Description Usage Arguments Value
Function to iteratively apply NBTO function to portfolio. Includes runtime and max iteration constraints. Used internally in optimize and meet constraints functions
1 2 3 4 | 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)
|
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 |
list with list of portfolios, portfolio values, updated trade pairs and runtime
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.