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

Description Usage Arguments Value Examples

View source: R/functions.R

Description

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

Usage

1
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

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

Inpirical/alphassess documentation built on March 19, 2018, 4:15 a.m.