getMultiFactor: get multiFactors

In QuantAndrew/QDataGet: Data getting functionns

Description

get multiple single-factor-scores and the combined-factor-score.#'

Usage

getMultiFactor(TS, FactorLists, wgts, silence = FALSE)

getMultiFactorbyTSFs(TSFs, wgts, factorNames = names(TSFs))

getRawMultiFactor(TS, FactorLists, name_suffix = FALSE)

MultiFactor2CombiFactor(mTSF, wgts, factorNames = guess_factorNames(mTSF),
  na_deal = c("ignore", "rm"), keep_single_factors = TRUE)

TSFs2mTSF(TSFs, factorNames = names(TSFs))

mTSF2TSFs(mTSF, factorNames = guess_factorNames(mTSF))

Arguments

FactorLists	a list, with elements of FactorList(See detail in buildFactorList).
wgts	a numeric vector with the same length of FactorLists(if the sum of wgts not equals to 1, the wgts will be rescaled to sum 1). If 'eq', wgts <- rep(1/length(FactorLists),length(FactorLists)) ;If missing, then only return all the single-factor-scores, without the combined-factor-score.
TSFs	a TSFs object. see /code/linkModel.TSFs
mTSF	a dataframe of 'TS & MultiFactors'

Details

Function getMultiFactor firstly get all the single-factor-scores and then calculating the weighted sum of them to get the combined-factor-score.

Value

getMultiFactor return a mTSF object including cols of all the single-factor-scores, and (if param wgts not missing) the raw combined-factor-score .

getMultiFactorbyTSFs return a TSF object including cols of all the single-factor-scores, and (if param wgts not missing) the raw combi-factor-score, from a TSFs list. (If param TSFs is a TSFRs object, then will return a TSFR object.)

Note

Function getMultiFactor not only could be used to get the "raw" combined-factor-score, but also could be used as the "factorFun" parametre in function getTSF to get the "clean and standardized" combined-factor-score. See more detail in the examples.

Examples

# -- get multi-factor by FactorLists 
FactorLists <- list(
  buildFactorList(factorFun="gf.PE_ttm",
                  factorPar=list(),
                  factorDir=-1),
  buildFactorList(factorFun="gf.pct_chg_per",
                  factorPar=list(N=20),
                  factorDir=-1),
  buildFactorList(factorFun="gf.pct_chg_per",
                  factorPar=list(N=60),
                  factorDir=-1),       
  buildFactorList(factorFun="gf.pct_chg_per",
                  factorPar=list(N=120),
                  factorDir=-1))
wgts <- c(0.25,0.25,0.25,0.25)

# -- 0. get the all the single-factor-scores
TSF <- getMultiFactor(TS,FactorLists)

# -- 1. get the "raw" combined-factor-score
TSF.multi <- getMultiFactor(TS,FactorLists,wgts)

# -- 2. get the "clean and standardized" combined-factor-score
# --- 2.1 by \code{getTSF}
TSF.multi2 <- getTSF(TS,factorFun="getMultiFactor",factorPar=list(FactorLists,wgts),factorRefine=refinePar_default("scale"))
# --- 2.2 by \code{Model.TSF}
modelPar <- modelPar.factor(modelPar.default(),factorFun="getMultiFactor",factorPar=list(FactorLists,wgts),factorRefine=refinePar_default("scale"))
TSF.multi3 <- Model.TSF(modelPar)
TSF.multi4 <- Model.TSF_byTS(modelPar, TS)
# -- get multi-factor by TSFs 
MPs <- getMPs_FactorLists(FactorLists, modelPar.default())
TSFs <- Model.TSFs(MPs)
TSF.multi5 <- getMultiFactorbyTSFs(TSFs,wgts)
#-- TSFs2mTSF
mTSF <- TSFs2mTSF(TSFs)
mTSFR <- TSFs2mTSF(TSFRs)
#-- mTSF2TSFs
TSFs <- mTSF2TSFs(mTSF)
TSFRs <- mTSF2TSFs(mTSFR)

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