Description Usage Arguments Value
Get time series of long and short factor positions
1 2 3 4 5 6 7 8 9 10 | factor_positions(
data,
update_frequency,
sort_variable,
sort_levels,
ranking_period,
long_threshold,
short_threshold,
weighted
)
|
data |
a dataframe/tibble. Columns must include |
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 |
sort_levels |
a scalar logical vector. If |
ranking_period |
a scalar integer vector. Specifies number of periods in term of
|
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. |
A data.table
with factor positions by rebalancing
date. Columns include date
, name
and position
.
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