nbto_optimize: Optimize NBTO

In chrishaarstick/madstork.opt: MadStork Portfolio Optimization

Description

Function to iteratively apply NBTO function to portfolio. Includes runtime and max iteration constraints. Used internally in optimize and meet constraints functions

Usage

nbto_optimize(pobj, cobj, eobj, prices, trade_pairs, n_pairs, target,
  minimize, amount, lot_size, max_iter = 5, max_runtime = 60,
  improve_lag = 5, min_improve = 0.001, include_port = TRUE,
  update_trade_pairs = TRUE, random_pairs = TRUE)

Arguments

pobj	portfolio object
cobj	constraints object
eobj	estimates object
prices	data.frame with current symbol prices. Has to contain all symbols included in estimates object. Should also include dividend
trade_pairs	trade pairs to consider. trades limited to the trade pairs provided
target	target objective
minimize	logical flag to minimize target objective
amount	trade amount in dollars
lot_size	lot size for trades
include_port	logical flag to include the portfolio object provided in the canidate list. Default is FALSE.
update_trade_pairs	logical option to update the trade pairs after optimize step. Default is FALSE
random_pairs	logical option to take weighted random sample of trades or top_n

Value

list with list of portfolios, portfolio values, updated trade pairs and runtime

chrishaarstick/madstork.opt documentation built on Nov. 12, 2019, 9:39 p.m.