alpha_run: Evaluate an alpha function given data (xts) and constant...

In Inpirical/alphassess: Functions for Assessing Equities Trading Alpha-Signals

Description

Evaluate an alpha function given data (xts) and constant arguments. Extracts relevant data from data argument and returns xts alpha results.

Usage

alpha_run(constants, dat, alpha_fun)

Arguments

constants	(numeric) vector of constants to be passed to alpha fun.
dat	(named list) each entry an xts matrix (e.g. cl= closing prices, vol=volumes).
alpha_fun	(function) the alpha function to be evaluated.

Value

(xts matrix) alpha value computed for every period and every asset.

Examples

To evaluate alpha1 against constants (20, 5) and data contained in `d`:
alpha_run(c(20, 5), d, alpha1)

Inpirical/alphassess documentation built on May 26, 2019, 7:27 a.m.