compute_historical_price_means: Return historical price means computed with decay factor
In benSepanski/pfselect:

Description Usage Arguments Value Functions

We define the historical price mean MA_t at time t to be

MA_t = decay_factor \cdot p_t + (1-decay_factor) \cdot MA_{t-1}

And MA_1 = p_1.

compute_historical_price_means(prices, decay_factor = 0.5, .check_input = TRUE)

compute_historical_price_mean_matrix(
  price_matrix,
  decay_factor = 0.5,
  .check_input = TRUE
)

`prices`	A vector of prices
`decay_factor`	the decay factor for the mean (see description)
`.check_input`	If `TRUE`, checks that input meets the given assumptions.
`price_matrix`	A matrix of prices, where each row represents a trading period and each column represents an asset

A vector with the same dimension as prices with historical price means as the entries

compute_historical_price_mean_matrix: Computes a matrix of historical price means from a matrix of prices, where each column represents an asset. Ouptut has same column names as price_matrix

benSepanski/pfselect documentation built on May 1, 2020, 1:57 p.m.