used the "in.var" for creating portfolios.

type:

Object of class "character" representing the type of weight calculation to be used.

size:

Object of class "characterOrNumeric" representing the size of the portfolio to be created during the simulation.

sides:

Object of class "character" containing "long", "short", or both, indicating the type of portfolio to be created.

equity:

Object of class "numeric" representing the equity for the portfolio.

target:

Object of class "environment" representing the environment in which to search for the target portfolio.

rebal.on:

Object of class "orderable" containing the periods at which the portfolio should be rebalanced during the simulation.

trading.style:

Object of class "character" representing the trading style to use during the simulation. Defaults to "immediate".

chunk.usd:

Object of class "numeric" specifying the size of chunk to use in the interface's tradelist generation algorithm. May be ignored depending on which trading.style is used. Defaults to 50000.

turnover:

Object of class "numeric" specifying the turnover limit to use in the interface's tradelist generation algorithm. May be ignored depending on which trading.style is used. Defaults to Inf (no limit).

Extends

Class "simTradesInterface", directly.

Methods

initialize

signature(.Object = "stiFromSignal"): Initializes the interface by setting the target environment.

getSimTrades

signature(object = "stiFromSignal", period = "orderable", holdings = "portfolio", sim.data = "simData", vebose = "logical"): Returns an object of class "simTrades" containing all the trades that should be made for this period.

Author(s)

Jeff Enos [e-mail]

portfolioSim documentation built on May 1, 2019, 9:23 p.m.