VarRankMembers: Function to perform rank by an external (pre-calculated)...

In T-Marty/trademartyr:

Description

Function to perform rank by an external (pre-calculated) variable, accounting for membership. Analogous to 'momRankMembers' but assumes a pre-calculated variable, instead of calculating and ranking on price momentum.

Usage

VarRankMembers(dn, s = 0, hist_members = newHM)

Arguments

dn	xts object of variables ready to rank. Columns assumed to be individual assets.
s	Skip period (integer). This is the time between the variable calculation date (end of formation period) and ranking (and presumably investment) date.
hist_members	xts object containing membership data. Column names are assumed to be asset names corresponding to those in df. Note: All entries not NA are assumed to represent active membership.

T-Marty/trademartyr documentation built on May 31, 2019, 5:10 p.m.