factor_test_sort_portfolios: Creator of factor_test_sort_portfolios class

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

Description

Conduct factor sort portfolios test for descriptors of factors and build object of factor_test_sort_portfolios class as output.

Usage

factor_test_sort_portfolios(
  ds_test,
  sort_portfolios_fun,
  ...,
  output_type = c("summary", "raw"),
  factor_field = "factor_name",
  date_field = "date",
  stkcd_field = "stkcd",
  return_field = "return"
)

Arguments

ds_test	A timeseries dataset with descriptors of factors for test.
sort_portfolios_fun	A function to sort descriptors of factors to build. portfolios for test
...	Arguments passed to sort_portfolios_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.
stkcd_field	Name of stkcd field of ds_test, by default "stkcd".
return_field	Name of return field of ds_test, by default "return".

Value

            A object of factor_test_sort_portfolios class.

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