alpha_common_parameters: Definitions of common parameters used in alpha functions.
In Inpirical/alphassess: Functions for Assessing Equities Trading Alpha-Signals
Description
Definitions of common parameters used in alpha functions.
Usage
1
Arguments
k
(numeric) vector of constants used to evaluate the alpha.
op
(xts) matrix with asset open prices.
cl
(xts) matrix with asset close prices.
hi
(xts) matrix with asset high prices.
lo
(xts) matrix with asset low prices.
vol
(xts) matrix with volume traded.
dvol
(xts) matrix with dollar volume traded.
r
(xts) matrix with logarithmic returns.
cap
(xts) matrix with market capitalisation values. #FIXME:
Inpirical/alphassess documentation built on May 26, 2019, 7:27 a.m.
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Description
Definitions of common parameters used in alpha functions.
Usage
1 |
Arguments
k |
(numeric) vector of constants used to evaluate the alpha. |
op |
(xts) matrix with asset open prices. |
cl |
(xts) matrix with asset close prices. |
hi |
(xts) matrix with asset high prices. |
lo |
(xts) matrix with asset low prices. |
vol |
(xts) matrix with volume traded. |
dvol |
(xts) matrix with dollar volume traded. |
r |
(xts) matrix with logarithmic returns. |
cap |
(xts) matrix with market capitalisation values. #FIXME: |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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