R/selector.R

In Bjerring/rispackage4: RIS alpha

Selector <- function(data,risk,Cno){
  
  #if(dim(data)[1] > dim(data)[2]*2 ){
  #  tmp <- data[(dim(data)[1]-dim(data)[2]*2):dim(data)[1], ]
  #  data <- tmp
  #}
  
  # low risk case. sharpe ratio is used as selection criteria
  if(risk == "Low"){
    results <- Feature.Sharpe(data,Cno)  
  }
  
  # medium risk case. 1 years momentum is used as selection criteria
  if(risk == "Medium"){
    results <- Feature.AR(data,Cno)
    #results <- Feature.ARMA(data,Cno)
  }  
  # high risk case. 1 year mean of accumulated returns is used as selection criteria
  if(risk == "High"){
    results <- Feature.LM_risk.adj(data,Cno)
  }
  return(results)
}