get_weights_mr: Function to get equal-weighted (zero-cost) long-short wts...
In T-Marty/trademartyr:
Description
Function to get equal-weighted (zero-cost) long-short wts from selected
groupings of multi-ranked variables.
Usage
1
get_weights_mr(mranks, long_g, short_g, long_only = FALSE)
Note
For example, if one wanted to long high momentum stocks with positive
news and short negative momentum stocks with negative news, one could sort
the top (bottom) quintile (1/5) of momentum stocks on news tone and long
(short) the top (bottom) tercile (1/3). Weights for this could be calculated
as follows:
mr <- multiRank(Vars=list(momentum_ranks, news_ranks), groupings = c(5,3))
wts <- get_weights(mr, long_g=c(1,1), short_g=c(5,3))
T-Marty/trademartyr documentation built on May 31, 2019, 5:10 p.m.
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.
Description
Function to get equal-weighted (zero-cost) long-short wts from selected groupings of multi-ranked variables.
Usage
1 | get_weights_mr(mranks, long_g, short_g, long_only = FALSE)
|
Note
For example, if one wanted to long high momentum stocks with positive news and short negative momentum stocks with negative news, one could sort the top (bottom) quintile (1/5) of momentum stocks on news tone and long (short) the top (bottom) tercile (1/3). Weights for this could be calculated as follows: mr <- multiRank(Vars=list(momentum_ranks, news_ranks), groupings = c(5,3)) wts <- get_weights(mr, long_g=c(1,1), short_g=c(5,3))
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.