1 | Feature.Sharpe(data, Cno)
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data |
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Cno |
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 | ##---- 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)
}
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