Feature.Sharpe: Feature selection with Sharpe-ratio

In Bjerring/RISpackage2: RIS alpha

Usage

Feature.Sharpe(data, Cno)

Arguments

data
Cno

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (data, Cno) 
{
    c <- cor.shrink(data, verbose = FALSE)
    d <- as.dist(1 - c)
    hc <- hclust(d, method = "ward")
    c.tree <- cutree(hc, k = Cno)
    Selected <- rep(0, max(c.tree))
    assets <- rep(NA, max(c.tree))
    for (i in 1:(max(c.tree))) {
        sharpe <- apply(data[, which(c.tree == i)], 2, mean)/apply(data[, 
            which(c.tree == i)], 2, sd)
        assets[i] <- names(c.tree[which(c.tree == i)])[which(max(sharpe) == 
            sharpe)]
    }
    return(assets)
  }

Bjerring/RISpackage2 documentation built on May 6, 2019, 7:56 a.m.