allocate_news | Function to attribute news items to the correct trading day |
clean_hist_members | NOT FOR EXPORT. Idiosyncratic function to tidy index... |
clean_names | Function to clean individual asset OHLC data. |
daily_news_scores | Function to calculate daily news scores from xts of news data |
get_cols | Function for extracing a given column from loaded xts objects... |
get_firm_data | Function to extract firm variables for a list of assets over... |
get_news_vars | Function to extract news variables for a list of assets over... |
get_weights_ls | Function to get equal-weighted long-short position/weight... |
get_weights_mr | Function to get equal-weighted (zero-cost) long-short wts... |
holdingTime | Function returns logical if holding time exceeds the... |
load_files | Function to read csv files and load them as xts into selected... |
member_exit | Function to replace asset returns for non-index members with... |
mom_rank | Can accommodate 'acceleration'. |
momRankMembers | Function for ranking assets on momentum that require index... |
MonthlyFirmData | Construct end-of-month measures of firm data. |
monthlyNews_EOD | Dunction to creates news variables over n-month horizons.... |
naFillFrom | Function to replace NAs on last trading day of month with... |
news_agg | Make to handle combined news xts?? That way can use centered... |
nyse_trading_dates | Function to generate index of all NYSE trading dates. |
place_transactions | Blotter portfolio simulation function that does not consider... |
place_transactions_index | Function to simulate an individual (1 of K) momentum... |
place_transactions_ordering | Similar to 'place_transactions_index' but transacts on the... |
portfolio_cumulative.return | Function to calculate portfolio equity given weights. Unlike... |
readxts2 | Function to read csv files as xts objects. |
run_parallel | Function to perform commands in parallel |
simpleRets | Calculate simple returns. |
txn_dates | Function for getting the final day of asset membership with... |
txn_pretty | Function to extract and neatly present the transactions of a... |
VarRankMembers | Function to perform rank by an external (pre-calculated)... |
visualise_trades | Function for visualising trades of overlapping J/S/K... |
weights_i | Given an xts of portfolio weights with signals each period,... |
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