factor_test_IC: Creator of factor_test_IC class

In chriszheng2016/zstmodelr: Stock Factor Models for China Stock Market Investment

Description

Conduct information coefficients test for descriptors of factors and build object of factor_test_IC class as output.

Usage

factor_test_IC(
  ds_test,
  IC_fun,
  ...,
  output_type = c("summary", "raw"),
  factor_field = "factor_name",
  date_field = "date"
)

Arguments

ds_test	A timeseries dataset with descriptors of factors for test.
IC_fun	A function to compute information coefficients.
...	Arguments passed to IC_fun.
output_type	Type of output data, i.e."summary", "raw", if "raw", raw data will be append to output object for diagnosis.
factor_field	Name of factor field of ds_test, by default "factor_name".
date_field	Name of date field of ds_test, by default "date", Column must be date-like.

Value

            A object of factor_test_IC class.

chriszheng2016/zstmodelr documentation built on June 13, 2021, 8:59 p.m.