weightedErr: Weighted Error adjusted momentum

In 3schwartz/IPAmomentumSmallMidCap:

Description

Weighted Error adjusted momentum

Usage

weightedErr(x, n = c(1, 3, 6), weights = c(1/3, 1/3, 1/3), period,
  SMAperiod, CompareObj)

Arguments

x	Object with returns
n	Vector in which one choose up to three lookback periods
weights	Vector in which one choose up to three weights
period	Periods at which one is rebalancing. Can be "days", "weeks", "months", "quarters" or "years"
SMAperiod	Period in which one want to adjust prices. Hence this period is used when calculating forecast and thereby errors
CompareObj	Object of which final object should be compare to. Ex. if period is monthly, then a frame with the wanted index should be provided

Value

Weighted Error adjusted momentum of returns

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