get_weights_ls: Function to get equal-weighted long-short position/weight...

In T-Marty/trademartyr:

Description

Takes an xts of ranks and returns an xts object containing position sizes (weights) for an equal weighted long-short portfolio.

Usage

get_weights_ls(ranks, TopN)

Arguments

ranks	xts object containing asset ranks. Column names are assumed to be independent assets.
TopN	Number of assets on each side (long or short) of trade (integer). Total number of assets held each period will be TopN*2 #' @importFrom zoo index

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