place_transactions_index: Function to simulate an individual (1 of K) momentum...
In T-Marty/trademartyr:

Description Usage Details Note

Function to simulate an individual (1 of K) momentum portfolio. This function assumes rebalancing/exits occur on same day of entries, and does not look for exit explict exit/rebalnce signals. The exception is for memberships.

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place_transactions_index(initEq, assets, Currency, ind, start_i = 1,
  K_m = 1, wts = wts, initdate = initdate, enddate = enddate,
  enter_prefer = "Close", exit_prefer = "Close")

This procedure assumes transactions all occur on same date, with last available price (otherwise, the last trading date or memberhsip exit date must be known in advance, or sorted within the procedure, since blotter requires transactions to be added in date order).

Need to update now that 'weights_i' function handles holdingTime.

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