factor_positions: Get time series of long and short factor positions

In bautheac/factorem: factor'em!

Description

Get time series of long and short factor positions

Usage

factor_positions(
  data,
  update_frequency,
  sort_variable,
  sort_levels,
  ranking_period,
  long_threshold,
  short_threshold,
  weighted
)

Arguments

data	a dataframe/tibble. Columns must include name, date, field and value.
update_frequency	a scalar character vector. Specifies the rebalancing frequency. Must be one of 'year', 'semester', 'quarter', 'month', 'week' or 'day'. Defaults to 'month'.
sort_variable	a scalar character vector. Specifies the name of the variable to use for sorting. Must be found in the field columns of data.
sort_levels	a scalar logical vector. If TRUE, sort is done on sort_variable's levels, else on relative changes. Default: FALSE.
ranking_period	a scalar integer vector. Specifies number of periods in term of update_frequency looking backward for averaging sort_variable.
long_threshold	a scalar numeric vector. Specifies the threshold for long positions. Default: 0.5.
short_threshold	a scalar numeric vector. Specifies the threshold for short positions. Default: 0.5.

Value

A data.table with factor positions by rebalancing date. Columns include date, name and position.

bautheac/factorem documentation built on June 7, 2021, 12:11 p.m.