RelativeMomentum: Relative Momentum Strategy

In 3schwartz/IPAmomentumSmallMidCap:

Description

Relative Momentum Strategy

Usage

RelativeMomentum(xts.ret, xts.rank, n = 1, ret.fill.na = 3,
  UseTC = TRUE, TCmin = 30, TCrate = 0.001, size = 1, price)

Arguments

xts.ret	Object of returns
xts.rank	Object of ranked returns
n	Number of assets in portfolio. Has to be less than number of assets
ret.fill.na	Number of NA'sto put in the beginning
UseTC	Logical if one want to use transaction cast
TCmin	Minimum transactionamount
TCrate	Rate in which the transaction cost is calculated. This is only used if it is over the minimal amount
size	Size of long position when one is buying. Increasing this can decrease the size of transaction cost, assuming they are independent of size
price	object of prices

Value

list

name mat	Matrix of returns for top ranked assets
name ret	Vector of returns for tp ranked assets. If TC is not null, tranding cost is in the calculation
name rank	Matrix of ranks for the top
name NumberTrades	Scalar number of trades

3schwartz/IPAmomentumSmallMidCap documentation built on May 15, 2019, 12:50 p.m.