table.factor.summary: combine funcs table.IC and table.Ngroup.spread
In QuantAndrew/quantbox: Auxiliary toolbox for quant research.
Description
Usage
Arguments
Value
Author(s)
Examples
Description
combine funcs table.IC and table.Ngroup.spread
Usage
1
table.factor.summary(TSFR, N = 10, fee = 0.001)
Arguments
TSFR
is a TSFR object
N
seprate the stocks into N group
fee
trading cost
Value
a factor's IC summary and longshort portfolio's return summary.
Author(s)
Andrew Dow
Examples
1
2
3
modelPar <- modelPar.default()
TSFR <- Model.TSFR(modelPar)
table.factor.summary(TSFR)
QuantAndrew/quantbox documentation built on May 8, 2019, 3:50 a.m.
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Description Usage Arguments Value Author(s) Examples
Description
combine funcs table.IC and table.Ngroup.spread
Usage
1 | table.factor.summary(TSFR, N = 10, fee = 0.001)
|
Arguments
TSFR |
is a TSFR object |
N |
seprate the stocks into N group |
fee |
trading cost |
Value
a factor's IC summary and longshort portfolio's return summary.
Author(s)
Andrew Dow
Examples
1 2 3 | modelPar <- modelPar.default()
TSFR <- Model.TSFR(modelPar)
table.factor.summary(TSFR)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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