txnsim.portfs: convenience function to generate portfolios for txnsim...

In braverock/blotter: Tools for Transaction-Oriented Trading Systems P&L

convenience function to generate portfolios for txnsim replicates

Description

If you have a txnsim object and market data, you should be able to rebuild the replicate portfolios. This function creates all those portfolios.

Usage

txnsim.portfs(Portfolio, replacement, n, symbols, initDate, currency, initEq)

Arguments

Portfolio	string identifying a portfolio
replacement	sample with or without replacement, default TRUE
n	number of simulations, default = 100
symbols	character vector of symbol names
initDate	initialization Date to use for replicate portfolios
currency	base currency for replicate portfolios
initEq	initial equity to use for replicate portfolios

See Also

txnsim, txnsim.txns

braverock/blotter documentation built on Sept. 15, 2024, 8:45 p.m.