fun_Shiny_PropAbs: fun_Shiny_PropAbs

In 3schwartz/IPAmomentumSmallMidCap:

Description

Returns plot for cumulated returns and weights, table of statistics and table of weights. Designed to be used fr IPA's Shiny App

Usage

fun_Shiny_PropAbs(Assets, ChoosenAssets = NULL, rf.asset = 1,
  k = 200, cf = 0.6, dateStart = NULL, dateEnd = NULL,
  TCrate = 0.001, TCmin = 29, size = 1, nd = 256, alpha = 0.05,
  UseTrans = TRUE)

Arguments

Assets	List of assets
ChoosenAssets	Assets one want to look at
rf.asset	Risk free rate
k	Number of lookback periods
cf	confidence interval
dateStart	Start date of strategy
dateEnd	End date of strategy
TCrate	Transaction cost given rate
TCmin	Transactin cost minimum amount
size	Size of each transaction
nd	Number of days in a year
alpha	alpha value used for calculating VaR and ES
UseTrans	Boolean if one want to use tranaction costs

Value

list

name weights	Table of position of weights
name table	Table of statistics
name cumplot	Plot of cumulated returns
name weightplot	Plot of position of weights

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