get_factor: get factor

In QuantAndrew/quantbox: Auxiliary toolbox for quant research.

Description

get factor

Usage

gf.smartQ(TS, nwin = 20, cycle = "cy_1m()", bar = 0.2)

gf.doublePrice(TS, PBFun = c("gf.PB_mrq", "gf.PB_lyr"),
  ROEFun = c("gf.ROE_ttm", "gf.ROE", "gf.F_ROE"))

gf.ROA_ttm(TS)

gf.ROIC(TS)

gf.momentum(TS, Nlong = 250, Nshort = 20)

gf.lev_dtoa(TS)

gf.lev_ldtoop(TS)

gf.nl_size(TS)

gf.inner_growth(TS)

gf.G_NP_longterm(TS, N = 12, freq = "q",
  funchar = "\"np\",Last12MData(RDate,46078)/100000000",
  stat = "slope/mean", rm_N = 6)

gf.G_OR_longterm(TS, N = 12, freq = "q",
  funchar = "\"or\",Last12MData(RDate,46002)/100000000",
  stat = "slope/mean", rm_N = 6)

gf.ca_ratio(TS, fintype = c("PE", "PB", "PCF"), N = 5, inflaAdj = FALSE)

gf.F_NP_G(TS, con_type = "1,2")

Arguments

TS	is TS object.

Value

a TSF

Examples

RebDates <- getRebDates(as.Date('2011-03-17'),as.Date('2012-04-17'),'month')
TS <- getTS(RebDates,'EI000300')
TSF <- gf.smartQ(TS)
TSF <- gf.dividendyield(TS)
TSF <- gf.doublePrice(TS)

QuantAndrew/quantbox documentation built on May 8, 2019, 3:50 a.m.