factor_std: factor_std

In QuantAndrew/QDataGet: Data getting functionns

Description

factor_std

Usage

factor_std(TSF, method = c("none", "scale", "robustScale", "reg"),
  log = FALSE, sectorAttr = defaultSectorAttr(), regLists = NULL,
  regWgt = NULL)

Arguments

method	Currently supporting four types : none, scale, robustScale, reg.
log	Logical value. Default FALSE.
sectorAttr	could be a sectorAttr list or NULL.
regLists	factorLists. This argument will used when method is reg. The factorscore will be orthogonized by the factors in regLists.
regWgt	NULL,"existing","sector","cap"

Author(s)

Han.Qian

Examples

RebDates <- getRebDates(as.Date('2011-03-17'),as.Date('2012-04-17'),'month')
TS <- getTS(RebDates,'EI000300')
TSF <- gf.NP_YOY(TS)
regLists <- buildFactorLists(buildFactorList(factorFun = 'gf.PE_ttm',factorDir = -1,factorRefine=refinePar_default("scale")))
TSF <- factor_std(TSF, method = "reg", log = FALSE, regLists = regLists)

QuantAndrew/QDataGet documentation built on May 14, 2019, 7:35 a.m.