fun_TSMOM: fun_TSMOM

In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.

Description

Calculated time series momentum strategy from p. 236 and return Sharpe ratio

Usage

fun_TSMOM(list = list(BTC = BTC.daily, ETH = ETH.daily, XRP = XRP.daily,
  BCH = BCH.daily), period = c("minutes", "hours", "days", "weeks",
  "months", "quarters", "years"), lag = 12, proAnnuVol = 0.4, Rf = 0,
  annu = 250)

Arguments

list	List of daily data with mean and sd in second and third row
period	character vector Period of rebalance
lag	int Number of lags
proAnnuVol	int: Procent one scale the inverse of the volatility with
Rf	double scalar or vector: Risk free rate
annu	int used to annualize data

Value

A list

name outList	description List with TSMOM for each crypto
name Sharpe	description Table of Sharpe ratios
name Sharpe_tidy	description Sharpe ratios given in tidy form
name SharpeCum_tidy	description Sharpe ratios cumulated given in tidy form

3schwartz/SpecialeScrAndFun documentation built on May 4, 2019, 6:29 a.m.