filter_options: Create Filter Options

In tidyfinance: Tidy Finance Helper Functions

Create Filter Options

Description

Creates a list of filter options of class tidyfinance_filter_options used for sample construction in TidyFinance-related functions. These options control which observations are retained before portfolio sorting.

Usage

filter_options(
  exclude_financials = FALSE,
  exclude_utilities = FALSE,
  min_stock_price = NULL,
  min_size_quantile = NULL,
  min_listing_age = NULL,
  exclude_negative_book_equity = FALSE,
  exclude_negative_earnings = FALSE,
  ...
)

Arguments

exclude_financials	A logical indicating whether to exclude financial firms (SIC codes 6000–6799). Defaults to FALSE.
exclude_utilities	A logical indicating whether to exclude utility firms (SIC codes 4900–4999). Defaults to FALSE.
min_stock_price	A single positive numeric specifying the minimum stock price required to include an observation. NULL (the default) applies no price filter.
min_size_quantile	A single numeric strictly between 0 and 1 specifying the minimum cross-sectional size quantile (based on lagged market cap) required to include an observation. NULL (the default) applies no size quantile filter. The cutoff is computed from NYSE stocks only. This requires an exchange column in the data (as mapped via data_options()); an error is raised if it is missing.
min_listing_age	A single non-negative integer or numeric specifying the minimum number of months a stock must have been listed in CRSP. NULL (the default) applies no listing age filter.
exclude_negative_book_equity	A logical indicating whether to exclude observations with non-positive book equity. Defaults to FALSE.
exclude_negative_earnings	A logical indicating whether to exclude observations with non-positive earnings. Defaults to FALSE.
...	Additional arguments to be included in the filter options list.

Value

A list of class tidyfinance_filter_options containing the specified filter options.

See Also

Other portfolio functions: assign_portfolio(), breakpoint_options(), compute_breakpoints(), compute_long_short_returns(), compute_portfolio_returns(), data_options(), filter_sorting_data(), implement_portfolio_sort(), portfolio_sort_options()

Examples

filter_options(
  exclude_financials = TRUE,
  exclude_utilities = TRUE,
  min_stock_price = 1,
  min_listing_age = 12
)

tidyfinance documentation built on June 1, 2026, 1:06 a.m.